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Citations for "Comparing dynamic equilibrium models to data: a Bayesian approach"

by Fernandez-Villaverde, Jesus & Francisco Rubio-Ramirez, Juan

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  1. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2008. "A Comparison Of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, And A Dsge Model," CAMA Working Papers 2009-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Costa Junior, Celso Jose & Sampaio, Armando Vaz & Gonçalves, Flávio de Oliveria, 2012. "Income Transfer as Model of Economic Growth," MPRA Paper 45494, University Library of Munich, Germany.
  3. Rabanal, Pau & Tuesta, Vicente, 2010. "Euro-dollar real exchange rate dynamics in an estimated two-country model: An assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 780-797, April.
  4. Benchimol, Jonathan & Fourçans, André, 2012. "The role of money and monetary policy in crisis periods: the Euro area case," ESSEC Working Papers WP1201, ESSEC Research Center, ESSEC Business School, revised 27 Feb 2012.
  5. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 187-228.
  6. Stefano Neri & Tiziano Ropele, 2011. "Imperfect information, real-time data and monetary policy in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 802, Bank of Italy, Economic Research and International Relations Area.
  7. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  8. Acosta, Pablo A. & Lartey, Emmanuel K.K. & Mandelman, Federico S., 2009. "Remittances and the Dutch disease," Journal of International Economics, Elsevier, vol. 79(1), pages 102-116, September.
  9. Marto, Ricardo, 2013. "Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model," MPRA Paper 55647, University Library of Munich, Germany.
  10. Hong, Han & Preston, Bruce, 2012. "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 358-369.
  11. Giuli, Francesco & Tancioni, Massimiliano, 2012. "Real rigidities, productivity improvements and investment dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 100-118.
  12. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  13. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers, Rutgers University, Department of Economics 200615, Rutgers University, Department of Economics.
  14. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
  15. Vasco J. Gabriel & Paul Levine & Joseph Pearlman & Bo Yang, 2010. "An Estimated DSGE Model of the Indian Economy," NIPE Working Papers, NIPE - Universidade do Minho 29/2010, NIPE - Universidade do Minho.
  16. Gonzalo Fernández-de-Córdoba & José Torres, 2011. "Forecasting the Spanish economy with an augmented VAR–DSGE model," SERIEs, Spanish Economic Association, vol. 2(3), pages 379-399, September.
  17. Milani, Fabio, 2009. "Expectations, learning, and the changing relationship between oil prices and the macroeconomy," Energy Economics, Elsevier, vol. 31(6), pages 827-837, November.
  18. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  19. Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden).
  20. Giovanni Di Bartolomeo & Lorenzo Rossi & Massimiliano Tancioni, 2006. "Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison," Working Papers 97, University of Rome La Sapienza, Department of Public Economics.
  21. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 0794, European Central Bank.
  22. Thomas Lubik & Frank Schorfheide, 2005. "A Bayesian Look at New Open Economy Macroeconomics," Economics Working Paper Archive 521, The Johns Hopkins University,Department of Economics.
  23. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 948, Board of Governors of the Federal Reserve System (U.S.).
  24. Janice C. Eberly & Sergio Rebelo & Nicolas Vincent, 2011. "What Explains the Lagged Investment Effect?," NBER Working Papers 16889, National Bureau of Economic Research, Inc.
  25. Mandelman, Federico S & Zanetti, Francesco, 2010. "Technology shocks, employment and labour market frictions," Bank of England working papers 390, Bank of England.
  26. Sebastian Sienknecht, 2010. "Persistence Endogeneity Via Adjustment Costs: An Assessment based on Bayesian Estimations," Jena Economic Research Papers 2010-057, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  27. Fabio Milani, 2005. "Expectations, Learning and Macroeconomic Persistence," Macroeconomics, EconWPA 0510022, EconWPA.
  28. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  29. Federico S. Mandelman & Andrei Zlate, 2010. "Immigration, remittances, and business cycles," Working Paper, Federal Reserve Bank of Atlanta 2008-25, Federal Reserve Bank of Atlanta.
  30. John Landon-Lane & Filippo Occhino, 2005. "Estimation and Evaluation of a Segmented Markets Monetary Model," Departmental Working Papers, Rutgers University, Department of Economics 200505, Rutgers University, Department of Economics.
