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Citations of

Juan F Rubio-Ramirez

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Thomas J. Sargent & Mark W. Watson, 2007. "ABCs (and Ds) of Understanding VARs," American Economic Review, American Economic Association, vol. 97(3), pages 1021-1026, June.

    Mentioned in:

    1. Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
      by Christian Zimmermann in NEP-DGE blog on 2009-09-27 01:45:04
  2. Federico S. Mandelman & Pau Rabanal & Juan F. Rubio-Ramírez & Diego Vilán, 2010. "Investment-specific technology shocks and international business cycles: an empirical assessment," FRB Atlanta Working Paper 2010-03, Federal Reserve Bank of Atlanta.

    Mentioned in:

    1. Investment-specific technology shocks and international business cycles: an empirical assessment
      by Christian Zimmermann in NEP-DGE blog on 2010-04-12 03:38:48
  3. José Ignacio Conde-Ruiz & Manuel Díaz & Carmen Marín & Juan Rubio Ramírez, 2015. "Una Reforma Fiscal para España," Policy Papers 2015-02, FEDEA.

    Mentioned in:

    1. …IRPF…
      by J. Ignacio Conde-Ruiz in Nada Es Gratis on 2017-07-13 05:03:09
  4. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011. "Risk Matters: The Real Effects of Volatility Shocks," American Economic Review, American Economic Association, vol. 101(6), pages 2530-2561, October.

    Mentioned in:

    1. Las raíces políticas de la crisis del Euro
      by Cives in Politikon on 2012-05-22 11:48:47
    2. El acuerdo del Eurogrupo: Vivir en la Incertidumbre
      by Luis Garicano in Nada Es Gratis on 2012-07-10 10:04:44
  5. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Keith Kuester & Juan Rubio-Ramirez, 2011. "Fiscal Volatility Shocks and Economic Activity," PIER Working Paper Archive 11-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. Two papers on policy uncertainty and learning
      by Christian Zimmermann in NEP-DGE blog on 2011-08-27 11:10:04
    2. The impact of fiscal uncertainty
      by Economic Logician in Economic Logic on 2011-09-09 14:07:00
  6. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the recent monetary history of the United States, 1959-2007," Review, Federal Reserve Bank of St. Louis, issue May, pages 311-338.

    Mentioned in:

    1. Mi educación sentimental en 10 (12) libros (II)
      by Cives in Politikon on 2012-05-20 21:27:41
  7. E. Challe & J. Matheron & X. Ragot & M.F. Rubio-Ramirez, 2015. "Precautionary Saving and Aggregate Demand," Working papers 535, Banque de France.

    Mentioned in:

    1. Precautionary Saving and Aggregate Demand
      by Christian Zimmermann in NEP-DGE blog on 2015-02-04 05:40:08
  8. Eric M. Aldrich & Jesús Fernández-Villaverde & Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," PIER Working Paper Archive 10-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors
      by Christian Zimmermann in NEP-DGE blog on 2010-04-18 16:57:12
  9. Author Profile
    1. Are The Top Young Economists Largely European?
      by David Zaring in The conglomerate on 2010-08-11 09:55:00

Wikipedia mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011. "Risk Matters: The Real Effects of Volatility Shocks," American Economic Review, American Economic Association, vol. 101(6), pages 2530-2561, October.

    Mentioned in:

    1. Risk Matters: The Real Effects of Volatility Shocks (AER 2011) in ReplicationWiki ()
    2. Risk Matters: The Real Effects of Volatility Shocks: Comment (AER 2014) in ReplicationWiki ()
  2. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, vol. 105(11), pages 3352-3384, November.

    Mentioned in:

    1. Fiscal Volatility Shocks and Economic Activity (AER 2015) in ReplicationWiki ()
  3. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.

    Mentioned in:

    1. Estimating Macroeconomic Models: A Likelihood Approach (REStud 2007) in ReplicationWiki ()
  4. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2016. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," Working Papers 2016-07, FEDEA.

    Mentioned in:

    1. The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications (REStud forthcoming) in ReplicationWiki ()

Working papers

  1. Arias, Jonas & Caldara, Dario & Rubio-Ramírez, Juan Francisco, 2016. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identi," CEPR Discussion Papers 11674, C.E.P.R. Discussion Papers.

    Cited by:

    1. Michael T. Belongia & Peter N. Ireland, 2016. "Targeting Constant Money Growth at the Zero Lower Bound," Boston College Working Papers in Economics 913, Boston College Department of Economics.
    2. Kocięcki, Andrzej, 2017. "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper 81094, University Library of Munich, Germany.
    3. Robin Braun & Ralf Brüggemann, 2017. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2017-07, Department of Economics, University of Konstanz.

  2. Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
    2. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    3. Francesco Zanetti & Christoph Görtz, 2016. "News Shocks under Financial Frictions," Economics Series Working Papers 813, University of Oxford, Department of Economics.
    4. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    5. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    6. Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana, 2017. "Political Distribution Risk and Aggregate Fluctuations," NBER Working Papers 23647, National Bureau of Economic Research, Inc.
    7. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    8. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
    9. Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.
    10. Nikolay Hristov, 2016. "The Ifo DSGE Model for the German Economy," ifo Working Paper Series Ifo Working Paper No. 210, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

  3. Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2016. "Narrative Sign Restrictions for SVARs," CEPR Discussion Papers 11517, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.

  4. Arias, Jonas E. & Caldara, Dario & Rubio-Ramirez, Juan F., 2015. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure," International Finance Discussion Papers 1131, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Gaston Navarro & Axelle Ferriere, 2016. "The Heterogeneous Effects of Government Spending: It's All About Taxes," 2016 Meeting Papers 1286, Society for Economic Dynamics.
    2. Drautzburg, Thorsten, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    3. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    4. Michael T. Belongia & Peter N. Ireland, 2016. "Targeting Constant Money Growth at the Zero Lower Bound," Boston College Working Papers in Economics 913, Boston College Department of Economics.
    5. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
    6. Dimitrios Bermperoglou & Evi Pappa & Eugenia Vella, 2016. "The Government Wage Bill and Private Activity," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.24, Université de Lausanne, Faculté des HEC, DEEP.
    7. Kocięcki, Andrzej, 2017. "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper 81094, University Library of Munich, Germany.
    8. Edward Herbst & Dario Caldara, 2015. "Monetary Policy, Credit Spreads, and Business Cycle Fluctuations," 2015 Meeting Papers 899, Society for Economic Dynamics.
    9. Marco Capasso & Alessio Moneta, 2016. "Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure," LEM Papers Series 2016/36, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Pablo Burriel & Alessandro Galesi, 2016. "Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries," Working Papers 1631, Banco de España;Working Papers Homepage.
    11. Robin Braun & Ralf Brüggemann, 2017. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2017-07, Department of Economics, University of Konstanz.

  5. Pau Rabanal & Juan F. Rubio-Ramirez, 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Working Papers 1508, BBVA Bank, Economic Research Department.

    Cited by:

    1. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and Nontraded Goods Prices, and International Risk Sharing: An Empirical Investigation," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 403-466.
    2. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    3. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "The international risk sharing puzzle is at business cycle and lower frequency," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 448-471, May.
    4. Hassan, Tarek A. & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
    5. Yamin Ahmad & Ming Chien Lo & Olena Mykhaylova, 2012. "Causes of Nonlinearities in low order models of the real exchange rate," Working Papers 12-01, UW-Whitewater, Department of Economics, revised Mar 2013.
    6. Luis-Gonzalo Llosa, 2014. "How Do Terms of Trade Affect Productivity? The Role of Monopolistic Output Markets," Working Papers 2014-7, Peruvian Economic Association.
    7. Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," NBER Working Papers 18956, National Bureau of Economic Research, Inc.
    8. Britta Gehrke & Fang Yao, 2016. "Persistence and volatility of real exchange rates: the role of supply shocks revisited," Reserve Bank of New Zealand Discussion Paper Series DP2016/02, Reserve Bank of New Zealand.

