› › How Frequently Should We Re Estimate Dsge Models

The Oxford Handbook of Applied Bayesian Analysis

Author : Anthony O' Hagan

Publisher : OUP Oxford

Page : 924 pages

File Size : 40,80 MB

Release : 2010-03-18

Category : Mathematics

ISBN : 0191613894

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Book Description

Bayesian analysis has developed rapidly in applications in the last two decades and research in Bayesian methods remains dynamic and fast-growing. Dramatic advances in modelling concepts and computational technologies now enable routine application of Bayesian analysis using increasingly realistic stochastic models, and this drives the adoption of Bayesian approaches in many areas of science, technology, commerce, and industry. This Handbook explores contemporary Bayesian analysis across a variety of application areas. Chapters written by leading exponents of applied Bayesian analysis showcase the scientific ease and natural application of Bayesian modelling, and present solutions to real, engaging, societally important and demanding problems. The chapters are grouped into five general areas: Biomedical & Health Sciences; Industry, Economics & Finance; Environment & Ecology; Policy, Political & Social Sciences; and Natural & Engineering Sciences, and Appendix material in each touches on key concepts, models, and techniques of the chapter that are also of broader pedagogic and applied interest.



DSGE Models in Macroeconomics

Author : Nathan Balke

Publisher : Emerald Group Publishing

Page : 480 pages

File Size : 35,43 MB

Release : 2012-11-29

Category : Business & Economics

ISBN : 1781903069

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Book Description

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy



Bayesian Estimation of DSGE Models

Author : Edward P. Herbst

Publisher : Princeton University Press

Page : 295 pages

File Size : 42,24 MB

Release : 2015-12-29

Category : Business & Economics

ISBN : 0691161089

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Book Description

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.



DSGE Models in Macroeconomics

Author : Nathan Balke

Publisher : Emerald Group Publishing

Page : 480 pages

File Size : 37,46 MB

Release : 2012-11-29

Category : Business & Economics

ISBN : 1781903050

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Book Description

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy



An Econometric Model of the US Economy

Author : John J. Heim

Publisher : Springer

Page : 480 pages

File Size : 13,25 MB

Release : 2017-12-06

Category : Business & Economics

ISBN : 3319506811

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Book Description

This book explores the US economy from 1960 to 2010 using a more Keynsian, Cowles model approach, which the author argues has substantial advantages over the vector autoregression (VAR) and dynamic stochastic general equilibrium (DSGE) models used almost exclusively today. Heim presents a robust argument in favor of the Cowles model as an answer to the pressing, unresolved methodological question of how to accurately model the macroeconomy so that policymakers can reliably use these models to assist their decision making. Thirty-eight behavioral equations, describing determinants of variables such as consumption, taxes, and government spending, are connected by eighteen identities to construct a comprehensive model of the real US economy that Heim then tests across four different time periods to ensure that results are consistent. This comprehensive demonstration of the value of a long-ignored model provides overwhelming evidence that the more Keynesian (Cowles) structural models outperform VAR and DSGE, and therefore should be the models of choice in future macroeconomic studies.



Econometrics - Recent Advances and Applications

Author :

Publisher : BoD – Books on Demand

Page : 128 pages

File Size : 47,87 MB

Release : 2023-10-25

Category : Business & Economics

ISBN : 1803565241

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Book Description

Econometrics uses statistical methods and real-world data to predict and establish specific trends. This analytical method sustains limitless potential, but the necessary research for professionals to understand and implement this is often lacking. Econometrics - Recent Advances and Applications explores the theoretical and practical aspects of detailed econometric theories and applications within economics, policymaking, and finance. This book covers various topics such as dynamic stochastic general equilibrium (DSGE) models, machine learning, spatial econometrics, and time series analysis. This book is a useful resource for economists, policymakers, financial analysts, researchers, academicians, and graduate students seeking research on the various applications of econometrics.



Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area

Author : Mr.Dominic Quint

Publisher : International Monetary Fund

Page : 61 pages

File Size : 28,30 MB

Release : 2013-10-14

Category : Business & Economics

ISBN : 1484343026

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Book Description

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.





An Estimated DSGE Model for Integrated Policy Analysis

Author : Kaili Chen

Publisher : International Monetary Fund

Page : 65 pages

File Size : 48,1 MB

Release : 2023-06-30

Category : Business & Economics

ISBN :

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Book Description

We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.



A Practical Guide to Macroeconomics

Author : Jeremy B. Rudd

Publisher : Cambridge University Press

Page : 323 pages

File Size : 41,98 MB

Release : 2024-03-31

Category : Business & Economics

ISBN : 1009465783

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Book Description

The gulf between macroeconomic theory and macroeconomic practice has never been greater. This book bridges that gap.