Bayesian Analysis of DSGE Models

An, Sung Yong; Schorfheide, Frank

doi:10.1080/07474930701220071

Cited by 933 publications

(249 citation statements)

References 99 publications

(86 reference statements)

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“…To overcome the resulting stochastic singularity two options are available: either basing estimation on as many observed variables as there are shocks; or adding measurement error shocks, completing the probability space of each model so as to render the theoretical covariance matrix of the variables in   no longer singular 4 . Within the context of our investigation each alternative offers advantages and disadvantages.…”

Section: Data and Implementationmentioning

confidence: 99%

On the Sources of Aggregate Fluctuations in Emerging Economies

Chang¹,

Martín²

2010

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Recent research on macroeconomic fluctuations in emerging economies has focused in two leading approaches: introducing a stochastic productivity trend, in addition to temporary productivity shocks; or allowing for foreign interest rate shocks coupled with financial frictions. This paper compares the two approaches empirically, and also evaluates a model that encompasses them, taking advantage of recent developments in the theory and implementation of Bayesian methods. The encompassing model assigns a significant role to interest rate shocks and financial frictions, but not to trend shocks, in generating and amplifying aggregate fluctuations. Formal model comparison exercises favor models with financial frictions over the stochastic trend model, although this is sensitive to the inclusion of measurement errors. Of the two financial frictions we consider, working capital versus spreads linked to expected future productivity, the latter emerges as key for a reasonable approximation to the data.

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Section: Data and Implementationmentioning

confidence: 99%

On the Sources of Aggregate Fluctuations in Emerging Economies

Chang¹,

Martín²

2010

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“…A literatura apresenta diversos procedimentos para a determinação do valor dos parâmetros de modelos DSGE, desde abordagens informais como a calibração (ver, por exemplo, Kydland & Prescott, 1982), que evoluíram para a estimação formal usando método generalizado dos momentos (ver, entre outros, Christiano et al, 2005), a estimações baseadas em funções de verossimilhança tanto com abordagem clássica (McGrattan, 1994), quanto com a Bayesiana (An & Schorfheide, 2007).…”

Section: Estimaçãounclassified

“…Entretanto, a estimação Bayesiana de modelos DSGE possui vantagens em relação aos métodos de estimação clássicos, pois permite incorporar informações adicionais disponíveis ao pesquisador à estimação dos parâmetros através de distribuições a priori para estes (ver An & Schorfheide, 2007, para uma discussão a respeito de outras vantagens desta abordagem). Estas informações a priori podem servir para reduzir a importância de determinadas regiões do espaço paramétrico que não condizem com observações do mundo real não contidas no vetor de séries de tempo utilizado na estimação.…”

Section: Estimaçãounclassified

Multiplicadores Fiscais e Investimento em Infraestrutura

Moura

2015

Revista Brasileira De Economia

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INTRODUÇÃOA atual crise internacional reacendeu o interesse a respeito dos efeitos econômicos de políticas fiscais, fazendo com que a atenção de economistas e formuladores de política retornasse para questões fiscais antes ofuscadas pelo debate monetário. Pergunta fundamental neste interesse renovado é a efetividade dos gastos públicos como ferramenta de estímulo econômico. Esta efetividade é avaliada com frequência em termos do multiplicador dos gastos do governo, ou seja, do efeito no produto agregado de gastos públicos. Entretanto, diferentemente do que ocorre com a política monetária, os efeitos e impactos de

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“…See An and Schorfheide (2007) for a review of Bayesian methods for the estimation of DSGE models. Note 2.…”

Section: Notesmentioning

confidence: 99%

Currency Substitution and Monetary Policy Effects: The Case of Latin American Countries

Kumamoto¹,

Kumamoto²

2017

IJEF

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In this study, we empirically investigate how currency substitution transmits foreign monetary policy shocks to domestic countries and evaluate how the central bank respond to real exchange rate movements in three inflation-targeting Latin American countries under currency substitution, namely Chile, Mexico and Peru, between 2000 and 2011. Our model is based on a small open economy dynamic stochastic general equilibrium model that incorporates currency substitution and incomplete financial markets, and we estimate it by using Bayesian estimation techniques. Our empirical results are as follows. First, the degree of currency substitution is higher in Mexico, while it is negligible in Chile and Peru, which reflects the slight differences in the parameter values capturing the preference for the domestic currency among these countries. Second, the estimated coefficients of the real exchange rate gap in the monetary policy rule are high, meaning that the central banks in these countries actively respond to real exchange rate movements to diminish real exchange rate volatility. Third, domestic monetary policy influences the domestic economy through the real interest rate channel. On the contrary, foreign monetary policy has a significant effect in Mexico, while it is insignificant in Chile and Peru. This finding suggests the potential instability of currency substitution in that slight changes in the parameter values capturing the preference for the domestic currency alter the degree of insulation from foreign monetary policy shocks.

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Bayesian Analysis of DSGE Models

Cited by 933 publications

References 99 publications

On the Sources of Aggregate Fluctuations in Emerging Economies

On the Sources of Aggregate Fluctuations in Emerging Economies

Multiplicadores Fiscais e Investimento em Infraestrutura

Currency Substitution and Monetary Policy Effects: The Case of Latin American Countries

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