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Stochastic General Equilibrium (stochastic + general_equilibrium)
Kinds of Stochastic General Equilibrium Terms modified by Stochastic General Equilibrium Selected AbstractsWhat you match does matter: the effects of data on DSGE estimationJOURNAL OF APPLIED ECONOMETRICS, Issue 5 2010Pablo A. Guerron-Quintana This paper explores the effects of using alternative combinations of observables for the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. I find that the estimation of structural parameters describing the Taylor rule and sticky contracts in prices and wages is particularly sensitive to the set of observables. In terms of the model's predictions, the exclusion of some observables may lead to estimated parameters with unexpected outcomes, such as recessions following a positive technology shock. More importantly, two ways to assess different sets of observables are proposed. These measures favor a dataset consisting of seven observables. Copyright © 2009 John Wiley & Sons, Ltd. [source] A New-Keynesian DSGE model for forecasting the South African economyJOURNAL OF FORECASTING, Issue 5 2009Dave' Liu, Guangling Abstract This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood technique for quarterly data over the period of 1970:1,2000:4. Based on a recursive estimation using the Kalman filter algorithm, out-of-sample forecasts from the NKDSGE model are compared with forecasts generated from the classical and Bayesian variants of vector autoregression (VAR) models for the period 2001:1,2006:4. The results indicate that in terms of out-of-sample forecasting, the NKDSGE model outperforms both the classical and Bayesian VARs for inflation, but not for output growth and nominal short-term interest rate. However, differences in RMSEs are not significant across the models. Copyright © 2008 John Wiley & Sons, Ltd. [source] The Political Economy of Postmaterialism: Material Explanations of Changing ValuesECONOMICS & POLITICS, Issue 2 2002Robert Grafstein This paper uses a dynamic stochastic general equilibrium (DSGE) model of the US political economy to explore the impact of public insurance on the way individuals react to partisan changes in economic policy. In response to these aggregate political shocks, individuals rely on public insurance to insulate them from government-induced volatility in consumption. As a result, the public appears to be relatively less materialistic in its vote choices as well as in "values" surveys, but only because its underlying materialism has less political salience. Thus this insurance model provides an alternative analysis of the rise of "postmaterialist values" and their relation to unemployment. [source] TECHNOLOGY SHOCKS AND ROBUST SIGN RESTRICTIONS IN A EURO AREA SVAR,INTERNATIONAL ECONOMIC REVIEW, Issue 3 2009Gert Peersman We use a model-based identification strategy to estimate the impact of technology shocks on hours worked and employment in the euro area. The sign restrictions applied in the vector autoregression (VAR) analysis are consistent with a large class of dynamic stochastic general equilibrium (DSGE) models and are robust to parameter uncertainty. The results are in line with the conventional Real Business Cycle (RBC) interpretation that hours worked rise as a result of a positive technology shock. By comparing the sign restrictions method to the long-run restriction approach of Galí (Quaterly Journal of Economics,(1992) 709,38), we show that the results do not depend on the stochastic specification of the hours worked series or the data sample but only on the identification scheme. [source] Does Government Spending Crowd in Private Consumption?INTERNATIONAL FINANCE, Issue 3 2005Empirical Evidence for the Euro Area, Theory In this paper, we revisit the effects of government spending shocks on private consumption which have been at centre stage of the macroeconomic policy debate for quite a long time. We conduct our analysis in an estimated model of the euro area, which is representative of a new generation of dynamic stochastic general equilibrium (DSGE) models usable for quantitative policy analysis. We show that the inclusion of non-Ricardian households, which simply consume their current disposable income, is in general conducive to raising the level of consumption in response to government spending shocks when compared with a benchmark specification without non-Ricardian households. However, we find that there is only a fairly small chance that government spending shocks crowd in consumption, mainly because the estimated share of non-Ricardian households is relatively low, but also because of the large negative wealth effect induced by the highly persistent nature of government spending shocks. [source] Non-stationary Hours in a DSGE ModelJOURNAL OF MONEY, CREDIT AND BANKING, Issue 6 2007YONGSUNG CHANG Bayesian econometrics; DSGE models; non-stationary hours The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Using Bayesian methods we estimate a stochastic growth model in which hours worked are stationary and a modified version with permanent labor supply shocks. If firms can freely adjust labor inputs, the data support the latter specification. Once we introduce frictions in terms of labor adjustment costs, the overall time series fit improves and the model specification in which labor supply shocks and hours worked are stationary is preferred. [source] | ||||||||||