Dynamic Stochastic Equilibrium

2019 ◽  
Author(s):  
Rossano Giandomenico
Keyword(s):  
Stochastic Equilibrium ◽  
Dynamic Stochastic

scholarly journals DOES MONETARY POLICY GENERATE RECESSIONS?

2006 ◽  
Vol 10 (2) ◽  
pp. 231-272 ◽  
Author(s):  
CHRISTOPHER A. SIMS ◽  
TAO ZHA
Keyword(s):  
Monetary Policy ◽  
Equilibrium Model ◽  
Extensive Discussion ◽  
Stochastic Equilibrium ◽  
Systematic Component ◽  
Dynamic Stochastic ◽  
Output Variance

We consider two kinds of answers to the title question: Do random shifts in monetary policy account for historical recessions, and would changes in the systematic component of monetary policy have allowed reductions in inflation or output variance without substantial costs. The answer to both questions is no. We use weak identifying assumptions and include extensive discussion of these assumptions, including a completely specified dynamic stochastic equilibrium model in which our identifying assumptions can be shown to be approximately satisfied.

Bayesian Estimation of DSGE Models

2015 ◽  
Author(s):  
Edward P. Herbst ◽  
Frank Schorfheide
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Likelihood Function ◽  
Academic Research ◽  
Dynamic Stochastic General Equilibrium ◽  
Computational Techniques ◽  
Dsge Models ◽  
Monte Carlo Techniques ◽  
Dynamic Stochastic ◽  
Theoretical Foundations

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. The book is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

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