  31. Hürtgen, Patrick, 2014. "Consumer misperceptions, uncertain fundamentals, and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 279-292.
  32. Luca Sessa & Libero Monteforte & Lorenzo Forni, 2007. "The general equilibrium effects of fiscal policy: estimates for the euro area," 2007 Meeting Papers, Society for Economic Dynamics 352, Society for Economic Dynamics.
  33. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 169-183.
  34. Vanda Almeida, 2009. "Bayesian estimation of a DSGE model for the Portuguese economy," Working Papers w200914, Banco de Portugal, Economics and Research Department.
  35. Oriol Aspachs-Bracons & Pau Rabanal, 2010. "The drivers of housing cycles in Spain," SERIEs, Spanish Economic Association, vol. 1(1), pages 101-130, March.
  36. Juan F. Rubio-Ram�rez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
  37. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 21-37.
  38. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer, Springer, vol. 10(4), pages 251-277, December.
  39. Jes�s Fern�ndez-Villaverde & Juan F. Rubio-Ram�rez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
  40. Tim Willems, 2009. "Visualizing the Invisible: Estimating the New Keynesian Output Gap via a Bayesian Approach," Tinbergen Institute Discussion Papers 09-074/2, Tinbergen Institute, revised 26 Mar 2010.
  41. Viktor Winschel & Markus Krätzig, 2008. "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality," SFB 649 Discussion Papers SFB649DP2008-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  42. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Open Economies Review, Springer, vol. 24(2), pages 217-265, April.
  43. Patrick Minford & Konstantinos Theodoridis & David Meenagh, 2009. "Testing a Model of the UK by the Method of Indirect Inference," Open Economies Review, Springer, vol. 20(2), pages 265-291, April.
  44. Silos, Pedro, 2006. "Assessing Markov chain approximations: A minimal econometric approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1063-1079, June.
  45. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, School of Economics and Management, University of Aarhus.
  46. Burriel, Pablo & Fernández-Villaverde, Jesús & Rubio-Ramirez, Juan Francisco, 2009. "MEDEA: A DSGE Model for the Spanish Economy," CEPR Discussion Papers 7297, C.E.P.R. Discussion Papers.
  47. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model," Computing in Economics and Finance 2006 87, Society for Computational Economics.
  48. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers 131, University of Rome La Sapienza, Department of Public Economics.
  49. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 779, Board of Governors of the Federal Reserve System (U.S.).
  50. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," Working Paper, Federal Reserve Bank of Atlanta 2004-1, Federal Reserve Bank of Atlanta.
  51. Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers, Banque de France 141, Banque de France.
  52. Jim Malley & Ulrich Woitek, 2009. "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series 2626, CESifo Group Munich.
  53. Rabanal, Pau, 2007. "Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 906-937, March.
  54. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements.
  55. Gelain, Paolo, 2010. "The external finance premium in the euro area A useful indicator for monetary policy?," Working Paper Series 1171, European Central Bank.
  56. Pablo A. Guerron-Quintana, 2010. "What you match does matter: the effects of data on DSGE estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(5), pages 774-804.
  57. John Landon-Lane & Filippo Occhino, 2004. "A Likelihood-Based Evaluation of the Segmented Markets Friction in Equilibrium Monetary Models," Departmental Working Papers, Rutgers University, Department of Economics 200415, Rutgers University, Department of Economics.
  58. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Working Paper, Federal Reserve Bank of Atlanta 2004-3, Federal Reserve Bank of Atlanta.
  59. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Manuel Santos, 2004. "Convergence properties of the likelihood of computed dynamic models," Working Paper, Federal Reserve Bank of Atlanta 2004-27, Federal Reserve Bank of Atlanta.
  60. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 8(1), November.
  61. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.
  62. Riggi, Marianna & Tancioni, Massimiliano, 2010. "Nominal vs real wage rigidities in New Keynesian models with hiring costs: A Bayesian evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1305-1324, July.
  63. Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, Elsevier, vol. 155(1), pages 19-38, March.
  64. Benchimol, Jonathan, 2014. "Risk aversion in the Eurozone," Research in Economics, Elsevier, Elsevier, vol. 68(1), pages 39-56.
