scholarly journals DETERMINING OPTIMAL MONETARY AND CURRENCY POLICIES WITH DSGE MODELING

2019 ◽  
pp. 8-18
Author(s):  
Ekaterina A. Gubkova
Keyword(s):  
Dsge Modeling

Will Abenomics Expand Employment?–Interpreting Abenomics Through DSGE Modeling

2018 ◽  
pp. 187-207
Author(s):  
Minoru Hayashida ◽  
Masaya Yasuoka ◽  
Ryoichi Nanba ◽  
Hiroyuki Ohno
Keyword(s):  
Dsge Modeling

scholarly journals Reflections on macroeconometric modeling

2015 ◽  
Vol 15 (1) ◽  
Author(s):  
Ray C. Fair
Keyword(s):  
General Model ◽  
Wealth Effects ◽  
Large Role ◽  
Road Map ◽  
Cowles Commission ◽  
Personal Reflections ◽  
Dsge Modeling ◽  
Area Section ◽  
Macroeconometric Modeling

AbstractI have been doing research in macroeconomics since the late 1960s, almost 50 years. In this paper I pause and take stock. The paper is part personal reflections on macroeconometric modeling, part a road map of the techniques of macroeconometric modeling, and part comments on what I think I have learned about how the macroeconomy works from my research in this area. Section 1 contrasts the methodology of the Cowles Commission approach with that of DSGE modeling. Section 2 presents the general model that I am using; Section 3 discusses theory; and Section 4 discusses estimation and solution. Section 5 then discusses various results from the estimation; Section 6 discusses various properties of the model; and Section 7 uses the model to analyze various economic events. Wealth effects play a large role in the analysis of past events.

FINANCIAL INTEGRATION AND MACROECONOMIC VOLATILITY: NEW EVIDENCE FROM DSGE MODELING

2019 ◽  
Vol 14 (02) ◽  
pp. 1950007 ◽  
Author(s):  
TAREK GHAZOUANI ◽  
RAMZI DRISSI ◽  
JAMEL BOUKHATEM
Keyword(s):  
Interest Rates ◽  
Capital Mobility ◽  
Financial Integration ◽  
Nominal Exchange Rate ◽  
Empirical Literature ◽  
Macroeconomic Volatility ◽  
Policy Shocks ◽  
Short Run ◽  
Dynamic Stochastic ◽  
Dsge Modeling

This paper provides a brief overview of theoretical and empirical literature on financial integration and macroeconomic volatility nexus highlighting how the degree of financial integration affects the volatility of macroeconomic fundamentals. Using a dynamic stochastic general equilibrium (DSGE) model, our findings show that: (i) higher degree of financial integration tends to decrease short-run volatility; (ii) following monetary policy shocks, financial integration increases nominal exchange rate and output volatility and reduces both nominal and real interest rates and consumption volatility; and (iii) in response to fiscal shocks, financial integration stabilizes all variables under the assumption of perfect capital mobility.

DSGE Modeling on an iPhone/iPad Using SpaceTime

2011 ◽  
Vol 40 (4) ◽  
pp. 313-332
Author(s):  
Andrew P. Blake
Keyword(s):  
Dsge Modeling

scholarly journals DSGE Modeling At the Fund: Applications and Further Developments

2007 ◽  
Vol 07 (200) ◽  
pp. 1 ◽  
Author(s):  
Dennis P. J. Botman ◽  
David Rose ◽  
Douglas Laxton ◽  
Philippe D Karam ◽  
◽  
...  
Keyword(s):  
Dsge Modeling

scholarly journals THE REGIME-DEPENDENT EVOLUTION OF CREDIBILITY: A FRESH LOOK AT HONG KONG'S LINKED EXCHANGE RATE SYSTEM

2018 ◽  
Vol 23 (06) ◽  
pp. 2434-2468 ◽  
Author(s):  
Boris Blagov ◽  
Michael Funke
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Exchange Rate Regime ◽  
Nonlinear Process ◽  
Modeling Framework ◽  
Baseline Model ◽  
Rate System ◽  
Macroeconomic Shocks ◽  
Exchange Rate System ◽  
Dsge Modeling

An estimated Markov-switching DSGE modeling framework that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent credibility of Hong Kong's linked exchange rate system. The baseline model distinguishes two regimes with respect to the time-series properties of the risk premium. Regime-dependent impulse responses to macroeconomic shocks reveal substantial differences in spreads. To test the sensitivity of the results, a number of robustness checks are performed. The findings contribute to efforts at modeling exchange rate regime credibility as a nonlinear process with two distinct regimes.

