Bayesian Analysis of DSGE Models

Abstract

This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the nonlinear estimation based on a second-order accurate model solution. These methods are applied to data generated from correctly specified and misspecified linearized DSGE models, and a DSGE model that was solved with a second-order perturbation method. (JEL C11, C32, C51, C52)

On the choice of monetary policy rules for China: A Bayesian DSGE approach

“…Also recall that v = 1 and a [1] = 0 in the steady state. Evaluating the equilibrium conditions listed in Appendix B in the steady state and rearranging terms, we get the following equations:…”

“…Its multiple objectives include maintaining price stability, maximizing employment, promoting economic growth and achieving balance of payments equilibrium. Among these objectives, promoting eco- 1 We also refer to the Taylor-type interest rate rule and the money growth rule as price rule and quantity rule, respectively. 2 There exists a growing literature applying the rule-based DSGE framework to developing countries.…”

Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model

“…Besides the parameters mentioned earlier, other ones from DSGE models with variation in the Markov switching regime (MS-DSGE models) were analyzed, such as technological growth rate and nominal price rigidity, Phillips curve parameters such as indexation rate or exchange rate pass-through effect or only the price rigidity parameter. 3 In regard to the theoretical models that allow certain parameters to vary according to the Markov regime, we highlight those DSGE models proposed by Lubik & Schorfheide (2004), Christiano, Eichenbaum & Evans (2005), Gali & Monacelli (2005), A c c e p t e d M a n u s c r i p t 3 An & Schorfheide (2007), Smets & Wouters (2007) and Justiniano & Preston (2010), among others.…”

Monetary policy shocks and Cholesky VARs: an assessment for the Euro area

“…We estimate the model (1)-(4) with Bayesian methods-for an in-depth investigations on Bayesian estimation of DSGE models, see An and Schorfheide (2007). We work with quarterly Euro area data, sample: 1993:IV-2008:III.…”