  65. Jarocinski, Marek & Mackowiak, Bartosz Adam, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
  66. Dey, Jaya, 2014. "Evaluating monetary policy under preferences with zero wealth effect: A Bayesian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 209-234.
  67. Jonathan Benchimol, 2012. "Risk Aversion in the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00713669, HAL.
  68. Garcia-Cebro, Juan A. & Varela-Santamaría, Ramón, 2011. "The international transmission of monetary shocks across developed countries: The role of imported raw materials," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(8), pages 1791-1813.
  69. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," National Bank of Poland Working Papers 49, National Bank of Poland, Economic Institute.
  70. Marianna Riggi & Massimiliano Tancioni, 2008. "Nominal v. Real Wage Rigidities in New Keynesian Models with Hiring Costs," Working Papers 107, University of Rome La Sapienza, Department of Public Economics.
  71. Francesco Giuli & Massimiliano Tancioni, 2009. "Firm-Specific Capital, Productivity Shocks and Investment Dynamics," Working Papers 120, University of Rome La Sapienza, Department of Public Economics.
  72. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers, Rutgers University, Department of Economics 200314, Rutgers University, Department of Economics.
  73. Fang Yao, 2010. "Aggregate Hazard Function in Price-Setting: A Bayesian Analysis Using Macro Data," SFB 649 Discussion Papers SFB649DP2010-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  74. Liu, Philip, 2010. "Stabilization bias for a small open economy: The case of New Zealand," Journal of Macroeconomics, Elsevier, Elsevier, vol. 32(3), pages 921-935, September.
  75. Dey, Jaya, 2013. "The role of investment-specific technology shocks in driving international business cycles: a bayesian approach," MPRA Paper 57803, University Library of Munich, Germany, revised 06 Aug 2014.
  76. Mandelman, Federico S., 2013. "Monetary and exchange rate policy under remittance fluctuations," Journal of Development Economics, Elsevier, vol. 102(C), pages 128-147.
  77. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  78. Joao Madeira, 2012. "Evaluating the Role of Firm-Specific Capital in New Keynesian models," Discussion Papers 1204, Exeter University, Department of Economics.
  79. Juan Pablo Medina & Claudio Soto, 2005. "Oil Shocks and Monetary Policy in an Estimated DSGE Model for a Small Open Economy," Working Papers Central Bank of Chile, Central Bank of Chile 353, Central Bank of Chile.
  80. Eric M. Leeper & Michael Plante & Nora Traum, 2009. "Dynamics of Fiscal Financing in the United States," NBER Working Papers 15160, National Bureau of Economic Research, Inc.
  81. Rabanal, Pau & Tuesta Reátegui, Vicente, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not," CEPR Discussion Papers 5957, C.E.P.R. Discussion Papers.
  82. Lanne, Markku & Luoto, Jani, 2012. "Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?," MPRA Paper 41820, University Library of Munich, Germany.
  83. Michel Juillard & Florian Pelgrin, 2007. "Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy," Working Papers 07-32, Bank of Canada.
  84. Landon-Lane, John & Occhino, Filippo, 2008. "Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models," Journal of Macroeconomics, Elsevier, Elsevier, vol. 30(1), pages 444-461, March.
  85. Norman Swanson & Oleg Korenok, 2006. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version," Departmental Working Papers, Rutgers University, Department of Economics 200612, Rutgers University, Department of Economics.
  86. Dey, Jaya & Tsai, Yi-Chan, 2012. "Explaining the durable goods co-movement puzzle with non-separable preferences: a bayesian approach," MPRA Paper 57805, University Library of Munich, Germany.
  87. Eran Yashiv & Renato Faccini, 2014. "Inflation Dynamics and Marginal Costs: the Crucial Role of Hiring and Investment Frictions," 2014 Meeting Papers, Society for Economic Dynamics 178, Society for Economic Dynamics.
  88. Philip Liu, 2006. "Gains From Commitment Policy For A Small Open Economy: The Case Of New Zealand," CAMA Working Papers 2006-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  89. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  90. Barseghyan Gayane, 2013. "An Estimated Dynamic Stochastic General Equilibrium Model for Armenian Economy," EERC Working Paper Series 13/11e, EERC Research Network, Russia and CIS.
  91. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(1), pages 1-13.