  6. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers 30, CEPREMAP.

    Cited by:

    1. Duchi, Fabio & Elbourne, Adam, 2016. "Credit supply shocks in the Netherlands," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 51-71.
    2. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Leiner-Killinger, Nadine & Holm-Hadulla, Fédéric & de Groot, Oliver, 2012. "Cost of borrowing shocks and fiscal adjustment," Working Paper Series 1503, European Central Bank.
    4. Dario Caldara & Cristina Fuentes-Albero & Simon Gilchrist & Egon Zakrajsek, 2016. "The Macroeconomic Impact of Financial and Uncertainty Shocks," International Finance Discussion Papers 1166, Board of Governors of the Federal Reserve System (U.S.).
    5. Michael Kleemann & Gernot Mueller & Zeno Enders, 2015. "Growth expectations, undue optimism, and short-run fluctuations," 2015 Meeting Papers 406, Society for Economic Dynamics.
    6. Belongia, Michael T. & Ireland, Peter N., 2016. "The evolution of U.S. monetary policy: 2000–2007," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 78-93.
    7. Crouzet, Nicolas & Oh, Hyunseung, 2016. "What do inventories tell us about news-driven business cycles?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 49-66.
    8. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: The Story so far," Bank of England working papers 624, Bank of England.
    9. caterina mendicino & Antonello DÁgostino, 2016. "Expectation-driven cycles: Time-Varying Effects," EcoMod2016 9350, EcoMod.
    10. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    11. Fernando José Pérez Forero, 2015. "Comparing the Transmission of Monetary Policy Shocks in Latin America: A Hierachical Panel VAR," Premio de Banca Central Rodrigo Gómez / Central Banking Award "Rodrigo Gómez", Centro de Estudios Monetarios Latinoamericanos, CEMLA, number prg2015eng, December.
    12. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
    13. G. Peersman & W. Wagner, 2014. "Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/874, Ghent University, Faculty of Economics and Business Administration.
    14. Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
    15. Pooyan Amir Ahmadi & Harald Uhlig, 2015. "Sign Restrictions in Bayesian FaVARs with an Application to Monetary Policy Shocks," NBER Working Papers 21738, National Bureau of Economic Research, Inc.
    16. Scheufele, Rolf & Bäurle, Gregor, 2015. "Credit cycles and real activity - the Swiss case," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112931, Verein für Socialpolitik / German Economic Association.
    17. Gregor Bäurle & Daniel Kaufmann & Sylvia Kaufmann & Rodney W. Strachan, 2016. "Changing dynamics at the zero lower bound," Working Papers 16.02, Swiss National Bank, Study Center Gerzensee.
    18. Fabio Canova & Fernando J. Pérez Forero, 2012. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers 637, Barcelona Graduate School of Economics.
    19. Chiu, Ching-Wai (Jeremy) & Hill, John, 2015. "The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation," Bank of England working papers 540, Bank of England.
    20. Alex Haberis & Andrej Sokol, 2014. "A procedure for combining zero and sign restrictions in aVAR-identification scheme," LSE Research Online Documents on Economics 58077, London School of Economics and Political Science, LSE Library.
    21. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Working Papers halshs-01518467, HAL.
    22. Giacomini, Raffaella & Kitagawa, Toru, 2014. "Inference about Non-Identified SVARs," CEPR Discussion Papers 10287, C.E.P.R. Discussion Papers.
    23. Mandler, Martin & Scharnagl, Michael & Volz, Ute, 2016. "Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model," Discussion Papers 03/2016, Deutsche Bundesbank, Research Centre.
    24. Jef Boeckx & Maarten Dossche & Gert Peersman, 2017. "Effectiveness and Transmission of the ECB's Balance Sheet Policies," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
    25. D'Amico, Stefania & King, Thomas B., 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    26. Tomasz Wieladek & Antonio I. Garcia Pascual, 2016. "The European Central Bank's QE: A New Hope," CESifo Working Paper Series 5946, CESifo Group Munich.
    27. Weale, Martin & Wieladek, Tomasz, 2016. "What are the macroeconomic effects of asset purchases?," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 81-93.
    28. Luca Benati, 2015. "The Long-Run Phillips Curve: A Structural VAR Investigation," 2015 Meeting Papers 929, Society for Economic Dynamics.
    29. Arias, Jonas E. & Caldara, Dario & Rubio-Ramirez, Juan F., 2015. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure," International Finance Discussion Papers 1131, Board of Governors of the Federal Reserve System (U.S.).
    30. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
    31. Konstantin A. Kholodilin & Aleksei Netsunajev, 2016. "Crimea and Punishment: The Impact of Sanctions on Russian and European Economies," Discussion Papers of DIW Berlin 1569, DIW Berlin, German Institute for Economic Research.
    32. Iñaki Aldasoro & Robert Unger, 2017. "External financing and economic activity in the euro area - why are bank loans special?," BIS Working Papers 622, Bank for International Settlements.
    33. Dimitrios Bermperoglou & Evi Pappa & Eugenia Vella, 2016. "The Government Wage Bill and Private Activity," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.24, Université de Lausanne, Faculté des HEC, DEEP.
    34. Kocięcki, Andrzej, 2017. "Fully Bayesian Analysis of SVAR Models under Zero and Sign Restrictions," MPRA Paper 81094, University Library of Munich, Germany.
    35. César Carrera & Fernando Pérez Forero & Nelson Ramírez-Rondán, 2015. "Effects of U.S. Quantitative Easing on Latin American Economies," Working Papers 2015-35, Peruvian Economic Association.
    36. Arias, Jonas & Caldara, Dario & Rubio-Ramírez, Juan Francisco, 2016. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identi," CEPR Discussion Papers 11674, C.E.P.R. Discussion Papers.
    37. Meradj Mortezapouraghdam, 2016. "Three Essays on the Role of Frictions in the Economy," Sciences Po publications info:hdl:2441/293qice3lj8, Sciences Po.
    38. Danne, Christian, 2015. "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper 68429, University Library of Munich, Germany.
    39. Gulan, Adam & Haavio, Markus & Kilponen, Juha, 2014. "Kiss me deadly: From Finnish great depression to great recession," Research Discussion Papers 24/2014, Bank of Finland.
    40. Carrillo Julio A. & Elizondo Rocío, 2015. "How Robust Are SVARs at Measuring Monetary Policy in Small Open Economies?," Working Papers 2015-18, Banco de México.
    41. Jackson, Laura E. & Owyang, Michael T. & Soques, Daniel, 2016. "Nonlinearities, Smoothing and Countercyclical Monetary Policy," Working Papers 2016-8, Federal Reserve Bank of St. Louis.
    42. Dąbrowski, Marek A. & Wróblewska, Justyna, 2015. "Exchange rate as a shock absorber or a shock propagator in Poland and Slovakia - an approach based on Bayesian SVAR models with common serial correlation," MPRA Paper 61441, University Library of Munich, Germany.
    43. Francis DiTraglia & Camilo García-Jimeno, 2016. "A Framework for Eliciting, Incorporating, and Disciplining Identification Beliefs in Linear Models," NBER Working Papers 22621, National Bureau of Economic Research, Inc.
    44. Breitenlechner, Max & Scharler, Johann & Sindermann, Friedrich, 2016. "Banks’ external financing costs and the bank lending channel: Results from a SVAR analysis," Journal of Financial Stability, Elsevier, vol. 26(C), pages 228-246.
    45. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    46. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
    47. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    48. Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson, 2014. "Effects of the U.S. quantitative easing on the Peruvian economy," Working Papers 2014-017, Banco Central de Reserva del Perú.
    49. Robin Braun & Ralf Brüggemann, 2017. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2017-07, Department of Economics, University of Konstanz.
    50. Dąbrowski, Marek A. & Wróblewska, Justyna, 2016. "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, vol. 58(C), pages 249-262.
    51. Jose Felix Izquierdo & Santiago Muñoz & Ana Rubio & Camilo Ulloa, 2017. "Impact of capital regulation on SMEs credit," Working Papers 17/01, BBVA Bank, Economic Research Department.

