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Estimation and Solution of Models with Expectations and Structural Changes (r...
In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about... -
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS (replication data)
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the... -
PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS (repli...
In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically,... -
WAS THE GOLD STANDARD REALLY DESTABILIZING? (replication data)
This paper investigates the extent to which the high macroeconomic volatility experienced in the classical Gold Standard era of US history can be attributed to the monetary... -
Risk aversion, intertemporal substitution, and the term structure of interest...
We build and estimate an equilibrium model of the term structure of interest rates based on a recursive utility specification. We contrast it with an arbitrage-free model, where... -
Estimating dynamic equilibrium economies: linear versus nonlinear likelihood ...
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take...
