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The Chicago Fed DSGE model

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Author Info

  • Scott Brave
  • Jeffrey R. Campbell
  • Jonas D. M. Fisher
  • Alejandro Justiniano

Abstract

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This article describes its specification and estimation, its dynamic characteristics and how it is used to forecast the US economy. In many respects the model resembles other medium scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes forward guidance, productivity is driven by neutral and investment specific technical change, multiple price indices identify inflation and there is a financial accelerator mechanism.

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File URL: http://chicagofed.org/digital_assets/publications/working_papers/2012/wp2012_02.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Chicago in its series Working Paper Series with number WP-2012-02.

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Date of creation: 2012
Date of revision:
Handle: RePEc:fip:fedhwp:wp-2012-02

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Keywords: Keynesian economics ; Forecasting ; Stochastic analysis;

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References

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  1. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2009. "Investment Shocks and the Relative Price of Investment," CEPR Discussion Papers 7598, C.E.P.R. Discussion Papers.
  2. Vasco C├║rdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2011. "Evaluating interest rate rules in an estimated DSGE model," Staff Reports 510, Federal Reserve Bank of New York.
  3. Greenwood, Jeremy & Hercowitz, Zvi & Huffman, Gregory W, 1988. "Investment, Capacity Utilization, and the Real Business Cycle," American Economic Review, American Economic Association, vol. 78(3), pages 402-17, June.
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Cited by:
  1. Hess Chung & Edward Herbst & Michael Kiley, 2014. "Effective Monetary Policy Strategies in New-Keynesian Models: A Re-Examination," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29 National Bureau of Economic Research, Inc.

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