Jesús Fernández-villaverde, J. Geweke, W. Mccausl, E. Mcgrattan, ...
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified,...
Jesús Fernández-villaverde, Dirk Krueger
Micro data show two key patterns of consumption and asset holdings over the life cycle. First, consumption expenditures on both durable and nondurable goods are hump-shaped. Second, young households...
A Likelihood Approach ∗ (2007)
Jesús Fernández-villaverde, Juan Rubio
This paper presents a method to perform likelihood-based inference in nonlinear dynamic equilibrium economies. This type of models has become a standard tool in quantitative economics. However,...
Can We Really Observe Hyperbolic Discounting? ∗ (2007)
Jesús Fernández-villaverde, Arijit Mukherji, Juan Carlos Conesa, John Dickhaut, Carlos Garriga, Tom Holmes, ...
This paper proposes a new, more robust, experiment to test for the presence of hyperbolic discounting. Recently, a growing literature has studied intertemporal choice when individuals discount the...
César Alonso-borrego, Iii Madrid, Jesús Fernández-villaverde
Job security provisions, particularly those regarding workers ’ layoffs, are commonly invoked to explain the high and persistent European unemployment rates. This belief has led several countries...
How Structural Are Structural Parameters? ∗ (2007)
Jesús Fernández-villaverde, Tim Cogley, Frank Schorfheide, Pau Rabanal
Ramey, Stephanie Schmitt-Grohé, and Martín Uribe, and participants at the NBER Macroeconomics Annual conference for comments. Beyond the usual disclaimer, we must note that any views expressed...
Solving DSGE Models with Perturbation Methods and a Change of Variables (2006)
This paper explores the application of the changes of variables technique to solve the stochastic neoclassical growth model. We use the method of Judd (2003) to change variables in the computed...
Convergence Properties of the Likelihood of Computed Dynamic Models (2006)
Jesús Fernández-Villaverde, Manuel S. Santos
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the...
César Alonso-borrego, Iii De Madrid, Jesús Fernández-villaverde
Grant 0338997, and the Spanish Ministerio de Educacion y Ciencia, project SEJ2005-03470/ECON,
Our Research Agenda: Estimating DSGE Models (2006)
Our research agenda has focused on the estimation of dynamic stochastic general equilibrium (DSGE) models. In particular, we have worked on the likelihood-based approach to inference. DSGE models are...
Can We Really Observe Hyperbolic Discounting? ∗ (2006)
Jesús Fernández-villaverde, Arijit Mukherji, Tom Holmes, Karsten Jeske, Narayana Kocherlakota, Jing Li
This paper proposes a new, more robust experiment to test for the presence of hyperbolic discounting. We motivate the experiment by pointing out the problems in interpreting the existing evidence...
A Generalization of the Endogenous Grid Method ∗ (2006)
Francisco Barillas, Jesús Fernández-villaverde
This paper extends Carroll’s (2005) endogenous grid method to perform value functioniterationinmodelswithmorethanonecontrolvariable. Wepropose to mix the endogenous grid method with standard value...
Comparing Solution Methods for Dynamic Equilibrium Economies (2006)
S. Bora˘gan Aruoba, Jesús Fernández-villaverde
This paper compares solution methods for dynamic equilibrium economies. We compute and simulate the stochastic neoclassical growth model with leisure choice using Undetermined Coefficients in levels...
Jesús Fernández-villaverde, Manuel S. Santos, We Thank The, Three Referees, Jim Nason, ...
several seminars, and especially Lee Ohanian for useful comments. Jesús Fernández-Villaverde thanks the NSF for financial support under the project SES-0338997. Any views expressed herein are those...
Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood (2005)
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The sequential Monte Carlo filter...
This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility...
Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood (2005)
Jesús Fernández-villaverde, Jesús Fernández-villaverde
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a Sequential Monte Carlo filter proposed by Fernández-Villaverde and Rubio-Ramírez...
Evaluating Labor Market Reforms: A General Equilibrium Approach (2004)
Fernández-Villaverde, Jesús, Galdón-Sánchez, José E
Job security provisions are commonly invoked to explain the high and persistent European unemployment rates. This belief has led several countries to reform their labor markets and liberalize the use...
Jesús Fernández-villaverde, Dirk Krueger
This technical appendix offers detailed information about the data, variable definitions, estimation, results and robustness analysis that could not be included in the main part of the paper due to...
This short note presents an example of how to use a Sequential Monte Carlo to evaluate the likelihood of a nonlinear and nongaussian process.
On the Solution of the Growth Model with Investment-Specific Technological Change ∗ (2004)
Recent work by Greenwood, Hercowitz, and Krusell (1997 and 2000) and Fisher (2003) has emphasized the importance of investment-specific technological change as a main driving force behind long-run...
Jesús Fernández-villaverde, Marco Del Negro, Will Roberds, Eric Renault, Barbara Rossi, ...
for comments. Jonas Fisher provided us with his investment deflator. Mark Fisher’s help with coding was priceless. Beyond the usual disclaimer, we must note that any views expressed herein are...
and Aggregate Activity ∗ (2003)
Jesús Fernández-villaverde, Luis Carranza
This paper studies the effects of credit market imperfections on output, the average size and distribution of firms and the level of financial intermediation of the economy. We build a dynamic...
