نتایج جستجو برای: الگو dsge
تعداد نتایج: 10067 فیلتر نتایج به سال:
The presence of stochastic and deterministic trends in DSGE models may imply that the values of the agentsobjective functions are in nite. For the households, this might happen if the consumption process has a su¢ ciently high growth rate and the subjective discount factor is very close to 1. The problem associated with objective functions attaining in nite values is that they do not have an ...
Bayesian estimation of DSGE models typically uses Markov chain Monte Carlo as importance sampling (IS) algorithms have a difficult time in high-dimensional spaces. I develop improved IS algorithms for DSGE models using recent advances in Monte Carlo methods known as sequential Monte Carlo samplers. Sequential Monte Carlo samplers are a generalization of particle filtering designed for full simu...
In this paper we treat the issue of forecasting with DSGE and DSGE-VAR models, with particular attention to Bayesian estimation of the predictive distribution and its mean and covariance. As a novel contribution to the forecasting literature, which extends beyond (log-linearized) DSGE models and DSGE-VARs, we show how the value of the h-step-ahead marginal and joint predictive likelihood for a ...
This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t -distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DS...
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets i...
چکیده در این مطالعه به بررسی قاعده بهینه سیاست پولی در دو رژیم نرخ ارز شناور و مدیریت شده با استفاده از یک الگوی تعادل عمومی پویای تصادفی (dsge) پرداخته شده است. طراحی الگو مطابق با شرایط یک اقتصاد صادر کننده نفت صورت گرفته است. در این الگو فرض می شود که بانک مرکزی در رژیم ارزی شناور از قاعده سیاستی بهینه در رابطه با تابع زیان بانک مرکزی به منظور تثبیت اقتصاد کلان در یک اقتصاد باز کوچک بهره می ...
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However, recent empirical research on factor models has shown that information contained in large data sets i...
This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE mode...
در پژوهش حاضر سعی بر آن است تا کارایی رژیم های مختلف ارزی بر اساس کاهش زیان بانک مرکزی در قالب یک الگوی تعادل عمومی پویای تصادفی (dsge) با توجه به شرایط یک اقتصاد صادرکننده نفت، مورد بررسی قرار گیرد. بدین ترتیب پس از تنظیم الگو با در نظر گرفتن ویژگی های ساختاری یک اقتصاد صادرکننده نفت و به دست آوردن ضرایب بهینه قواعد پولی تحت هر یک از رژیم های ارزی، مقدار تابع زیان بانک مرکزی مورد مقایسه قرار م...
First-order approximation methods are a standard technique for analyzing the local dynamics of dynamic stochastic general equilibrium (DSGE) models. Although linear methods yield quite accurate solutions for a broad class of DSGE models, some important economic issues (e.g., portfolio choice and welfare) cannot be adequately addressed by first-order methods. This paper provides yet another case...
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