An Application to U.S. Monetary Policy (2003)
Thomas A. Lubik, Frank Schorfheide, Ben Bernanke, Marco Del Negro, Roger Farmer
This paper considers a prototypical monetary business cycle model for the U.S. economy, in which the equilibrium is undetermined if monetary policy is `passive'. In previous multivariate studies it...
Computing Sunspot Equilibria in Linear (2002)
Thomas A. Lubik, Frank Schorfheide, Ellen Mcgrattan, Stephanie Schmitt-grohe, Martin Uribe
We provide computationally simple methods of analyzing the e#ects of fundamental and sunspot shocks in linear rational expectations models when the equilibrium is indeterminate. Under indeterminacy...
Loss Function Based Evaluation of DSGE Models (2001)
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 into account the...
Econometric modeling of macroeconomic aggregates / (1998)
Thesis (Ph. D.)--Yale University, 1998.
Take your model bowling: forecasting with general equilibrium models
Marco Del Negro, Frank Schorfheide
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center stage in academic macroeconomics. Nonetheless, these models are still rarely used in policy-making...
Testing for Indeterminacy:An Application to U.S. Monetary Policy
Thomas Lubik, Frank Schorfheide
This paper considers a prototypical monetary business cycle model for the U.S. economy, in which the equilibrium is undetermined if monetary policy is ‘inactive? In previous multivariate studies it...
A Bayesian Look at New Open Economy Macroeconomics
Thomas Lubik, Frank Schorfheide
This paper develops a small-scale two country model following the New Open Economy Macroecoenomics paradigm. Under autarky the model specializes to the familiar three equation New Keynesian dynamic...
On the fit and forecasting performance of New-Keynesian models
Marco Del Negro, Frank Schorfheide, Frank Smets, Raf Wouters
The paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and...
Learning and Monetary Policy Shifts
This paper estimates a dynamic stochastic equilibrium model in which monetary policy follows a nominal interest rate rule that is subject to regime switches in the target ination rate. Two...
Non-stationary Hours in a DSGE Model
Chang, Yongsung, Doh, Taeyoung, Schorfheide, Frank
The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can...
Monetary policy analysis with potentially misspecified models
Marco Del Negro, Frank Schorfheide
The paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along...
Bayesian Inference for Econometric Models using Empirical Likelihood Functions
Frank Schorfheide, Hyungsik Roger Moon
Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based...
Learning and Monetary Policy Shifts
This paper estimates a dynamic stochastic equilibrium model in which monetary policy follows a nominal interest rate rule that is subject to regime switches in the target ination rate. Two...
Policy Predictions if the Model Does Not Fit
Marco Del Negro, Frank Schorfheide
This paper uses a novel method for conducting policy analysis with potentially misspecified DSGE models and applies it to a simple New Keynesian DSGE model. We illustrate the sensitivity of the...
Bayesian Analysis of DSGE Models
An, Sungbae, Schorfheide, Frank
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized...
Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)
Del Negro, Marco, Schorfheide, Frank
In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence,...
Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions
Hyungsik Roger Moon, Frank Schorfheide
This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this...
Learning-by-Doing as a Propagation Mechanism
Yongsung Chang, Joao F. Gomes, Frank Schorfheide
This paper suggests that skill accumulation through past work experience, or "learning-by-doing" (LBD), can provide an important propagation mechanism in a dynamic stochastic general-equilibrium...
Marco Del Negro, Frank Schorfheide
This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and...
Computing Sunspots in Linear Rational Expectations Models
Thomas Lubik, Frank Schorfheide
Sunspots, Indeterminacy, Rational Expectations, Computational Methods
Testing for Indeterminacy in Linear Rational Expectations Models
Thomas Lubik, Frank Schorfheide
Econometric Methods, Rational Expectations Models, Indeterminacy, Monetary DSGE Models
Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach
Frank Schorfheide, Thomas A. Lubik
Bayesian Estimation, Monetary Policy Rules, Exchange Rates, Small Open Economies
Priors from general equilibrium models for VARs
Marco Del Negro, Frank Schorfheide
This paper uses a simple New Keynesian monetary DSGE model as a prior for a vector autoregression and shows that the resulting model is competitive with standard benchmarks in terms of forecasting...
Learning and monetary policy shifts
This paper estimates a dynamic stochastic equilibrium model in which agents use a Bayesian rule to learn about the state of monetary policy. Monetary policy follows a nominal interest rate rule that...
On the fit and forecasting performance of New Keynesian models
Marco Del Negro, Frank Schorfheide, Frank Smets, Raf Wouters
The paper provides new tools for the evaluation of DSGE models and applies them to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and...
Policy predictions if the model doesn’t fit
Marco Del Negro, Frank Schorfheide
This paper uses a novel method for conducting policy analysis with potentially misspecified DSGE models (Del Negro and Schorfheide 2004) and applies it to a simple New Keynesian DSGE model. We...
Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Marco Del Negro, Frank Schorfheide
In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or presample...
Take your model bowling: forecasting with general equilibrium models
Marco Del Negro, Frank Schorfheide
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center stage in academic macroeconomics. Nonetheless, these models are still rarely used in policy-making...