  7. Xavier Ragot & Julien Matheron & Juan Rubio-Ramirez & Edouard Challe, 2013. "Precautionary Saving and Aggregate Demand," 2013 Meeting Papers 932, Society for Economic Dynamics.

    Cited by:

    1. Krueger, Dirk & Mitman, Kurt & Perri, Fabrizio, 2016. "Macroeconomics and Household Heterogeneity," CEPR Discussion Papers 11308, C.E.P.R. Discussion Papers.
    2. Katrin Rabitsch & Christian Schoder, 2016. "Buffer stock savings in a New-Keynesian business cycle model," Department of Economics Working Papers wuwp231, Vienna University of Economics and Business, Department of Economics.
    3. Gornemann, Nils & Kuester, Keith & Nakajima, Makoto, 2016. "Doves for the Rich, Hawks for the Poor? Distributional Consequences of Monetary Policy," CEPR Discussion Papers 11233, C.E.P.R. Discussion Papers.
    4. McKay, Alisdair, 2017. "Time-varying idiosyncratic risk and aggregate consumption dynamics," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 1-14.
    5. Xavier Ragot, 2016. "Le retour de l’économie keynésienne," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 173-186.
    6. Andrew Binning & Junior Maih, 2016. "Implementing the zero lower bound in an estimated regime-switching DSGE model," Working Paper 2016/3, Norges Bank.
    7. Wouter Den Haan & Pontus Rendahl & Markus Riegler, 2015. "Unemployment (Fears) and Deflationary Spirals," Discussion Papers 1521, Centre for Macroeconomics (CFM).
    8. Midrigan, Virgiliu & Philippon, Thomas, 2016. "Household Leverage and the Recession," CEPR Discussion Papers 11407, C.E.P.R. Discussion Papers.
    9. Andrea Caggese & Ander Pérez Orive, 2015. "The Interaction between Household and Firm Dynamics and the Amplification of Financial Shocks," Working Papers 866, Barcelona Graduate School of Economics.
    10. Ravn, Morten O & Sterk, Vincent, 2016. "Macroeconomic Fluctuations with HANK & SAM: An Analytical Approach," CEPR Discussion Papers 11696, C.E.P.R. Discussion Papers.
    11. Greg Kaplan & Benjamin Moll & Giovanni L. Violante, 2016. "Monetary Policy According to HANK," Working Papers 1602, Council on Economic Policies.
    12. Galo Nuño & Carlos Thomas, 2016. "Optimal monetary policy with heterogeneous agents," Working Papers 1624, Banco de España;Working Papers Homepage.

  8. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.

    Cited by:

    1. Robert Kollmann, 2014. "Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning," ULB Institutional Repository 2013/250061, ULB -- Universite Libre de Bruxelles.
    2. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    3. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    4. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Benjamin Born & Johannes Pfeifer, 2017. "Uncertainty-driven Business Cycles: Assessing the Markup Channel," CESifo Working Paper Series 6303, CESifo Group Munich.
    6. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    7. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    8. Kollmann, Robert, 2014. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," CEPR Discussion Papers 10232, C.E.P.R. Discussion Papers.
    9. Julio A. Carrillo & Enrique G. Mendoza & Victoria Nuguer & Jessica Roldán-Peña, 2017. "Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies," NBER Working Papers 23151, National Bureau of Economic Research, Inc.
    10. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
    11. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.
    12. Francisco Ruge-Murcia & Jinill Kim, 2017. "Extreme Events and Optimal Monetary Policy," 2017 Meeting Papers 605, Society for Economic Dynamics.
    13. Andrew T. Foerster, 2013. "Monetary policy regime switches and macroeconomic dynamic," Research Working Paper RWP 13-04, Federal Reserve Bank of Kansas City.
    14. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
    15. Kollmann, Robert, 2013. "Tractable latent state filtering for non-linear DSGE models using a second-order approximation," Globalization and Monetary Policy Institute Working Paper 147, Federal Reserve Bank of Dallas.
    16. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    17. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
    18. Julio A. Carrillo & Gert Peersman & Joris Wauters, 2014. "Endogenous Wage Indexation and Aggregate Shocks," CESifo Working Paper Series 4816, CESifo Group Munich.
    19. Javier García-Cicco & Enrique Kawamura, 2015. "Dealing with the Dutch Disease: Fiscal Rules and Macro-Prudential Policies," IDB Publications (Working Papers) 90216, Inter-American Development Bank.
    20. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
    21. Munechika Katayama & Kwang Hwan Kim, 2017. "Uncertainty Shocks and the Relative Price of Investment Goods," Discussion papers e-16-015, Graduate School of Economics , Kyoto University.
    22. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    23. Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
    24. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
    25. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    26. Julio Blanco & Gaston Navarro, 2016. "The Unemployment Accelerator," CESifo Working Paper Series 6248, CESifo Group Munich.
    27. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.

  9. Jesús Fernández-Villaverde & Grey Gordon & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2012. "Nonlinear Adventures at the Zero Lower Bound," NBER Working Papers 18058, National Bureau of Economic Research, Inc.

    Cited by:

    1. Campbell Leith & Ding Liu, 2014. "The inflation bias under Calvo and Rotemberg pricing," Working Papers 2014_06, Business School - Economics, University of Glasgow.
    2. Marcin Kolasa & Michal Brzoza-Brzezina & Krzysztof Makarski, 2015. "A penalty function approach to occasionally binding credit constraints," EcoMod2015 8359, EcoMod.
    3. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2017. "Uncertainty Shocks in a Model of Effective Demand: Comment," Discussion Paper Series, Department of Economics 201710, Department of Economics, University of St. Andrews, revised 25 May 2017.
    4. Philippopoulos, Apostolis & Varthalitis, Petros & Vassilatos, Vanghelis, 2015. "Optimal fiscal and monetary policy action in a closed economy," Economic Modelling, Elsevier, vol. 48(C), pages 175-188.
    5. Gavin, William T. & Keen, Benjamin D. & Richter, Alexander & Throckmorton, Nathaniel, 2013. "The stimulative effect of forward guidance," Working Papers 2013-38, Federal Reserve Bank of St. Louis, revised 30 Apr 2014.
    6. Ortiz, Marco, 2015. "Choques de colas anchas y política monetaria," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 17-31.
    7. Hafedh Bouakez & Michel Guillard & Jordan Roulleau-Pasdeloup, 2014. "Public Investment, Time to Buid, and the Zero Lower Bound," Working Papers 2014-03, Centre de Recherche en Economie et Statistique.
    8. Lasitha R. C. Pathberiya, 2016. "Optimal Monetary Policy at the Zero Lower Bound on Nominal Interest Rates in a Cost Channel Economy," Discussion Papers Series 568, School of Economics, University of Queensland, Australia.
    9. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    10. Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
    11. Boneva, Lena & Harrison, Richard & Waldron, Matt, 2017. "Threshold-based forward guidance: hedging the zero bound," CEPR Discussion Papers 11749, C.E.P.R. Discussion Papers.
    12. Lee E. Ohanian, 2016. "The Great Recession in the Shadow of the Great Depression: A Review Essay on “Hall of Mirrors: The Great Depression, The Great Recession and the Uses and Misuses Of History”," NBER Working Papers 22239, National Bureau of Economic Research, Inc.
    13. Richard Dennis, 2016. "Durations at the Zero Lower Bound," IMES Discussion Paper Series 16-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
    14. Yasuo Hirose & Atsushi Inoue, 2013. "Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," TERG Discussion Papers 308, Graduate School of Economics and Management, Tohoku University.
    15. Pasaogullari, Mehmet, 2015. "Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint," Working Paper 1512, Federal Reserve Bank of Cleveland.
    16. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    17. S. Borağan Aruoba & Pablo Cuba-Borda & Frank Schorfheide, 2012. "Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries," PIER Working Paper Archive 14-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 19 Jun 2014.
    18. Best Gabriela & Kapinos Pavel, 2016. "Monetary policy and news shocks: are Taylor rules forward-looking?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(2), pages 335-360, June.
    19. Thuy Lan Nguyen & Dmitriy Sergeyev & Wataru Miyamoto, 2016. "Government Spending Multipliers under the Zero Lower Bound: Evidence from Japan," 2016 Meeting Papers 666, Society for Economic Dynamics.
    20. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    21. Tom Holden & Michael Paetz, 2012. "Efficient simulation of DSGE models with inequality constraints," School of Economics Discussion Papers 1612, School of Economics, University of Surrey.
    22. M. Marx & B. Mojon & F. Velde, 2017. "Why Have Interest Rates Fallen far Below the Return on Capital," Working papers 630, Banque de France.
    23. Taisuke Nakata & Sebastian Schmidt & Timothy Hills, 2016. "The Risky Steady State and the Interest Rate Lower Bound," 2016 Meeting Papers 39, Society for Economic Dynamics.
    24. Nathaniel Throckmorton & Benjamin Keen & Alexander Richter & William Gavin, 2013. "Global Dynamics at the Zero Lower Bound," 2013 Meeting Papers 839, Society for Economic Dynamics.
    25. Albertini, Julien & Poirier, Arthur & Roulleau-Pasdeloup, Jordan, 2014. "The composition of government spending and the multiplier at the zero lower bound," Economics Letters, Elsevier, vol. 122(1), pages 31-35.
    26. Jordan Roulleau-Pasdeloup, 2016. "The Government Spending Multiplier in a Deep Recession," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.22, Université de Lausanne, Faculté des HEC, DEEP.
    27. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    28. Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Zero Lower Bound: Frequency, Duration, and Determinacy," Auburn Economics Working Paper Series auwp2013-16, Department of Economics, Auburn University.
    29. William Scarth, 2014. "User Discretion Advised: Fiscal Consolidation and the Recovery," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 412, July.
    30. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    31. Bredemeier, Christian & Juessen, Falko & Schabert, Andreas, 2015. "Fiscal Policy, Interest Rate Spreads, and the Zero Lower Bound," IZA Discussion Papers 8993, Institute for the Study of Labor (IZA).
    32. Yasuo Hirose & Atsushi Inoue, 2016. "The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 630-651, 06.
    33. Taisuke Nakata, 2012. "Optimal Fiscal and Monetary Policy with Occasionally Binding Zero Bound Constraints," 2012 Meeting Papers 181, Society for Economic Dynamics.
    34. Andrew Binning & Junior Maih, 2016. "Implementing the zero lower bound in an estimated regime-switching DSGE model," Working Paper 2016/3, Norges Bank.
    35. Julio Carrillo & Celine Poilly, 2013. "How do financial frictions affect the spending multiplier during a liquidity trap?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(2), pages 296-311, April.
    36. Bocola, Luigi, 2015. "The Pass-Through of Sovereign Risk," Working Papers 722, Federal Reserve Bank of Minneapolis.
    37. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
    38. Armenter, Roc, 2013. "The perils of nominal targets," Working Papers 14-2, Federal Reserve Bank of Philadelphia, revised 04 Feb 2014.
    39. Volker Hahn, 2017. "Policy Effects in a Simple Fully Non-Linear New Keynesian Model of the Liquidity Trap," Working Paper Series of the Department of Economics, University of Konstanz 2017-05, Department of Economics, University of Konstanz.
    40. Adiya Belgibayeva & Michal Horvath, 2017. "Real Rigidities and Optimal Stabilization at the Zero Lower Bound in New Keynesian Economies," Birkbeck Working Papers in Economics and Finance 1701, Birkbeck, Department of Economics, Mathematics & Statistics.
    41. Julien Albertini & Arthur Poirier, 2015. "Unemployment Benefit Extension at the Zero Lower Bound," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 733-751, October.
    42. Hall, Jamie, 2012. "Rapid estimation of nonlinear DSGE models," MPRA Paper 41218, University Library of Munich, Germany.
    43. Tamim Bayoumi & Giovanni Dell'Ariccia & Karl F Habermeier & Tommaso Mancini Griffoli & Fabian Valencia, 2014. "Monetary Policy in the New Normal," IMF Staff Discussion Notes 14/3, International Monetary Fund.
    44. Roc Armenter, 2012. "On the timing of monetary policy reform," Working Papers 13-04, Federal Reserve Bank of Philadelphia.
    45. Haberis, Alex & Masolo, Riccardo & Reinold, Kate, 2016. "Deflation probability and the scope for monetary loosening in the United Kingdom," Bank of England working papers 627, Bank of England.
    46. Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Rafael Valero, 2013. "Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain," NBER Working Papers 19326, National Bureau of Economic Research, Inc.
    47. Gavin, William T. & Keen, Benjamin D. & Richter, Alexander W. & Throckmorton, Nathaniel A., 2015. "The zero lower bound, the dual mandate, and unconventional dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 14-38.
    48. Richter, Alexander W. & Throckmorton, Nathaniel A., 2016. "Is Rotemberg pricing justified by macro data?," Economics Letters, Elsevier, vol. 149(C), pages 44-48.
