Data Rich Dsge And Dynamic Factor Models

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Data Rich Dsge And Dynamic Factor Models

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Author : Mr.Maxym Kryshko
language : en
Publisher: International Monetary Fund
Release Date : 2011-09-01

Data Rich Dsge And Dynamic Factor Models written by Mr.Maxym Kryshko and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-01 with Business & Economics categories.

Dynamic factor models 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 unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.

Bayesian Dynamic Factor Analysis Of A Simple Monetary Dsge Model

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Author : Mr.Maxym Kryshko
language : en
Publisher: International Monetary Fund
Release Date : 2011-09-01

Bayesian Dynamic Factor Analysis Of A Simple Monetary Dsge Model written by Mr.Maxym Kryshko and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-01 with Business & Economics categories.

When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U.S.data on real output, inflation, nominal interest rates, measures of inverse money velocity, and a large panel of informational series, we compare the data-rich DSGE model with the regular - few observables, perfect measurement - DSGE model in terms of deep parameter estimates, propagation of monetary policy and technology shocks and sources of business cycle fluctuations. We document that the data-rich DSGE model generates a higher implied duration of Calvo price contracts and a lower slope of the New Keynesian Phillips curve. To reduce the computational costs of the likelihood-based estimation, we employed a novel speedup as in Jungbacker and Koopman (2008) and achieved the time savings of 60 percent.

Monthly Report On General Business And Agricultural Conditions In Federal Reserve District No 8

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Author :
language : en
Publisher:
Release Date : 2008

Monthly Report On General Business And Agricultural Conditions In Federal Reserve District No 8 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business categories.

Review

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Author :
language : en
Publisher:
Release Date : 2009

Review written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Money categories.

Nber Reporter

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Author : National Bureau of Economic Research
language : en
Publisher:
Release Date : 2005

Nber Reporter written by National Bureau of Economic Research and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Economics categories.

An Estimated New Keynesian Dynamic Stochastic General Equilibrium Model Of The Euro Area

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Author : Marco Ratto
language : en
Publisher:
Release Date : 2005

An Estimated New Keynesian Dynamic Stochastic General Equilibrium Model Of The Euro Area written by Marco Ratto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with European Economic Community categories.

This paper applies Bayesian estimation techniques to a time series data set of the euro area and presents estimates of a DSGE model. The purpose of this paper is not to estimate the current version of the QUEST model directly with these methods but rather to estimate a prototype new generation New-Keynesian DSGE model. This model can then serve as a benchmark for an estimation of a QUEST specification. In fact in some dimensions the QUEST model may need to be adjusted to come closer to a DSGE model.

Dsge Models In A Data Rich Environment

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Author : Jean Boivin
language : en
Publisher:
Release Date : 2006

Dsge Models In A Data Rich Environment written by Jean Boivin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economics categories.

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets is relevant for the evolution of important macroeconomic series. This suggests that conventional model estimates and inference based on estimated DSGE models might be distorted. In this paper, we propose an empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This framework provides an interpretation of all information contained in a large data set, and in particular of the latent factors, through the lenses of a DSGE model. The estimation involves Markov-Chain Monte-Carlo (MCMC) methods. We apply this estimation approach to a state-of-the-art DSGE monetary model. We find evidence of imperfect measurement of the model's theoretical concepts, in particular for inflation. We show that exploiting more information is important for accurate estimation of the model's concepts and shocks, and that it implies different conclusions about key structural parameters and the sources of economic fluctuations.

Monthly Report

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Author :
language : en
Publisher:
Release Date : 2008-09

Monthly Report written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09 with Banks and banking categories.

Banca Central

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Author :
language : es
Publisher:
Release Date : 2005

Banca Central written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Banks and banking categories.

Aanwinsten Van De Centrale Bibliotheek Queteletfonds

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Author : Bibliothèque centrale (Fonds Quetelet)
language : en
Publisher:
Release Date : 2001

Aanwinsten Van De Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.