Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices

Kliem, Martin; Uhlig, Harald

doi:10.3982/qe396

Cited by 19 publications

(15 citation statements)

References 69 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Table 5 shows long-run moments produced by the global and local solutions, including for the latter results from baseline and targeted calibrations and for partial and full RSS. 18 The local solutions under the baseline calibration do poorly at matching the GLB moments. The global solution yields an average NFA position of -41.3 percent of GDP, nearly 10 percentage points higher than the -51 percent at the deterministic steady state (which is the average for the 1OA solution because of certainty equivalence).…”

Section: A) Decision Rules Of Nfa and Net Exportsmentioning

confidence: 99%

Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets

Groot¹,

Durdu

Mendoza

2020

FEDS

View full text Add to dashboard Cite

Global and local methods are widely used in international macroeconomics to analyze incompletemarkets models. We study solutions for an endowment economy, an RBC model and a Sudden Stops model with an occasionally binding credit constraint. First-order, second-order, risky steady state and DynareOBC solutions are compared v. fixed-point-iteration global solutions in the time and frequency domains. The solutions differ in key respects, including measures of precautionary savings, cyclical moments, impulse response functions, financial premia and macro responses to credit constraints, and periodograms of consumption, foreign assets and net exports. The global method is easy to implement and faster than local methods for the endowment model. Local methods are faster for the RBC model and the global and DynareOBC solutions are of comparable speed. These findings favor global methods except when prevented by the curse of dimensionality and urge caution when using local methods. Of the latter, firstorder solutions are preferable because results are very similar to second-order methods.

show abstract

Section: A) Decision Rules Of Nfa and Net Exportsmentioning

confidence: 99%

Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets

Groot¹,

Durdu

Mendoza

2020

FEDS

View full text Add to dashboard Cite

show abstract

“…We solve and simulate the model in two steps, following Kliem and Uhlig (2011). In the first step, we obtain second-order approximate solutions of the agent's decision rules at the deterministic stationary solution.…”

Section: Computation Of the Equity Premiummentioning

confidence: 99%

Cyclical asset returns in the consumption and investment goods sector

Heer

Maußner

Süßmuth

2018

Review of Economic Dynamics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with habit formation and sector-specific adjustment costs of capital. The model is able to replicate the equity premium and the Sharpe values observed empirically. In addition, we are able to match the empirical fact that equity returns in the two sectors are not correlated with output.

show abstract

“…In a real economy, the output can be consumed and partly invested to the form of physical capital. Hence, the law of motions of capital is defined as (10) where b t is a shock affecting incorporated technological progress. Physical depreciation δ is expressed as 0 < δ < 1.…”

Section: Bayesian Dynamic Stochastic General Equilibrium Modelling (Bmentioning

confidence: 99%

“…This paper is proposed to computationally use the MS-model to classify switching regimes in Thailand tourism trends. Regarding to DSGE model, Fernández-Villaverde [9] and Kliem and Uhlig [10] applied it to clarify the dynamic parameters in financial economics. Consequently, it is sensible that DSGE model which based on the Bayesian way can be employed to dynamically predict Thailand tourism parameters.…”

Section: Introductionmentioning

confidence: 99%

Application of the Bayesian Dsge Model to the International Tourism Sector: Evidence From Thailand’s Economic Cycle

Wannapan

Chaiboonsri

Sriboonchitta

2018

WIT Transactions on Ecology and the Environment

View full text Add to dashboard Cite

This paper is intended for clarifying and forecasting the dynamic structural components inside the relationship between tourism income and economic cycling parameters. Quarterly time-series variables such as Thailand tourism revenues and gross domestic products are collected during the period of 1997 to 2016. The simulation methods using the Marko Chain Monte-Carlo approach (MCMC) and Metropolis-Hasting algorithm (MH) which are Bayesian seasonal unit-root testing (B-HEGY), Markov Switching Bayesian VAR (MSBVAR), and Bayesian Dynamic Stochastic General Equilibrium modelling (B-DSGE). Empirically, the results estimated by the MSBVAR model strongly confirm that the business cycles of Thailand tourism are divided into two stages based on business cycle facts, which are in high-season and low-season periods. From the results of the B-DSGE model, the outcomes represent both capital and labour factors of tourism sectors in high-seasonal moments that are positive for Thailand economic expansions. This can be explained that there is no anxiety and any increments of tourism revenues that could lead to systematically boot up employments in economy system. Tourism policies should be implemented for extending high-season moments for as long as possible. Conversely, the results of the dynamic simulated model show that low-seasonal periods negatively cause fluctuations in the economic system, especially the sudden shut down of labour sectors. Therefore, training programs for skilled labour improving in service sectors and technology adaptations should be intensively activated. Accordingly, changing low-season periods to high-seasonal moments is the main purpose that policy makers should focus on.

show abstract

Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices

Cited by 19 publications

References 69 publications

Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets

Approximately Right?: Global v. Local Methods for Open-Economy Models with Incomplete Markets

Cyclical asset returns in the consumption and investment goods sector

Application of the Bayesian Dsge Model to the International Tourism Sector: Evidence From Thailand’s Economic Cycle

Contact Info

Product

Resources

About