Data-Rich DSGE and Dynamic Factor Models:
Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2011
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 11/216 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates |
| Beschreibung: | 1 Online-Ressource (49 p) |
| ISBN: | 1463903499 9781463903497 |
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| 520 | 3 | |a Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates | |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:20Z |
| indexdate | 2024-07-10T09:35:28Z |
| institution | BVB |
| isbn | 1463903499 9781463903497 |
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| series2 | IMF Working Papers |
| spelling | Kryshko, Maxym Verfasser aut Data-Rich DSGE and Dynamic Factor Models Kryshko, Maxym Washington, D.C International Monetary Fund 2011 1 Online-Ressource (49 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/216 Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates Online-Ausg http://elibrary.imf.org/view/IMF001/12197-9781463903497/12197-9781463903497/12197-9781463903497.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kryshko, Maxym Data-Rich DSGE and Dynamic Factor Models |
| title | Data-Rich DSGE and Dynamic Factor Models |
| title_auth | Data-Rich DSGE and Dynamic Factor Models |
| title_exact_search | Data-Rich DSGE and Dynamic Factor Models |
| title_exact_search_txtP | Data-Rich DSGE and Dynamic Factor Models |
| title_full | Data-Rich DSGE and Dynamic Factor Models Kryshko, Maxym |
| title_fullStr | Data-Rich DSGE and Dynamic Factor Models Kryshko, Maxym |
| title_full_unstemmed | Data-Rich DSGE and Dynamic Factor Models Kryshko, Maxym |
| title_short | Data-Rich DSGE and Dynamic Factor Models |
| title_sort | data rich dsge and dynamic factor models |
| url | http://elibrary.imf.org/view/IMF001/12197-9781463903497/12197-9781463903497/12197-9781463903497.xml |
| work_keys_str_mv | AT kryshkomaxym datarichdsgeanddynamicfactormodels |