Consumption over the life cycle: Some facts from the cex data (2002)
Jesús Fernández-villaverde, Dirk Krueger, Michele Boldrin, Hal Cole, Mariacristina De Nardi, ...
This paper uses a seminonparametric model and Consumer Expenditure Survey data to estimate life cycle profiles of consumption, controlling for demographics, cohort and time effects. In addition to...
Optimal Fiscal Policy in a Business Cycle Model without Commitment ∗ (2002)
Jesús Fernández-villaverde, Aleh Tsyvinski, Kenneth Judd, Narayana Kocherlakota, Chris Phelan, ...
This paper studies optimal taxation in the stochastic growh model when the goverment cannot commit. We use recursive game theory to characterize the set of Sustainable Equilibria and to build...
Jesús Fernández-villaverde, Dirk Krueger, De Nardi, Narayana Kocherlakota, Lee Ohanian, Luigi Pistaferri
In this paper we investigate whether a standard life cycle model in which households purchase nondurable consumption and consumer durables and face idiosyncratic income and mortality risk as well as...
Was Malthus Right? Economic Growth and Population Dynamics.” Mimeo (2001)
Jesús Fernández-villaverde, Karsten Jeske, Narayana Kocherlakota, Dirk Krueger, Edward Prescott, Especially Lee Ohanian
This paper studies the relationship between population dynamics and economic growth. Prior to the Industrial Revolution increases in total output were roughly matched by increases in population. In...
Convergence Properties of the Likelihood of Computed Dynamic Models
Jesús Fernández-Villaverde, Manuel S. Santos
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the...
On the solution of the growth model with investment-specific technological change
Recent work by Greenwood et al. (1997, 2000) and Fisher (2003) has emphasized the importance of investment-specific technological change as a main driving force behind long-run growth and the...
Estimating nonlinear dynamic equilibrium economies: a likelihood approach
This paper presents a framework to undertake likelihood-based inference in nonlinear dynamic equilibrium economies. The authors develop a sequential Monte Carlo algorithm that delivers an estimate of...
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 proposed by Fernández-Villaverde and Rubio-Ramírez...
Convergence properties of the likelihood of computed dynamic models
Jesús Fernández-Villaverde, Manuel Santos
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with...
On the solution of the growth model with investment-specific technological change
Recent work by Greenwood, Hercowitz, and Krusell (1997 and 2000) and Fisher (2003) has emphasized the importance of investment-specific technological change as a main driving force behind long-run...
A, B, C’s, (and D’s) for understanding VARs
Jesús Fernández-Villaverde, Thomas Sargent
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state-space system. An associated state space system (A, K,...
Estimating Macroeconomic Models: A Likelihood Approach
Fernández-Villaverde, Jesús, Rubio-Ramirez, Juan Francisco
This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the...
Evaluating Labor Market Reforms: A General Equilibrium Approach
César Alonso-Borrego, Jesús Fernández-Villaverde
Job security provisions are commonly invoked to explain the high and persistent European unemployment rates. This belief has led several countries to reform their labor markets and liberalize the use...
ABCs (and Ds) of Understanding VARs
Jesús Fernández-Villaverde, Thomas J. Sargent, Mark W. Watson
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state space system for a vector of observables. An...
Evaluating Labor Market Reforms: A General Equilibrium Approach
Alonso-Borrego, César, Fernández-Villaverde, Jesús, Galdon-Sanchez, José E.
Job security provisions are commonly invoked to explain the high and persistent European unemployment rates. This belief has led several countries to reform their labor markets and liberalize the use...
EVALUATING LABOR MARKET REFORMS: A GENERAL EQUILIBRIUM APPROACH
César Alonso-Borrego, Jesús Fernández-Villaverde
Job security provisions are commonly invoked to explain the high and persistent European unemployment rates. This belief has led several countries to reform their labor markets and liberalize the use...
Economic and VAR Shocks: What Can Go Wrong?
This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility...
The Econometrics of DSGE Models
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the...
The Econometrics of DSGE Models
In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the...
MEDEA: A DSGE Model for the Spanish Economy
Pablo Burriel, Jesús Fernández-Villaverde
In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de Equilibrio Dinámico de la Economía EspañolA). MEDEA is a dynamic...
Risk Matters: The Real Effects of Volatility Shocks
Fernández-Villaverde, Jesús, Guerron-Quintana, Pablo A., Rubio-Ramirez, Juan Francisco, Uribe, Martín
This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow have a quantitatively important effect on real variables like output,...
MEDEA: A DSGE Model for the Spanish Economy
Burriel, Pablo, Fernández-Villaverde, Jesús, Rubio-Ramirez, Juan Francisco
In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de Equilibrio Dinámico de la Economía EspañA). MEDEA is a dynamic...
Computing DSGE Models with Recursive Preferences
Caldara, Dario, Fernández-Villaverde, Jesús, Rubio-Ramirez, Juan Francisco, Yao, Wen
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989...