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A note on news about the future: The impact on DSGE models and their VAR representation
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2016
In this paper we investigate the role of news shocks in aggregate fluctuations by comparing the empirical performance of models with and without the feature of the news shocks. We found a trivial difference between the two models. That is, the model with news shocks explains the variation as...
Persistent link: https://www.econbiz.de/10011787141
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How should news shocks be specified under rational expectations?
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - 2017
A number of studies have found that news shocks account for a large part of the aggregate fl uctuations of the main macroeconomic variables.We show that when taking rational expectations into consideration there is a limit on the size of the variance of the news shocks,which has not been...
Persistent link: https://www.econbiz.de/10011758913
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News shocks under financial frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2016
Persistent link: https://www.econbiz.de/10011539177
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News shocks under financial frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020
. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un … for the propagation of news shocks. A DSGE model enriched with a financial sector generates very similar quantitative …
Persistent link: https://www.econbiz.de/10012373126
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News shocks under financial frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020
Persistent link: https://www.econbiz.de/10012534285
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News shocks under financial frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020
Persistent link: https://www.econbiz.de/10012501472
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Imperfect information about financial frictions and consequences for the business cycle
Hollmayr, Josef; Kühl, Michael - 2015
rely on a New Keynesian DSGE model with a banking sector in which we introduce imperfect information about a limited …
Persistent link: https://www.econbiz.de/10010517143
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The financial accelerator and market-based debt instruments : a role for maturities?
Kühl, Michael - 2014
This paper shows how the average maturity of corporate bonds can affect the transmission of shocks if financial frictions prevail. We modify a standard financial accelerator model à la Bernanke, Gertler, and Gilchrist (1999) and allow for market-based debt which has a market-determined price....
Persistent link: https://www.econbiz.de/10010357605
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Financial Shocks, Financial Frictions and Financial Intermediaries in DSGE Models : Comments on the Recent Literature
Arend, Mario - 2010
intermediaries in the Dynamic Stochastic General Equilibrium models (DSGE models) and to discuss the empirical evidence on the …
Persistent link: https://www.econbiz.de/10013142856
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Computation of solutions to dynamic models with occasionally binding constraints.
Holden, Tom D. - 2016 - This version: 3 April 2016
We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...
Persistent link: https://www.econbiz.de/10011452243