How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models
Marco Del Negro, Frank Schorfheide
In the constant search for better models to help guide policy decisions, central banks have begun to use and develop dynamic stochastic general equilibrium (DSGE) models. Although such models were...
FORECASTING ECONOMIC TIME SERIES
The prediction of future events and developments is an exciting and perhaps mysterious task, often associated with the aura of prophets and seers instead of probabilistic models and computer screens....
MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
Moon, Hyungsik Roger, Schorfheide, Frank
This paper analyzes the limit distribution of minimum distance (MD) estimators for nonstationary time series models that involve nonlinear parameter restrictions. A rotation for the restricted...
Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation
Thomas Lubik, Frank Schorfheide
We estimate a small-scale, structural general equilibrium model of a small open economy using Bayesian methods. Our main focus is the conduct of monetary policy in Australia, Canada, New Zealand and...
Non-stationary Hours in a DSGE Model
YONGSUNG CHANG, TAEYOUNG DOH, FRANK SCHORFHEIDE
The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Using Bayesian methods we estimate...
Monetary policy analysis with potentially misspecified models
Marco Del Negro, Frank Schorfheide
This paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along...
Monetary policy analysis with potentially misspecified models
Marco Del Negro, Frank Schorfheide
Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment...
Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Marco Del Negro, Frank Schorfheide
This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these...
Evaluating Asset Pricing Implications of DSGE Models
Kevin L. Reffett, Frank Schorfheide
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital...
Yongsung Chang, Joao Gomes, Frank Schorfheide
To generate persistence we augment the standard real business cycle (RBC) model with a ``learning by doing'' (LBD) mechanism, where current labor supply affects workers' future labor productivity....
Testing for Indeterminacy: An Application to U.S. Monetary Policy
Thomas A. Lubik, Frank Schorfheide
This paper considers a prototypical New Keynesian model, in which the equilibrium is undetermined if monetary policy is "passive." The likelihood-based estimation of dynamic equilibrium models is...
Loss function-based evaluation of DSGE models
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 into account the...
Learning by Doing as a Propagation Mechanism
Chang, Yongsung, Gomes, Joao F, Schorfheide, Frank
This Paper suggests that skill accumulation through past work experience, or ‘learning-by-doing’ (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium...
Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions
Moon, Hyungsik Roger, Schorfheide, Frank
This paper derives limit distributions of empirical likelihood estimators for models in which inequality moment conditions provide overidentifying information. We show that the use of this...
Priors from General Equilibrium Models for VARS
Marco Del Negro, Frank Schorfheide
This article uses a simple New Keynesian dynamic stochastic general equilibrium model as a prior for a vector autoregression, and shows that the resulting model is competitive with standard...
Learning by Doing as a Propagation Mechanism
Yongsung Chang, Joao Gomes, Frank Schorfheide
This paper suggests that skill accumulation through past work experience, or ``learning-by-doing'' (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium...
Labor-Supply Shifts and Economic Fluctuations
Yongsung Chang, Frank Schorfheide
We investigate the role of labor-supply shifts in economic fluctuations. A new VAR identification scheme for labor supply shocks is proposed. According to our VAR analysis of post-war U.S. data,...
Future prices as risk-adjusted forecasts of monetary policy; comments
Interest rates ; Monetary policy
Monetary policy analysis with potentially misspecified models
Marco Del Negro, Frank Schorfheide
The paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along...
Non-stationary hours in a DSGE model
Yongsung Chang, Taeyoung Doh, Frank Schorfheide
The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can...
Bayesian analysis of DSGE models
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized...
Marco Del Negro, Frank Schorfheide
This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and...
On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco, Schorfheide, Frank, Smets, Frank, Wouters, Rafael
The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and...
FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001
Over the past decade financial econometrics has evolved from a small subfield of econometrics to a rapidly growing area of research that maintains its own journals and dominates the applied time...
Computing Sunspots in Linear Rational Expectations Models
Thomas A Lubik, Frank Schorfheide
We provide computationally simple methods of analyzing the effects of fundamental and sunspot shocks in linear rational expectations models when the equilibrium is indeterminate Under indeterminacy...
Bayesian Analysis of DSGE Models
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized...
Bayesian Analysis of DSGE Models - Rejoinder
We would like to thank all the discussants for their stimulating comments. While our article to a large extent reviews current practice of Bayesian analysis of Dynamic Stochastic General Equilibrium...
DSGE model-based forecasting of non-modelled variables
Frank Schorfheide, Keith Sill, Maxym Kryshko
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). The authors use auxiliary...
On the Fit of New Keynesian Models
Del Negro, Marco, Schorfheide, Frank, Smets, Frank, Wouters, Rafael
Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile
Marco Del Negro, Frank Schorfheide
This paper estimates a small open-economy dynamic stochastic general equilibrium (DSGE) model, specified along the lines of Galí and Monacelli (2005) and Lubik and Schorfheide (2007), using Chilean...
Monetary Policy Analysis with Potentially Misspecified Models
Marco Del Negro, Frank Schorfheide
Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment...
Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
Marco Del Negro, Frank Schorfheide
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these...
Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile
Marco Del Negro, Frank Schorfheide
The paper estimates a small open economy DSGE model, specified along the lines of Galí and Monacelli (REStud 2005) and Lubik and Schorfheide (JME 2007), on Chilean data for the full inflation...