Natural Rate Measures in an Estimated DSGE Model of the U.S. Economy
Author : Rochelle Mary Edge
Publisher :
Page : 54 pages
File Size : 16,42 MB
Release : 2007
Category : United States
ISBN :
Author : Rochelle Mary Edge
Publisher :
Page : 54 pages
File Size : 16,42 MB
Release : 2007
Category : United States
ISBN :
Author : Michael T. Kiley
Publisher :
Page : 51 pages
File Size : 42,95 MB
Release : 2010
Category :
ISBN :
Author : Rochelle M. Edge
Publisher :
Page : 98 pages
File Size : 20,50 MB
Release : 2007
Category :
ISBN :
Author : Rochelle Mary Edge
Publisher :
Page : 78 pages
File Size : 40,71 MB
Release : 2007
Category : Monetary policy
ISBN :
This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the U.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model's utility-based welfare criterion and about the economy's natural rate measures of interest and output. We analyze the characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We find that the natural rates of interest and output are imprecisely estimated. We then show that, relative to the case of known parameters, optimal policy under parameter uncertainty responds less to natural-rate terms and more to other variables, such as price and wage inflation and measures of tightness or slack that do not depend on natural rates.
Author : Michel Juillard
Publisher :
Page : 73 pages
File Size : 33,18 MB
Release : 2006
Category : Bayesian statistical decision theory
ISBN :
Author : Davide Debortoli
Publisher : International Monetary Fund
Page : 56 pages
File Size : 50,64 MB
Release : 2017-07-21
Category : Business & Economics
ISBN : 1484311752
Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
Author : Yuliya Rychalovská
Publisher :
Page : 43 pages
File Size : 37,57 MB
Release : 2013
Category : United States
ISBN : 9788073432867
Author : Edward P. Herbst
Publisher : Princeton University Press
Page : 295 pages
File Size : 26,51 MB
Release : 2015-12-29
Category : Business & Economics
ISBN : 0691161089
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.
Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
Page : 68 pages
File Size : 36,89 MB
Release : 2004-12-01
Category : Business & Economics
ISBN : 1451875657
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
Author : Yuliya Rychalovská
Publisher :
Page : 43 pages
File Size : 16,92 MB
Release : 2013
Category :
ISBN : 9788073442781