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Dynamic Stochastic General Equilibrium Models as a Tool for Policy Analysis

by Jana Kremer, Giovanni Lombardo , Leopold von Thadden , Thomas Werner , 2006
"... This article discusses the evolution of dynamic macroeconomic models from calibrated Real Business Cycle models to estimated dynamic stochastic general equilibrium models. The purpose is to suggest the usefulness of these models as a tool for policy analysis, with a particular emphasis on aspects of ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
This article discusses the evolution of dynamic macroeconomic models from calibrated Real Business Cycle models to estimated dynamic stochastic general equilibrium models. The purpose is to suggest the usefulness of these models as a tool for policy analysis, with a particular emphasis on aspects

Methods to Estimate Dynamic Stochastic General Equilibrium Models

by Francisco J. Ruge-murcia - Journal of Economic Dynamics and Control , 2007
"... This paper employs the one-sector Real Business Cycle model as a testing ground for four di®erent procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1) Maximum Likelihood (with and without measurement errors and incorporating priors), 2) Generalized Meth ..."
Abstract - Cited by 53 (3 self) - Add to MetaCart
This paper employs the one-sector Real Business Cycle model as a testing ground for four di®erent procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1) Maximum Likelihood (with and without measurement errors and incorporating priors), 2) Generalized

Evaluation of Dynamic Stochastic General Equilibrium Models Based on

by Valentina Corradi, Norman R. Swanson - Mary, University of London and Rutgers University , 2003
"... We take as a starting point the existence of a joint distribution implied by different dynamic sto-chastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare “true ” joint distributions with ones generated by given DSGEs. This is accomplished vi ..."
Abstract - Cited by 22 (14 self) - Add to MetaCart
We take as a starting point the existence of a joint distribution implied by different dynamic sto-chastic general equilibrium (DSGE) models, all of which are potentially misspecified. Our objective is to compare “true ” joint distributions with ones generated by given DSGEs. This is accomplished

An Estimated Dynamic Stochastic General Equilibrium Model for Estonia

by Paolo Gelain, Dmitry Kulikov , 2009
"... This paper presents the first version of an open economy Dynamic Stochastic General Equilibrium (EP DSGE) model for Estonia. The model is designed to highlight the main driving forces behind Estonian business cycle and to understand how the euro area economic shocks and monetary policy transmit into ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
This paper presents the first version of an open economy Dynamic Stochastic General Equilibrium (EP DSGE) model for Estonia. The model is designed to highlight the main driving forces behind Estonian business cycle and to understand how the euro area economic shocks and monetary policy transmit

ESSAYS IN ESTIMATION OF DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS

by Maxym Kryshko
"... Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unob ..."
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Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common

Autoregression and Dynamic Stochastic General Equilibrium Models ∗

by Alexander Kriwoluzky, Alexander Kriwoluzky , 2009
"... EUI Working Paper ECO 2009/29This text may be downloaded for personal research purposes only. Any additional reproduction for other purposes, whether in hard copy or electronically, requires the consent of the author(s), editor(s). If cited or quoted, reference should be made to the full name of the ..."
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EUI Working Paper ECO 2009/29This text may be downloaded for personal research purposes only. Any additional reproduction for other purposes, whether in hard copy or electronically, requires the consent of the author(s), editor(s). If cited or quoted, reference should be made to the full name of the author(s), editor(s), the title, the working paper or other series, the year, and the publisher. The author(s)/editor(s) should inform the Economics Department of the EUI if the paper is to be published elsewhere, and should also assume responsibility for any consequent obligation(s).

An Estimated Dynamic Stochastic General Equilibrium Model for Monetary Policy Analysis in Mozambique

by Shanaka J. Peiris, Magnus Saxegaard, The Thank Andrew Berg, Doug Laxton, Jean A. P. Clément, Michel Juillard, Catherine Pattillo, Manrique Saenz, Tsidi Tsikata, Reza Vaez-zadeh , 2009
"... This paper evaluates monetary policy trade-offs in low-income countries using a dynamic stochastic general equilibrium model estimated on data for Mozambique, taking into account the sources of major exogenous shocks and the level of financial development. The simulations suggest that an exchange ra ..."
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This paper evaluates monetary policy trade-offs in low-income countries using a dynamic stochastic general equilibrium model estimated on data for Mozambique, taking into account the sources of major exogenous shocks and the level of financial development. The simulations suggest that an exchange

2007): “Econometric analysis of linearized singular dynamic stochastic general equilibrium models

by Herman J. Bierens - Journal of Econometrics
"... In this paper I propose an alternative to calibration of linearized singular dynamic stochastic general equilibrium models. Given an a-theoretical econometric model as a representative of the data generating process, I will construct an information measure which compares the conditional distribution ..."
Abstract - Cited by 11 (0 self) - Add to MetaCart
In this paper I propose an alternative to calibration of linearized singular dynamic stochastic general equilibrium models. Given an a-theoretical econometric model as a representative of the data generating process, I will construct an information measure which compares the conditional

MONEY AND MONETARY POLICY IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS

by unknown authors
"... We compare two methods of motivating money in New Keynesian dynamic stochastic general equilibrium models—money-in-the-utility function and the cash-in-advance (CIA) constraint—as well as two ways of modelling monetary policy: the interest rate feedback rule and money growth rules. As an aid to mode ..."
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We compare two methods of motivating money in New Keynesian dynamic stochastic general equilibrium models—money-in-the-utility function and the cash-in-advance (CIA) constraint—as well as two ways of modelling monetary policy: the interest rate feedback rule and money growth rules. As an aid

Analyzing Data Revisions with a Dynamic Stochastic General Equilibrium Model

by Dean Croushore, Keith Sill, Dean Croushore, Keith Sill , 2014
"... We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data approxim ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data
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