Questions tagged [dsge]

DSGE - Dynamic Stochastic General Equilibrium models.

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1answer
37 views

Is there any mainstream criticism of the Benes-Kumhof conclusion that the Chicago Plan would improve the US economy nowadays?

A 2012 IMF Working paper by Benes and Kumhof "The Chicago Plan Revisited " has this abstract, finding in favor of the Chicago Plan an all counts basically: At the height of the Great Depression a ...
2
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1answer
84 views

What is the appeal of DSGE models?

As far as I understand people like them, because they fit the data quite well when compared to VAR's for example while also having an economic interpretation. They appear to explain observations in a ...
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0answers
19 views

Deriving Sufficient Conditions For Existence of Unique Non-Explosive Equilibrium In DSGE Model With Hybrid New Keynesian Phillips Curve

Consider the following New Keynesian DSGE Model with standard notation: $\pi_t = \kappa y_t + \gamma_f \mathbb{E}_t[\pi_{t+1}] + \gamma_b \pi_{t-1},$ $y_t = \mathbb{E}_t[y_{t+1}] - \frac{1}{\sigma}(...
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0answers
12 views

How theory of welfare economics and social choice is connected to DSGE models?

How theory of welfare economics and social choice is connected to DSGE models and how DSGE models can be used to test theories of welfare economics and to predict the policy outcomes?
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10 views

Optimal Tax Rates on BGP

I was going through this paper by Aghion et al. I wanted some clarification on some of the computations. I understood the process uptil the normalization on page 22. Then we can get some policy rules ...
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0answers
22 views

How to match a DSGE in a State-Space representation to observed data?

Let us consider a RBC model like the one in Ireland's A Method For Taking Models To The Data. We've taken the data $Y_t$(it's a vector. I'll be using a different and more simplified notation), and ...
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0answers
45 views

Automation of macroeconomic modelling (DSGE modelling)

There are automation software https://cloud.google.com/automl/ and https://autokeras.com/ that automatically builds and tunes machine learning models and machine (deep) learning pipelines. Are there ...
0
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0answers
40 views

Does the phenomenon of 4th industrial revolution require new econometric model, or the DSGE models can accomodate it?

Does the phenomenon of 4th industrial revolution (or the technological change/shock that is represented by this loud and un-scientific term) require new econometric model, or the DSGE models can ...
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0answers
55 views

Use of DSGE models for the day-to-day government policy decisions? If no - then what are obstacles?

Are DSGE models used for the day-to-day government policy estimation and optimization? E.g. can DSGE model be used for estimation of the return of additional investments in education and how those ...
2
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1answer
64 views

How to derive the measurement equation for the state-space representation of a DSGE model?

DSGE models, after log-linearisation, have a state-space representation. In this representation, in most papers, the measurement/observation equation is simply stated. I'm wondering how one deduces ...
0
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1answer
18 views

A possible typo in Herbst and Schorfheide book of DSGE estimation

In a state-space representation, the measurement equation is something of this form $O_t=H_t s_t + u_t$, where $O_t$ are the observational data at time $t$, $H_t$ is a possibly time-dependent matrix ...
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0answers
16 views

Deducing eq. (39) of Sims (2002)

Here's the Sims(2002) paper How does one deduce equation (39) from that paper? Any help would be appreciated.
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47 views

Cleaning data for DSGE model estimation: An and Schorfheide (2007)

In Herbst and Schorfheide "Bayesian Estimation of DSGE Models", in the appendix named "Data Sources", they show several formulas relating the empirical data which should be used for the model. Here's ...
2
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0answers
41 views

What are the linearised equations for the flexible economy in Smets and Wouters (2007)?

To solve the Smets and Wouters (2007) model, we need the linearised equation for the economy when wages and prices are flexible (monetary policy rule depends on the potential output). However, in ...
2
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0answers
22 views

How to deal with potential output in the Sims (2002) framework?

In Sims(2002), the author explains how one solves a linear rational expectations model. $$\Gamma_0S_t=\Gamma_1S_{t-1}+C+\Psi z_t + \Pi \mu_t$$ The only thing exogenously defined in the $z_t$ ...
4
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1answer
229 views

Good paper/article on the mechanisms in RBC vs New Keynesian models

I have read technical books about the (baseline) RBC and New Keynesian models. However, these books tend not to explain very intuitively the propagation mechanisms of shocks between the two models, ...
3
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1answer
47 views

Basic New Keynesian Model - Price and Wage Level after shock

I'm currently solving a new Keynesian model with government spending. It's the basic model version, with constant returns to scale on the only production factor work. Everything has worked out fine ...
5
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1answer
171 views

Differences between GMM and MSM?

