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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
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Under the same (Chole)sky : DNK models, timing restrictions and recursive identification of monetary policy shocks
Angelini, Giovanni; Sorge, Marco M. - 2021
-based nonfundamentalness, thereby hampering shock identification via VAR methods. This notwithstanding, restricted DNK models are shown to …Recent structural VAR studies of the monetary transmission mechanism have voiced concerns about the use of recursive … feature (i) invertible equilibrium representations for the observables and (ii) fast-converging VAR coefficient matrices under …
Persistent link: https://www.econbiz.de/10012501242
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Chapter 2. Macroeconomic Shocks and Their Propagation
Ramey, V.A. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 71-162). 2016
the leading shock candidates can explain fluctuations in output and hours. It concludes that we are much closer to …
Persistent link: https://www.econbiz.de/10014024291
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011418016
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 196 (2017) 1, pp. 144-155
Persistent link: https://www.econbiz.de/10011743789
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The Chicago Fed DSGE Model
Brave, Scott A.; Campbell, Jeffrey R.; Fisher, Jonas D. M. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the … accelerator mechanism. -- New Keynesian model ; DSGE ; forecasting ; policy analysis …
Persistent link: https://www.econbiz.de/10009581477
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The Chicago Fed DSGE Model
Brave, Scott A. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10013101439
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The Chicago Fed DSGE model : version 2
Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M. - 2023
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10014369357
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A transfer mechanism for a monetary union
Engler, Philipp; Voigts, Simon - 2013
We show in a dynamic stochastic general equilibrium framework that the introduction of a common currency by a group of countries with only partially integrated goods markets, incomplete financial markets and no labor migration across member states, significantly increases volatility of...
Persistent link: https://www.econbiz.de/10009713963
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A transfer mechanism for a monetary union
Engler, Philipp; Voigts, Simon - 2013
We show in a dynamic stochastic general equilibrium framework that the introduction of a common currency by a group of countries with only partially integrated goods markets, incomplete financial markets and no labor migration across member states, significantly increases volatility of...
Persistent link: https://www.econbiz.de/10009723588