Contrasting Visions for Macroeconomic Theory: DSGE and OEE

2018 ◽  
Vol 65 (1) ◽  
pp. 28-50 ◽  
Author(s):  
Abigail N. Devereaux ◽  
Richard E. Wagner
Keyword(s):  
Economic System ◽  
Coordination Games ◽  
Dynamic Stochastic General Equilibrium ◽  
Macroeconomic Theory ◽  
Aggregate Properties ◽  
Ecology Of Games ◽  
Dynamic Stochastic ◽  
Macro Variables ◽  
Dsge Modeling ◽  
Jel Classifications

Dynamic stochastic general equilibrium (DSGE) modeling remains the workhorse of contemporary macroeconomics despite a growing number of critiques of its ability to explain the aggregate properties of an economic system. For the most part, those critiques accept the DSGE presumption that traditional macro data are primitive, causal data. This leads to a stipulative style of analysis where macro variables are explained in terms of one another. In contrast, we set forth an open-ended evolutionary (OEE) framework for an OEE macroeconomics. Within this framework, systems data are not primitive, but are derived from prior microlevel interactions without any presumption that those macrolevel derivations reflect systemic equilibrium among the microlevel primitive sources of action. We explore some contours of an OEE framework by placing coordination games within an ecological setting where there is no agent who has universal knowledge relevant to that ecology of games.JEL Classifications: B40, C73, D51, D85, E02

scholarly journals DSGE MODELING IN THE FOCUS OF FISCAL AND MONETARY ISSUES

2021 ◽  
Author(s):  
Serhii Shvets ◽  
Keyword(s):  
Economic Policy ◽  
Driving Forces ◽  
Developing Economies ◽  
Public Investment ◽  
Developed Countries ◽  
Developing Economy ◽  
Limited Mobility ◽  
Dynamic Stochastic ◽  
Low Efficiency ◽  
Dsge Modeling

Due to the intensification of the economic crisis in the late 20th – early 21st, fiscal and monetary issues have activated an impressive discourse, which became the prominent markers of helpful research engines for supporting sustainable development in the face of increasing debt burden. One of the most effective scenario modeling methods for implementing economic policy is the Dynamic Stochastic General Equilibrium (DSGE) model. The global practice in operating with such a tool is focused mainly on developed countries, while developing economies have significant differences and require notable adjustments. The goal of the presented study is to highlight the exercise of solving fiscal and monetary issues using a DSGE modeling toolkit for a developing economy. An incomplete list of proven features of DSGE modeling for a developing economy regarding the solution of fiscal and monetary issues includes: a high proportion of non-Ricardian consumers, forced unemployment, limited competition in the labor market, a significant volume of remittances, low efficiency and high capital return of public investment, low degree of home bias, smoothing crowding-out effect, financial repressions, limited mobility in the international capital market, lack of clear and transparent rules, and overruled fiscal and monetary spaces. In the context of the fiscal and monetary study, problematic issues of DSGE modeling are not limited only to the difficulties of theoretical and technical solutions. With the gradual elimination of barriers between the sectors in the world economy due to global transformations, the driving forces of growth require reviewing the anti-crisis management toolkit. Taking into account the progressive technological shifts in the field of information transmission and processing, the solution of the listed problematic issues related to the theoretical and technical support of DSGE modeling for a developing economy adds a new definition to the powerful hardware tool that reproduces specific scenario conditions for assessing the consequences of economic policy implementations.

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