In wikipedia, the main difference between GMM and MSM(Method of simulated Moments) is in the former the moment/orthogonality conditions can be evaluated analytically, while in the latter they cannot ...
1
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1answer
88 views

DSGE Model Solutions as a Vector Time-Series process. Examples?

I'm trying to understand how the solutions of a DSGE model can be seen as VAR or VARMA. Can you give examples of DSGE model solutions which can be seen as such? Also, does this only happen when we ...
4
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1answer
362 views

What exactly is certainty equivalence in the context of DSGE models?

I keep reading about certainty equivalence in the context of DSGE models. I understand that it has something to do with "Getting rid of the expectation operator", but I'm not entirely sure? What ...
2
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1answer
1k views

intuition behind the blanchard kahn conditions?

In order for a DSGE model to have a unique solution, it is required to satisfy the Blanchard Kahn conditions. However, these conditions seem very abstract to me. Is there an intuition behind the ...
1
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1answer
440 views

Textbook on the mathematics of RBC/DSGE models?

I'm reading David Romer's Macroeconomics. However, what I don't like is that he doesn't go at all into detail about the mathematical underpinnings of RBC/DSGE models. When it comes to the central ...
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0answers
227 views

What are some good video lectures on DSGE modeling?

Are there any online resources on Dynamic Stochastic General Equilibrium models supplied with video lectures, which include theory and some practical examples of fitting models as well? I did not find ...
5
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1answer
46 views

In economic modelling, how are we sure the linearized equilibria behave similarly to original equilibria?

The following problem is in the context of continuous time, although I suspect something could be said about discrete time also. Let's assume that we have the following equation: $$\dot x=f(x)$$ ...
3
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1answer
95 views

Value function iterations with hyperbolic discounting

I am currently working to the numerical solution of a model similar to the consumption-savings decision model with hyperbolic discounting as in Krussel et al. (2003). Even if hyperbolic discounting ...
2
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1answer
252 views

Interest rate rule in monetary DSGE model

I am studying DSGE models and try to solve exercise 2.2 from Gali's (2008) book. In short, consider the simple classical economy where the following approximate equilibrium conditions must be ...
0
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1answer
62 views

Depreciation vs. obsolescence in RBC and New Keynesian DSGE models

A common calibration for depreciation rates within RBC models is to assume 10% depreciation rate (based on NIPA stats, for instance). This implies a half-life of about 6.5 years. But this estimate ...
0
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1answer
219 views

Intuition for the CES consumption index in New-Keynesian DSGE models

I don’t understand, from an intuitive point of view, the CES aggregator in the context of a New Keynsian DSGE model. I understand that the consumption index Ct is the sum of all consumption goods and ...
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267 views

Log linearization of the technology dynamic

I am still dealing with DSGE models and with log-linearization of characteristic equations of the model. The one that creates me more doubts is the technology shock, that is usually modeled as an AR(1)...
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1answer
122 views

Evaluation around steady state for a specific DSGE Model

The following equations are taken from Ravenna, walsh: "Optimal Monetary Policy with Unemployment and Sticky Prices" (2011). (i)$$\frac{Z_{t}}{\mu_{t}} = w_t + \frac{\kappa}{q_{t}} - (1-\rho)E_{t}(\...
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0answers
320 views

SVAR Historical decomposition

Does anyone know how to do VAR historical decomposition of a series in R?
3
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1answer
104 views

Convert DSGE paper to structural econometrics, anything to be noted?

I'm intent to bring some insights of a DSGE paper to a structural econometric model. The paper is Liu, Wang and Zha's 2013 Econometrica paper on land collateral channel. Now I have some good datasets ...
4
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1answer
1k views

DSGE models (Dynare) are only based on simulations and approximations? (without data)

I'm beginner in DSGE models. Are they only based on simulations and approximations? Don't we have any real data-sets (for example interest rate, labor force, etc) ...
5
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1answer
134 views

What methods - inspired by Haavelmo’s Structural Econometrics - can show that a partial equilibrium model is unreliable?

According to Spanos 2014 Revisiting Haavelmo's Structural econometrics: Bridging the gap between theory and data Dynamic Stochastic General Equilibrium models are statistically inadequate, in such an ...
8
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2answers
1k views

Can Dynare solve general equilibrium (GE) models with non-convex adjustment costs?

I know that Dynare (which sits on top of Matlab) can solve many kinds of dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. I also know that Dynare can handle some ...
6
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1answer
137 views

State of general equilibrium theories Post Blanchard 2008

This question arose from a useful comment I received upon answering a question on this site, and a recent question from a doctoral student. The so-called theory of general equilibrium (including the ...
3
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1answer
1k views

Government expenditure multiplier in the new-Keynesian model?

Does a temporary increase in government expenditure increase output in the standard new-Keynesian DSGE model? Is it possible to draw any intuitive parallels between the impact of government ...