    49. Holden, Tom D., 2016. "Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 127430, ZBW - German National Library of Economics.
    50. Yasuo Hirose & Takeki Sunakawa, 2015. "Parameter bias in an estimated DSGE model: does nonlinearity matter?," CAMA Working Papers 2015-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    51. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    52. Maria Lucia Florez-Jimenez & Julian A. Parra-Polania, 2014. "Forward guidance with an escape clause: When half a promise is better than a full one," Borradores de Economia 811, Banco de la Republica de Colombia.
    53. Yongyang Cai & Kenneth Judd & Jevgenijs Steinbuks, 2015. "A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems," NBER Working Papers 21590, National Bureau of Economic Research, Inc.
    54. Francois Velde & Benoït Mojon & Magali Marx, 2016. "Why are real interest rates so low?," 2016 Meeting Papers 1581, Society for Economic Dynamics.
    55. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    56. Roc Armenter, 2014. "The Perils of Nominal Targets," 2014 Meeting Papers 428, Society for Economic Dynamics.
    57. Jing Cynthia Wu & Ji Zhang, 2016. "A Shadow Rate New Keynesian Model," NBER Working Papers 22856, National Bureau of Economic Research, Inc.
    58. Hills, Timothy S. & Nakata, Taisuke, 2014. "Fiscal Multipliers at the Zero Lower Bound: The Role of Policy Inertia," Finance and Economics Discussion Series 2014-107, Board of Governors of the Federal Reserve System (U.S.).
    59. Mariano Kulish & James Morley & Tim Robinson, 2016. "Estimating DSGE models with Zero Interest Rate Policy," Discussion Papers 2014-32B, School of Economics, The University of New South Wales.
    60. Mario Alloza, 2014. "Is Fiscal Policy More Effective in Uncertain Times or During Recessions?," Discussion Papers 1631, Centre for Macroeconomics (CFM), revised Oct 2016.
    61. Mumtaz, Haroon & Surico, Paolo, 2014. "The Transmission Mechanism in Good and Bad Times," CEPR Discussion Papers 10083, C.E.P.R. Discussion Papers.
    62. Ji Zhang & Jing Cynthia Wu, 2017. "A shadow rate New Keynesian model," 2017 Meeting Papers 11, Society for Economic Dynamics.
    63. Alisdair McKay & Ricardo Reis, 2015. "The role of automatic stabilizers in the U.S.business cycle," LSE Research Online Documents on Economics 64479, London School of Economics and Political Science, LSE Library.
    64. Phuong Ngo & Jianjun Miao, 2015. "Does Calvo Meet Rotemberg at the Zero Lower Bound?," 2015 Meeting Papers 602, Society for Economic Dynamics.
    65. Ngo, Phuong V., 2014. "Optimal discretionary monetary policy in a micro-founded model with a zero lower bound on nominal interest rate," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 44-65.
    66. Hasui, Kohei, 2013. "The non-negative constraint on the nominal interest rate and the effects of monetary policy," MPRA Paper 49394, University Library of Munich, Germany.
    67. Andrew Binning & Junior Maih, 2016. "Forecast uncertainty in the neighborhood of the effective lower bound: How much asymmetry should we expect?," Working Paper 2016/13, Norges Bank.
    68. Salvatore Perdichizzi, 2017. "Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def058, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    69. S. Boragan Aruoba & Frank Schorfheide, 2013. "Macroeconomic dynamics near the ZLB: a tale of two equilibria," Working Papers 13-29, Federal Reserve Bank of Philadelphia.
    70. Guerrieri, Luca & Iacoviello, Matteo, 2015. "OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 22-38.
    71. Hommes, C.H. & Massaro, D. & Salle, I., 2015. "Monetary and Fiscal Policy Design at the Zero Lower Bound - Evidence from the Lab," CeNDEF Working Papers 15-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    72. Mertens, Karel & Ravn, Morten O, 2010. "Fiscal Policy in an Expectations Driven Liquidity Trap," CEPR Discussion Papers 7931, C.E.P.R. Discussion Papers.
    73. Braun, R Anton & Koerber, Lena & Waki, Yuichiro, 2015. "Some Unpleasant Properties of Loglinearized Solutions When the Nominal Rate is Zero," Bank of England working papers 553, Bank of England.
    74. Jan Bruha, 2015. "Dynamics of Linear Forward-looking Structural Macroeconomic Models at the Zero Lower Bound: Do Solution Techniques Matter?," Working Papers 2015/13, Czech National Bank, Research Department.
    75. Hall, Jamie, 2012. "Consumption dynamics in general equilibrium," MPRA Paper 43933, University Library of Munich, Germany.
    76. Virgiliu Midrigan & Thomas Philippon & Callum Jones, 2016. "Beyond the Liquidity Trap: the Secular Stagnation of Investment," 2016 Meeting Papers 1429, Society for Economic Dynamics.
    77. Holden, Tom D., 2017. "Existence and uniqueness of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 144570, ZBW - German National Library of Economics.
    78. Johannsen, Benjamin K., 2014. "When are the Effects of Fiscal Policy Uncertainty Large?," Finance and Economics Discussion Series 2014-40, Board of Governors of the Federal Reserve System (U.S.).
    79. Taisuke Nakata, 2013. "Uncertainty at the zero lower bound," Finance and Economics Discussion Series 2013-09, Board of Governors of the Federal Reserve System (U.S.).
    80. Robert Amano & Stefano Gnocchi, 2017. "Downward Nominal Wage Rigidity Meets the Zero Lower Bound," Staff Working Papers 17-16, Bank of Canada.
    81. Ortiz, Marco, 2014. "Fat-Tailed Shocks and the Central Bank Reaction," Working Papers 2014-002, Banco Central de Reserva del Perú.
    82. Chen, Han, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
    83. Tim Hursey & Alexander Wolman & Andreas Hornstein, 2014. "Monetary Policy and Global Equilibria in an Economy with Capital," 2014 Meeting Papers 733, Society for Economic Dynamics.
    84. Gust, Christopher & López-Salido, J David & Smith, Matthew E, 2012. "The Empirical Implications of the Interest-Rate Lower Bound," CEPR Discussion Papers 9214, C.E.P.R. Discussion Papers.
    85. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    86. Taisuke Nakata, 2017. "Uncertainty at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(3), pages 186-221, July.
    87. Gauti B. Eggertsson & Sanjay R. Singh, 2016. "Log-linear Approximation versus an Exact Solution at the ZLB in the New Keynesian Model," NBER Working Papers 22784, National Bureau of Economic Research, Inc.
    88. Paul Luk & David Vines, 2014. "Debt Deleveraging and the Zero Bound: Potentially Perverse Effects of Real Exchange Rate Movements," Working Papers 202014, Hong Kong Institute for Monetary Research.
    89. Christian Bredemeier & Falko Juessen & Andreas Schabert, 2017. "Fiscal Multipliers and Monetary Policy: Reconciling Theory and Evidence," Working Paper Series in Economics 95, University of Cologne, Department of Economics.
    90. Phuong Ngo & Francois Gourio, 2016. "Risk Premia at the ZLB: a macroeconomic interpretation," 2016 Meeting Papers 1585, Society for Economic Dynamics.
    91. Oleksiy Kryvtsov & Rhys R. Mendes, 2015. "The Optimal Level of the Inflation Target: A Selective Review of the Literature and Outstanding Issues," Discussion Papers 15-8, Bank of Canada.
    92. Ngo, Phuong V., 2015. "Household leverage, housing markets, and macroeconomic fluctuations," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 191-207.
    93. Michal Franta & Tomas Holub & Petr Kral & Ivana Kubicova & Katerina Smidkova & Borek Vasicek, 2014. "The Exchange Rate as an Instrument at Zero Interest Rates: The Case of the Czech Republic," Research and Policy Notes 2014/03, Czech National Bank, Research Department.
    94. Plante, Michael D. & Richter, Alexander & Throckmorton, Nathaniel, 2014. "The zero lower bound and endogenous uncertainty," Working Papers 1405, Federal Reserve Bank of Dallas.
    95. Julien Albertini & Arthur Poirier, 2014. "Unemployment benefits extensions at the zero lower bound on nominal interest rate," SFB 649 Discussion Papers SFB649DP2014-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  10. Jesus Fernandez-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2012. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," NBER Working Papers 18399, National Bureau of Economic Research, Inc.

