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Un regard bayésien sur les modèles dynamiques de la macroéconomie

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  • Stéphane Adjemian
  • Florian Pelgrin

Abstract

Our article describes the Bayesian approach to the most highly regarded dynamic models in macroeconomics: DSGE (dynamic stochastic general-equilibrium) models and VAR (vector autoregressive) models. We present the main concepts in Bayesian analysis and show how to apply them to VAR models.We then explore the specific features of the Bayesian approach to DSGE models.UnlikeVARmodels,DSGEmodels cannot provide an analytical expression of the posterioi distribution. To overcome this difficulty we must resort to Monte-Carlo methods, whose main features we describe.Lastly, to underscorehowsterile theVAR/DSGEopposition is,wedescribe a recent approach that combines the best aspects of both models.

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  • Stéphane Adjemian & Florian Pelgrin, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Economie & Prévision, La Documentation Française, vol. 0(2), pages 127-152.
    • Handle: RePEc:cai:ecoldc:ecop_183_0127
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    Cited by:

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    2. Dorra TURKI & Foued Badr GABSI, 2023. "Uncertainty and monetary policy during the Covid-19 pandemic in Tunisia: Evidence from a Bayesian VAR," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(634), S), pages 177-188, Spring.
    3. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France," Working papers 736, Banque de France.
    4. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France," Working Papers hal-02400611, HAL.
    5. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.

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