Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model:
When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simp...
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. 11/219 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U.S.data on real output, inflation, nominal interest rates, measures of inverse money velocity, and a large panel of informational series, we compare the data-rich DSGE model with the regular - few observables, perfect measurement - DSGE model in terms of deep parameter estimates, propagation of monetary policy and technology shocks and sources of business cycle fluctuations. We document that the data-rich DSGE model generates a higher implied duration of Calvo price contracts and a lower slope of the New Keynesian Phillips curve. To reduce the computational costs of the likelihood-based estimation, we employed a novel speedup as in Jungbacker and Koopman (2008) and achieved the time savings of 60 percent |
| Beschreibung: | 1 Online-Ressource (60 p) |
| ISBN: | 1463904215 9781463904210 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:20Z |
| indexdate | 2024-07-10T09:35:28Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Kryshko, Maxym Verfasser aut Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model Kryshko, Maxym Washington, D.C International Monetary Fund 2011 1 Online-Ressource (60 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/219 When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U.S.data on real output, inflation, nominal interest rates, measures of inverse money velocity, and a large panel of informational series, we compare the data-rich DSGE model with the regular - few observables, perfect measurement - DSGE model in terms of deep parameter estimates, propagation of monetary policy and technology shocks and sources of business cycle fluctuations. We document that the data-rich DSGE model generates a higher implied duration of Calvo price contracts and a lower slope of the New Keynesian Phillips curve. To reduce the computational costs of the likelihood-based estimation, we employed a novel speedup as in Jungbacker and Koopman (2008) and achieved the time savings of 60 percent Online-Ausg http://elibrary.imf.org/view/IMF001/12201-9781463904210/12201-9781463904210/12201-9781463904210.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kryshko, Maxym Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title_auth | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title_exact_search | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title_exact_search_txtP | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title_full | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model Kryshko, Maxym |
| title_fullStr | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model Kryshko, Maxym |
| title_full_unstemmed | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model Kryshko, Maxym |
| title_short | Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model |
| title_sort | bayesian dynamic factor analysis of a simple monetary dsge model |
| url | http://elibrary.imf.org/view/IMF001/12201-9781463904210/12201-9781463904210/12201-9781463904210.xml |
| work_keys_str_mv | AT kryshkomaxym bayesiandynamicfactoranalysisofasimplemonetarydsgemodel |