    Cited by:

    1. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    2. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, 07.
    3. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    4. Nimark, Kristoffer P, 2013. "Man-bites-dog Business Cycles," CEPR Discussion Papers 9517, C.E.P.R. Discussion Papers.

  11. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016. "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications 10197/7323, School of Economics, University College Dublin.
    2. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Alice Schoonbroodt & Larry E. Jones, 2010. "Baby Busts and Baby Booms: The Fertility Response to Shocks in Dynastic Models," 2010 Meeting Papers 144, Society for Economic Dynamics.
    4. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    5. Michael Reiter, 2015. "Solving OLG Models with Asset Choice," 2015 Meeting Papers 1509, Society for Economic Dynamics.
    6. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
    7. Grzegorz R. Dlugoszek, 2016. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," SFB 649 Discussion Papers SFB649DP2016-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    9. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
    10. Echevarría Olave, Cruz Ángel & Iza Padilla, María Amaya, 2013. "Income Taxation and Growth in an OLG Economy: Does Aggregate Uncertainty Play any Role?," DFAEII Working Papers DFAEII;2013-06, University of the Basque Country - Department of Foundations of Economic Analysis II.
    11. Alexandre Gohin & Yu Zheng, 2016. "Assessing the Decoupling of EU Agricultural Policy on Farm Decisions - A Dynamic Stochastic Attempt," FOODSECURE Working papers 45, LEI Wageningen UR.
    12. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    13. Yongyang Cai & Kenneth Judd & Jevgenijs Steinbuks, 2015. "A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems," NBER Working Papers 21590, National Bureau of Economic Research, Inc.
    14. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    15. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
    16. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
    17. Yuanyuan Chen & Stuart Fowler, 2016. "Hybrid Perturbation-Projection Method for Solving DSGE Asset Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 649-667, December.
    18. Mennuni, Alessandro, 2013. "Labor Force Composition and Aggregate Fluctuations," Discussion Paper Series In Economics And Econometrics 1302, Economics Division, School of Social Sciences, University of Southampton.
    19. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
    20. Gospodinov, Nikolay & Lkhagvasuren, Damba, 2013. "A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains," FRB Atlanta Working Paper 2013-05, Federal Reserve Bank of Atlanta.
    21. Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
    22. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    23. Ihsan Erdem Kayral & Semra Karacaer, 2017. "Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies’ Stock Market Volatilities," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-5.
    24. Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
    25. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
    26. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
    27. Larry Jones & Alice Schoonbrodt, 2016. "Online Appendix to "Baby Busts and Baby Booms: The Fertility Response to Shocks in Dynastic Models"," Technical Appendices 15-111, Review of Economic Dynamics.
    28. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    29. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
    30. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    31. J. Farmer & Cameron Hepburn & Penny Mealy & Alexander Teytelboym, 2015. "A Third Wave in the Economics of Climate Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 62(2), pages 329-357, October.
    32. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.
    33. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers 201523, School of Economics, University College Dublin.

