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The FRBNY DSGE model

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Author Info

  • Marco Del Negro
  • Stefano Eusepi
  • Marc Giannoni
  • Argia Sbordone
  • Andrea Tambalotti
  • Matthew Cocci
  • Raiden Hasegawa
  • M. Henry Linder

Abstract

The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is used for forecasting and policy analysis.

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File URL: http://www.newyorkfed.org/research/staff_reports/sr647.html
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File URL: http://www.newyorkfed.org/research/staff_reports/sr647.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 647.

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Date of creation: 2013
Date of revision:
Handle: RePEc:fip:fednsr:647

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Related research

Keywords: Econometric models ; Equilibrium (Economics) ; Stochastic analysis ; Federal Reserve Bank of New York;

This paper has been announced in the following NEP Reports:

References

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  1. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
  2. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
  3. Mark Bils & Peter J. Klenow, 2002. "Some Evidence on the Importance of Sticky Prices," NBER Working Papers 9069, National Bureau of Economic Research, Inc.
  4. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
  5. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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