Author: Rochelle Mary EdgePublisher:
ISBN:
Category : United States
Languages : en
Pages : 54
Book Description
Natural Rate Measures in an Estimated DSGE Model of the U.S. Economy
Author: Rochelle Mary EdgePublisher:
ISBN:
Category : United States
Languages : en
Pages : 54
Book Description
Output Gaps
Author: Michael T. KileyDocumenation of the Research and Statistics Division's Estimated DSGE Model of the U.S. Economy
Author: Rochelle M. EdgeWelfare-maximizing Monetary Policy Under Parameter Uncertainty
Author: Rochelle Mary EdgePublisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 78
Book Description
This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the U.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model's utility-based welfare criterion and about the economy's natural rate measures of interest and output. We analyze the characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We find that the natural rates of interest and output are imprecisely estimated. We then show that, relative to the case of known parameters, optimal policy under parameter uncertainty responds less to natural-rate terms and more to other variables, such as price and wage inflation and measures of tightness or slack that do not depend on natural rates.
Measures of Potential Output from an Estimated Dynamic Stochastic General Equilibrium Model of the United States
Author: Michel JuillardPublisher:
ISBN:
Category : Bayesian statistical decision theory
Languages : en
Pages : 73
Book Description
Designing a Simple Loss Function for Central Banks
Author: Davide DebortoliPublisher: International Monetary Fund
ISBN: 1484311752
Category : Business & Economics
Languages : en
Pages : 56
Book Description
Yes, it makes a lot of sense. This paper studies how to design simple loss functions for central banks, as parsimonious approximations to social welfare. We show, both analytically and quantitatively, that simple loss functions should feature a high weight on measures of economic activity, sometimes even larger than the weight on inflation. Two main factors drive our result. First, stabilizing economic activity also stabilizes other welfare relevant variables. Second, the estimated model features mitigated inflation distortions due to a low elasticity of substitution between monopolistic goods and a low interest rate sensitivity of demand. The result holds up in the presence of measurement errors, with large shocks that generate a trade-off between stabilizing inflation and resource utilization, and also when ensuring a low probability of hitting the zero lower bound on interest rates.
The Implications of Financial Frictions and Imperfect Knowledge in the Estimated DSGE Model of the U.S. Economy
Author: Yuliya RychalovskáPublisher:
ISBN: 9788073432867
Category : United States
Languages : en
Pages : 43
Book Description
The Implications of Financial Frictions and Imperfect Knowledge in the Estimated DSGE Model of the U.S. Economy
Author: Yuliya RychalovskáPublisher:
ISBN: 9788073442781
Category :
Languages : en
Pages : 43
Book Description
Documentation of the Research and Statistics Divisions Estimated DSGE Model of the U.S. Economy
Author: Rochelle M. EdgePublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project (the Federal Reserve Board's Estimated, Dynamic, Optimization-based - FRB/EDO - model project) in the Macroeconomic and Quantitative Studies section of the Federal Reserve Board aimed at developing a DSGE model that can be used to address practical policy questions and the model documented here is the version that was current at the end of 2006. The paper discusses the model's specification, estimated parameters, and key properties.
Bayesian Estimation of DSGE Models
Author: Edward P. HerbstPublisher: Princeton University Press
ISBN: 0691161089
Category : Business & Economics
Languages : en
Pages : 295
Book Description
Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. Bayesian Estimation of DSGE Models is essential reading for graduate students, academic researchers, and practitioners at policy institutions.