  12. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2011. "Fiscal Volatility Shocks and Economic Activity," NBER Working Papers 17317, National Bureau of Economic Research, Inc.

    Cited by:

    1. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
    2. Mecikovsky, Ariel & Meier, Matthias, 2014. "Do plants freeze upon uncertainty shocks?," EconStor Preprints 100662, ZBW - German National Library of Economics.
    3. Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
    4. Shaofeng Xu, 2017. "Volatility Risk and Economic Welfare," Staff Working Papers 17-20, Bank of Canada.
    5. Murray, James, 2014. "Fiscal Policy Uncertainty and Its Macroeconomic Consequences," MPRA Paper 57409, University Library of Munich, Germany.
    6. Wen Xu, 2016. "Estimation of Dynamic Panel Data Models with Stochastic Volatility Using Particle Filters," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-13, October.
    7. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    8. Alexopoulos, Michelle & Cohen, Jon, 2015. "The power of print: Uncertainty shocks, markets, and the economy," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 8-28.
    9. Bayer, Christian, 2016. "Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk," Annual Conference 2016 (Augsburg): Demographic Change 145961, Verein für Socialpolitik / German Economic Association.
    10. Nicholas Bloom & Max Floetotto & Nir Jaimovich & Itay Saporta-Eksten & Stephen J. Terry, 2014. "Really Uncertain Business Cycles," Working Papers 14-18, Center for Economic Studies, U.S. Census Bureau.
    11. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    12. Landon, Stuart & Smith, Constance, 2017. "Does the design of a fiscal rule matter for welfare?," Economic Modelling, Elsevier, vol. 63(C), pages 226-237.
    13. Alexander W. Richter & Nathaniel A. Throckmorton, 2013. "The Consequences of Uncertain Debt Targets," Auburn Economics Working Paper Series auwp2013-18, Department of Economics, Auburn University.
    14. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
    15. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    16. Popp, Aaron & Zhang, Fang, 2016. "The macroeconomic effects of uncertainty shocks: The role of the financial channel," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 319-349.
    17. K. Istrefi & A. Piloiu, 2014. "Economic Policy Uncertainty and Inflation Expectations," Working papers 511, Banque de France.
    18. Pries, Michael J., 2016. "Uncertainty-driven labor market fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 181-199.
    19. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 314-319.
    20. Baker, Jessica & Carreras, Oriol & Kirby, Simon & Meaning, Jack & Piggott, Rebecca, 2016. "Modelling events: The short-term economic impact of leaving the EU," Economic Modelling, Elsevier, vol. 58(C), pages 339-350.
    21. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    22. Giovanni Callegari & Francesco Drudi & Keith Kuester, 2017. "The fiscal mix in the euro-area crisis: dimensions and a model-based assessment of effects," Economic Policy, CEPR;CES;MSH, vol. 32(89), pages 127-169.
    23. Huixin Bi & Eric M. Leeper & Campbell Leith, 2013. "Uncertain Fiscal Consolidations," Economic Journal, Royal Economic Society, vol. 0, pages 31-63, 02.
    24. Francesco Bianchi & Leonardo Melosi, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," NBER Working Papers 23605, National Bureau of Economic Research, Inc.
    25. McKay, Alisdair, 2017. "Time-varying idiosyncratic risk and aggregate consumption dynamics," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 1-14.
    26. Marcelo Ochoa, 2013. "Volatility, labor heterogeneity and asset prices," Finance and Economics Discussion Series 2013-71, Board of Governors of the Federal Reserve System (U.S.).
    27. Taisuke Nakata, 2012. "Optimal Fiscal and Monetary Policy with Occasionally Binding Zero Bound Constraints," 2012 Meeting Papers 181, Society for Economic Dynamics.
    28. Vegard Høghaug Larsen, 2017. "Components of uncertainty," Working Paper 2017/5, Norges Bank.
    29. Nicholas Bloom, 2014. "Fluctuations In Uncertainty," Working Papers 14-17, Center for Economic Studies, U.S. Census Bureau.
    30. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2011. "Supply-side policies and the zero lower bound," Working Papers 11-47, Federal Reserve Bank of Philadelphia.
    31. Goodness C. Aye & Christina Christou & Luis A. Gil-Alana & Rangan Gupta, 2016. "Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term-Spread and Economic Policy Uncertainty," Working Papers 201680, University of Pretoria, Department of Economics.
    32. Guerron-Quintana, Pablo, 2013. "The economics of small open economies," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 9-18.
    33. Silvia Delrio, 2016. "Estimating the effects of global uncertainty in open economies," Working Papers 2016:19, Department of Economics, University of Venice "Ca' Foscari".
    34. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    35. Josef Hollmayr & Christian Matthes, 2013. "Learning about fiscal policy and the effects of policy uncertainty," Working Paper 13-15, Federal Reserve Bank of Richmond.
    36. Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "The international transmission of volatility shocks: an empirical analysis," Bank of England working papers 463, Bank of England.
    37. Christina Christou & Juncal Cunado & Rangan Gupta & Christis Hassapis, 2016. "Economic Policy Uncertainty and Stock Market Returns in Pacific-Rim Countries: Evidence based on a Bayesian Panel VAR Model," Working Papers 201661, University of Pretoria, Department of Economics.
    38. De Graeve, Ferre & Queijo von Heideken, Virginia, 2013. "Identifying Fiscal Inflation," Working Paper Series 273, Sveriges Riksbank (Central Bank of Sweden).
    39. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2015. "Measuring Economic Policy Uncertainty," NBER Working Papers 21633, National Bureau of Economic Research, Inc.
    40. Bonciani, Dario & van Roye, Björn, 2013. "Uncertainty shocks, banking frictions, and economic activity," Kiel Working Papers 1843, Kiel Institute for the World Economy (IfW).
    41. Elif C Arbatli & Steven J Davis & Arata Ito & Naoko Miake & Ikuo Saito, 2017. "Policy Uncertainty in Japan," IMF Working Papers 17/128, International Monetary Fund.
    42. Nancy Stokey, 2013. "Uncertainty and Investment Options," 2013 Meeting Papers 251, Society for Economic Dynamics.
    43. Born, Benjamin & Breuer, Sebastian & Elstner, Steffen, 2014. "Uncertainty and the Great Recession," Working Papers 04/2014, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
    44. Morikawa, Masayuki, 2016. "How uncertain are economic policies? New evidence from a firm survey," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 114-122.
    45. Haroon Mumtaz & Paolo Surico, 2013. "Policy Uncertainty and Aggregate Fluctuations," Working Papers 708, Queen Mary University of London, School of Economics and Finance.
    46. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
    47. Thomas Grennes, 2013. "Diminishing Quality of Fiscal Institutions in the United States and European Union," Cato Journal, Cato Journal, Cato Institute, vol. 33(2), pages 227-232, Spring/Su.
    48. Christian Pierdzioch & Rangan Gupta, 2017. "Uncertainty and Forecasts of U.S. Recessions," Working Papers 201732, University of Pretoria, Department of Economics.
    49. Gauvin, Ludovic & McLoughlin, Cameron & Reinhardt, Dennis, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
    50. Klodiana Istrefi & Anamaria Piloiu, 2013. "Economic Policy Uncertainty, Trust and Inflation Expectations," CESifo Working Paper Series 4294, CESifo Group Munich.
    51. Eddie Gerba & Klemens Hauzenberger, 2013. "Estimating US Fiscal and Monetary Interactions in a Time Varying VAR," Studies in Economics 1303, School of Economics, University of Kent.
    52. Kydland, Finn E. & Zarazaga, Carlos E.J.M., 2016. "Fiscal sentiment and the weak recovery from the Great Recession: A quantitative exploration," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 109-125.
    53. Klaus Abberger & Andreas Dibiasi & Michael Siegenthaler & Jan-Egbert Sturm, 2016. "The Effect of Policy Uncertainty on Investment Plans: Evidence from the Unexpected Acceptance of a Far-Reaching Referendum in Switzerland," CESifo Working Paper Series 5887, CESifo Group Munich.
    54. Mario Alloza, 2014. "Is Fiscal Policy More Effective in Uncertain Times or During Recessions?," Discussion Papers 1631, Centre for Macroeconomics (CFM), revised Oct 2016.
    55. Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," Working Papers 13-12, Duke University, Department of Economics.
    56. Scheffel, Eric Michael, 2012. "Political uncertainty in a data-rich environment," MPRA Paper 37318, University Library of Munich, Germany.
    57. Christos Shiamptanis, 2015. "Risk Assessment Under A Nonlinear Fiscal Policy Rule," Economic Inquiry, Western Economic Association International, vol. 53(3), pages 1539-1555, 07.
    58. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
    59. Dewachter, Hans & Wouters, Raf, 2014. "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 241-268.
    60. Sylvain Leduc & Zheng Liu, 2012. "Uncertainty shocks are aggregate demand shocks," Working Paper Series 2012-10, Federal Reserve Bank of San Francisco.
    61. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
    62. T. Philipp Dybowski & J. Nikolaj Dybowski & Philipp Adämmer, 2016. "The Economic Effects of U.S. Presidential Tax Communication," CQE Working Papers 4916, Center for Quantitative Economics (CQE), University of Muenster.
    63. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    64. Stan Veuger & Daniel Shoag, 2013. "Uncertainty and the geography of the Great Recession," AEI Economics Working Papers 694, American Enterprise Institute.
    65. Mathy, Gabriel & Ziebarth, Nicolas L., 2017. "How Much Does Political Uncertainty Matter? The Case of Louisiana under Huey Long," The Journal of Economic History, Cambridge University Press, vol. 77(01), pages 90-126, March.
    66. Xu, Shaofeng, 2016. "Interpreting volatility shocks as preference shocks," Economics Letters, Elsevier, vol. 149(C), pages 135-140.
    67. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2014. "On the determinants of food price volatility," Post-Print hal-01511900, HAL.
    68. Marina Azzimonti-Renzo, 2013. "The political polarization index," Working Papers 13-41, Federal Reserve Bank of Philadelphia.
    69. Panagiotis E. Petrakis & Dionysis G. Valsamis & Pantelis C. Kostis, 2014. "Uncertainty Shocks in Eurozone Periphery Countries and Germany," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 8(2), pages 87-106, December.
    70. Amélie Charles & Olivier Darné & Fabien Tripier, 2017. "Uncertainty and the Macroeconomy: Evidence from an uncertainty composite indicator ," Post-Print hal-01549625, HAL.
    71. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
    72. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Paper Series 4082, WU Vienna University of Economics and Business.
    73. Lester, Robert & Pries, Michael & Sims, Eric, 2014. "Volatility and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 17-36.
    74. Abbate, Angela & Eickmeier, Sandra & Prieto, Esteban, 2016. "Financial shocks and inflation dynamics," Discussion Papers 41/2016, Deutsche Bundesbank, Research Centre.
    75. Lubos Pastor & Pietro Veronesi, 2017. "Political Cycles and Stock Returns," NBER Working Papers 23184, National Bureau of Economic Research, Inc.
    76. Sheung-Chi Chow & Juncal Cunado & Rangan Gupta & Wing-Keung Wong, 2016. "Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models," Working Papers 201674, University of Pretoria, Department of Economics.
    77. Casey B. Mulligan, 2013. "Uncertainty, Redistribution, and the Labor Market," NBER Working Papers 19553, National Bureau of Economic Research, Inc.
    78. Pablo Guerron-Quintana, 2012. "Risk and uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 9-18.
    79. Kang, Wensheng & Lee, Kiseok & Ratti, Ronald A., 2014. "Economic policy uncertainty and firm-level investment," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 42-53.
    80. Anna Orlik & Laura Veldkamp, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," NBER Working Papers 20445, National Bureau of Economic Research, Inc.
    81. Patricia Gómez-González & Daniel Rees, 2013. "Stochastic Terms of Trade Volatility in Small Open Economies," RBA Research Discussion Papers rdp2013-10, Reserve Bank of Australia.
    82. K. Istrefi & S. Mouabbi, 2017. "Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis," Working papers 619, Banque de France.
    83. Pinter, Gabor & Theodoridis, Konstantinos & Yates, Tony, 2013. "Risk news shocks and the business cycle," Bank of England working papers 483, Bank of England.
    84. Taisuke Nakata, 2013. "Uncertainty at the zero lower bound," Finance and Economics Discussion Series 2013-09, Board of Governors of the Federal Reserve System (U.S.).
    85. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    86. Opp, Marcus M. & Parlour, Christine A. & Walden, Johan, 2014. "Markup cycles, dynamic misallocation, and amplification," Journal of Economic Theory, Elsevier, vol. 154(C), pages 126-161.
    87. Luis Ceballos & Damián Romero, 2014. "Risk Matters: The Impact of Nominal Uncertainty in Chile," Working Papers Central Bank of Chile 741, Central Bank of Chile.
    88. Michael Plante & Nora Traum, 2012. "Time-Varying Oil Price Volatility and Macroeconomic Aggregates," Caepr Working Papers 2012-002, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    89. Ayse Imrohoroglu & Kaiji Chen, 2012. "Debt and the U.S. Economy," 2012 Meeting Papers 229, Society for Economic Dynamics.
    90. Apergis, Nicholas, 2015. "Policy risks, technological risks and stock returns: New evidence from the US stock market," Economic Modelling, Elsevier, vol. 51(C), pages 359-365.
    91. De Simone, Lisa & Piotroski, Joseph D. & Tomy, Rimmy E., 2017. "Repatriation Taxes and Foreign Cash Holdings: The Impact of Anticipated Tax Policy," Research Papers 3507, Stanford University, Graduate School of Business.
    92. Gissler, Stefan & Oldfather, Jeremy & Ruffino, Doriana, 2016. "Lending on hold: Regulatory uncertainty and bank lending standards," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 89-101.
    93. Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," CESifo Working Paper Series 6622, CESifo Group Munich.
    94. Klaus Abberger & Andreas Dibiasi & Michael Siegenthaler & Jan-Egbert Sturm, 2016. "The Effect of Policy Uncertainty on Investment Plans," KOF Working papers 16-406, KOF Swiss Economic Institute, ETH Zurich.
    95. Karnizova, Lilia & Li, Jiaxiong (Chris), 2014. "Economic policy uncertainty, financial markets and probability of US recessions," Economics Letters, Elsevier, vol. 125(2), pages 261-265.
    96. Bergbrant, Mikael C. & Bradley, Daniel & Hunter, Delroy M., 2017. "Does bank loan supply affect the supply of equity capital? Evidence from new share issuance and withdrawal," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 32-45.
    97. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.

