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Identification of prior information via moment-matching
Sacht, Stephen - 2014
while (transformed) micropriors are often used in the literature, applying macropriors evaluated via the MoMBay approach … estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on …, Franke et al. (2012)) and Bayesian technique in order to evaluate macropriors. In this respect we define a two …
Persistent link: https://www.econbiz.de/10010330305
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Identification of prior information via moment-matching
Sacht, Stephen - 2014
while (transformed) micropriors are often used in the literature, applying macropriors evaluated via the MoMBay approach … estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on …, Franke et al. (2012)) and Bayesian technique in order to evaluate macropriors. In this respect we define a two …
Persistent link: https://www.econbiz.de/10010234025
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Does inattentiveness matter for DSGE modelling? An empirical investigation
Chou, Jenyu; Easaw, Joshy Z.; Minford, Patrick - 2021
The purpose of this paper is to investigate the empirical performance of the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions assuming inattentiveness- namely sticky information...
Persistent link: https://www.econbiz.de/10013272178
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10013331913
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MAJA: A two-region DSGE model for Sweden and its main trading partners
Corbo, Vesna; Strid, Ingvar - 2020
The Swedish economy is strongly dependent on global economic developments, which is re‡ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE)...
Persistent link: https://www.econbiz.de/10012497743
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10012818429
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Does inattentiveness matter for DSGE modelling? : an empirical investigation
Chou, Jenyu; Easaw, Joshy Z.; Minford, Patrick - 2021
The purpose of this paper is to investigate the empirical performance of the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions assuming inattentiveness- namely sticky information...
Persistent link: https://www.econbiz.de/10013177225
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MAJA: a two-region DSGE model for Sweden and its main trading partners
Corbo, Vesna; Strid, Ingvar - 2020
The Swedish economy is strongly dependent on global economic developments, which is re ected in generally strong empirical relationships between Swedish and foreign macroeconomic variables. It is, however, diffi cult for standard open-economy dynamic stochastic general equilibrium (DSGE) models...
Persistent link: https://www.econbiz.de/10012240452
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Impact of globalization on macroeconomic dynamics using a time-varying Bayesian VAR
Pleșa, Georgiana - In: Prague economic papers : a bimonthly journal of … 33 (2024) 4, pp. 380-413
In the last two decades, advances in globalization have evolved remarkably and countries have become more integrated with the entire world. The implications of this process have attracted interest of researchers and monetary policy authorities. This paper provides an assessment of the impact of...
Persistent link: https://www.econbiz.de/10015073328
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A small New Keynesian model to analyze business cycle dynamics in Poland and Romania
Nalban, Valeriu - In: Contemporary Economics 9 (2015) 3, pp. 319-336
In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles during the 2003 - 2014 period. Given the similarities between the two economies, we use an identical calibration procedure for certain coefficients and marginal prior distributions...
Persistent link: https://www.econbiz.de/10011480628