Assessing Dsge Models With Capital Accumulation And Indeterminacy
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| Author | : Mr.Vadim Khramov |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2012-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1475582463 |
The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
| Author | : Vadim Khramov |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
This paper studies New Keynesian DSGE models with capital accumulation, different Taylor rules, and the potential for indeterminacy. It is shown that investment activity creates additional channels for monetary policy influence, which allow for the reconsideration of some of the key findings of previous papers. First, while most canonical Keynesian models fail to replicate the high levels of autocorrelation among primary economic variables, the simulated results of this paper show that models with capital accumulation can, in fact, generate substantial persistencies. Secondly, using a Bayesian approach, this paper estimates different modifications of the models with capital accumulation on U.S. data from 1960:I to 2008:I. The results of this paper differ from the findings of earlier papers. In contrast to Lubik and Schorfheide (2004) and Clarida, Gali and Gertler (2000), this paper finds that the response of monetary policy to inflation is substantially lower, the response of the monetary policy rule to output is higher, household's risk aversion increased substantially over time, and the targeted inflation rate was substantially lower for the post-1982 period. Finally, a Bayesian comparison of the models declared that models with indeterminacy dominate determinate models for various periods of U.S. history.
| Author | : Merijn Knibbe |
| Publisher | : Routledge |
| Total Pages | : 264 |
| Release | : 2019-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1351136690 |
Ideally, scientific theory and scientific measurement should develop in tandem, but in recent years this has not been the case in economics. There used to be a time when leading economists, or their students, established or led statistical offices and took care that the measurements were consistent with the theory (and vice versa). Not anymore. Macroeconomic theorists and macroeconomic statisticians do not even speak the same language any longer. They do use the same words, such as ‘consumption’, ‘investments’ or ‘unemployment’ but the meanings can often be different. This book maps the differences between macroeconomic theory and measurement and explores them in some detail while also tracking their intellectual, historical and, in some cases, ideological origins. It also explores the possible policy implications. In doing so, the book draws on two separate strands of literature which are seldom used in unison: macro-statistical manuals and theoretical macro-papers. By doing so, the book contributes to the effort to bridge the gap between them without compromising on the idea that a meaningful science of economics should, in the end, be based upon individual people and households and their social and cultural embedding instead of a ‘representative consumer’, or Robinson Crusoe figure. This work is essential reading for students, economists, statisticians, and professionals.
| Author | : International Monetary Fund. Research Dept. |
| Publisher | : International Monetary Fund |
| Total Pages | : 54 |
| Release | : 2012-06-05 |
| Genre | : Business & Economics |
| ISBN | : 1475527403 |
The research summaries in the June 2012 issue of the IMF Research Bulletin are "Public Debt in Advanced Economies and Its Spillover Effects on Long-Term Yields" (by C. Emre Alper and Lorenzo Forni) and "Expansionary Fiscal Contractions: The Empirical Evidence" (by Rina Bhattacharya and Sanchita Mukherjee). The Q&A covers "Seven Questions about Income Inequality" (by Laura Feiveson). Also included in this issue are details on visiting scholars at the IMF, a listing of recently published IMF Working Papers and Staff Discussion Notes, as well as information on IMF Economic Review.
| Author | : Edward P. Herbst |
| Publisher | : Princeton University Press |
| Total Pages | : 295 |
| Release | : 2015-12-29 |
| Genre | : Business & Economics |
| ISBN | : 0691161089 |
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.
| Author | : Mr.Pau Rabanal |
| Publisher | : International Monetary Fund |
| Total Pages | : 68 |
| Release | : 2004-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1451875657 |
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
| Author | : John Geweke |
| Publisher | : Oxford University Press |
| Total Pages | : 576 |
| Release | : 2011-09-29 |
| Genre | : Business & Economics |
| ISBN | : 0191618268 |
Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
| Author | : George Alogoskoufis |
| Publisher | : MIT Press |
| Total Pages | : 801 |
| Release | : 2019-12-17 |
| Genre | : Business & Economics |
| ISBN | : 0262355124 |
An advanced treatment of modern macroeconomics, presented through a sequence of dynamic equilibrium models, with discussion of the implications for monetary and fiscal policy. This textbook offers an advanced treatment of modern macroeconomics, presented through a sequence of dynamic general equilibrium models based on intertemporal optimization on the part of economic agents. The book treats macroeconomics as applied and policy-oriented general equilibrium analysis, examining a number of models, each of which is suitable for investigating specific issues but may be unsuitable for others. After presenting a brief survey of the evolution of macroeconomics and the key facts about long-run economic growth and aggregate fluctuations, the book introduces the main elements of the intertemporal approach through a series of two-period competitive general equilibrium models—the simplest possible intertemporal models. This sets the stage for the remainder of the book, which presents models of economic growth, aggregate fluctuations, and monetary and fiscal policy. The text focuses on a full analysis of a limited number of key intertemporal models, which are stripped down to essentials so that students can focus on the dynamic properties of the models. Exercises encourage students to try their hands at solving versions of the dynamic models that define modern macroeconomics. Appendixes review the main mathematical techniques needed to analyze optimizing dynamic macroeconomic models. The book is suitable for advanced undergraduate and graduate students who have some knowledge of economic theory and mathematics for economists.
| Author | : Cesare Imbriani |
| Publisher | : Springer Nature |
| Total Pages | : 238 |
| Release | : |
| Genre | : |
| ISBN | : 3031365186 |
| Author | : John B. Taylor |
| Publisher | : North Holland |
| Total Pages | : 596 |
| Release | : 1999-12-13 |
| Genre | : Business & Economics |
| ISBN | : |
This text aims to provide a survey of the state of knowledge in the broad area that includes the theories and facts of economic growth and economic fluctuations, as well as the consequences of monetary and fiscal policies for general economic conditions.