  13. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2011. "Supply-Side Policies and the Zero Lower Bound," NBER Working Papers 17543, National Bureau of Economic Research, Inc.

    Cited by:

    1. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    2. Thorsten Drautzburg & Harald Uhlig, 2011. "Fiscal Stimulus and Distortionary Taxation," 2011 Meeting Papers 481, Society for Economic Dynamics.
    3. Sofía Bauducco & Rodrigo Caputo, 2013. "Wicksell Versus Taylor: A Quest for Determinancy and the (IR) Relevance of the Taylor Principle," Working Papers Central Bank of Chile 705, Central Bank of Chile.
    4. Philippe Bacchetta & Eric van Wincoop, 2016. "The Great Recession: A Self-Fulfilling Global Panic," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 177-198, October.
    5. Francesco Bianchi & Leonardo Melosi, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," NBER Working Papers 23605, National Bureau of Economic Research, Inc.
    6. Narayana Kocherlakota, 2014. "Comment on "Quantifying the Lasting Harm to the U.S. Economy from the Financial Crisis"," NBER Chapters,in: NBER Macroeconomics Annual 2014, Volume 29, pages 146-152 National Bureau of Economic Research, Inc.
    7. Davide Porcellacchia, 2016. "Wage-Price Dynamics and Structural Reforms in Japan," IMF Working Papers 16/20, International Monetary Fund.
    8. Nicholas Crafts, 2013. "Long-Term Growth in Europe: What Difference does the Crisis Make?," National Institute Economic Review, National Institute of Economic and Social Research, vol. 224(1), pages 14-28, May.

  14. Olaf Posch & Juan F. Rubio-Ramírez & Jesús Fernández-Villaverde, 2011. "Solving the new Keynesian model in continuous time," 2011 Meeting Papers 829, Society for Economic Dynamics.

    Cited by:

    1. Offick Sven & Wohltmann Hans-Werner, 2016. "Partially Anticipated Monetary Policy Shocks – Are They Stabilizing or Destabilizing?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(1), pages 95-127, February.
    2. Sacht, Stephen, 2014. "Analysis of Various Shocks within the High-Frequency Versions of the Baseline New-Keynesian Model," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100372, Verein für Socialpolitik / German Economic Association.
    3. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
    4. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.

  15. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.

    Cited by:

    1. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    2. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
    3. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    4. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    5. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
    7. Howard Kung, 2014. "Macroeconomic linkages between monetary policy and the term structure of interest rates," 2014 Meeting Papers 560, Society for Economic Dynamics.
    8. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    9. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
    10. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    11. Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve Credibility and the Term Structure of Interest Rates," MPRA Paper 78253, University Library of Munich, Germany.
    12. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters,in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
    13. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    14. André Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
    15. Thien Nguyen & Steve Raymond & Lukas Schmid & Mariano Croce, 2016. "Government Debt and the Returns to Innovation," 2016 Meeting Papers 1443, Society for Economic Dynamics.
    16. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    17. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
    18. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
    19. Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
    20. Vasco Curdia & Andrea Ferrero & Han Chen, 2012. "The Macroeconomic Effects of Large-Scale Asset Purchase Programs," 2012 Meeting Papers 372, Society for Economic Dynamics.
    21. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
    22. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
    23. Yasuo Hirose & Takeki Sunakawa, 2015. "Parameter bias in an estimated DSGE model: does nonlinearity matter?," CAMA Working Papers 2015-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Heipertz, Jonas & Mihov, Ilian & Santacreu, Ana Maria, 2017. "The Exchange Rate as an Instrument of Monetary Policy," CEPR Discussion Papers 12137, C.E.P.R. Discussion Papers.
    25. Kung, Howard, 2015. "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 115(1), pages 42-57.
    26. Anna Kormilitsina & Denis Nekipelov, 2015. "Consistent Variance of the Laplace Type Estimators: Application to DSGE Models," Departmental Working Papers 1510, Southern Methodist University, Department of Economics.
    27. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    28. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
    29. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
    30. Staveley-O’Carroll, James & Staveley-O’Carroll, Olena M., 2017. "Impact of pension system structure on international financial capital allocation," European Economic Review, Elsevier, vol. 95(C), pages 1-22.
    31. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013. "Monetary Policy Drivers of Bond and Equity Risks," Harvard Business School Working Papers 14-031, Harvard Business School, revised Jun 2015.
    32. Yuanyuan Chen & Stuart Fowler, 2016. "Hybrid Perturbation-Projection Method for Solving DSGE Asset Pricing Models," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 649-667, December.
    33. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
    34. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla & Tatjana Schimetschek, 2017. "Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence," NBER Working Papers 23073, National Bureau of Economic Research, Inc.
    35. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    36. Barbara Annicchiarico & Alessandra Pelloni & Fabrizio Valenti, 2016. "Volatility and Growth with Recursive Preferences," Working Paper Series 16-05, The Rimini Centre for Economic Analysis.
    37. Meyer-Gohde, Alexander, 2015. "Risk-Sensitive Linear Approximations," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113057, Verein für Socialpolitik / German Economic Association.
    38. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
    39. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    40. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    41. Blagov, Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility : A fresh look at Hong Kong s linked exchange rate system," BOFIT Discussion Papers 24/2013, Bank of Finland, Institute for Economies in Transition.
    42. Eric T. Swanson, 2012. "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series 2012-17, Federal Reserve Bank of San Francisco.
    43. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," CREATES Research Papers 2013-12, Department of Economics and Business Economics, Aarhus University.
    44. Luigi Bocola & Nils Gornemann, 2013. "Risk, economic growth and the value of U.S. corporations," Working Papers 13-10, Federal Reserve Bank of Philadelphia.
    45. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    46. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo Group Munich.
    47. Lorenzo Menna & Patrizio Tirelli, 2014. "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers 275, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
    48. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    49. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    50. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
    51. Gregory R. Duffee, 2012. "Bond pricing and the macroeconomy," Economics Working Paper Archive 598, The Johns Hopkins University,Department of Economics.
    52. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    53. Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, Elsevier.
    54. Mete Kilic & Jessica A. Wachter, 2015. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers 21575, National Bureau of Economic Research, Inc.
    55. Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).

  16. Jesus Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or virtue: time-variant volatilities versus parameter drifting," Working Papers 10-14, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
    2. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    3. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    4. Stefano Eusepi & Bruce Preston, 2013. "Fiscal foundations of inflation: imperfect knowledge," Staff Reports 649, Federal Reserve Bank of New York.
    5. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters,in: NBER International Seminar on Macroeconomics 2013, pages 52-67 National Bureau of Economic Research, Inc.
    6. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    7. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, vol. 105(11), pages 3352-3384, November.
    8. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    9. Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers 03/12, School of Economics and Business Administration, University of Navarra.
    10. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    11. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, 07.
    12. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters,in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
    13. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    14. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
    15. Susan S. Yang & Nora Traum, 2010. "Monetary and Fiscal Policy Interactions in the Post-war U.S," IMF Working Papers 10/243, International Monetary Fund.
    16. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    17. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    18. Lee, Junghoon, 2016. "The impact of idiosyncratic uncertainty when investment opportunities are endogenous," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 105-124.
    19. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    20. Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-20, May.
    21. Ryo Jinnai, 2011. "News Shocks, Price Levels, and Monetary Policy," Global COE Hi-Stat Discussion Paper Series gd10-173, Institute of Economic Research, Hitotsubashi University.
    22. Gonzalez-Astudillo, Manuel, 2011. "Policy Rule Coefficients Driven by Latent Factors: Monetary and Fiscal Policy Interactions in an Endowment Economy," MPRA Paper 29976, University Library of Munich, Germany.
    23. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
    24. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.

  17. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.

    Cited by:

    1. Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
    2. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    3. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    4. Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers 03/12, School of Economics and Business Administration, University of Navarra.
    5. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    6. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
    7. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," ifo Working Paper Series Ifo Working Paper No. 167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    8. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    9. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    10. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(02), pages 363-393, March.
    11. Müller, Ulrich K., 2012. "Measuring prior sensitivity and prior informativeness in large Bayesian models," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 581-597.
    12. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
    13. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    14. Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 400-408.
    15. Lee, Junghoon, 2016. "The impact of idiosyncratic uncertainty when investment opportunities are endogenous," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 105-124.
    16. Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-20, May.
    17. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the recent monetary history of the United States, 1959-2007," Review, Federal Reserve Bank of St. Louis, issue May, pages 311-338.
    18. Guido Ascari & Paolo Bonomolo & Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    19. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
    20. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    21. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.
    22. Bidder, Rhys, 2015. "Animal spirits and business cycles," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

  18. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
    2. Marina Azzimonti-Renzo, 2013. "Polarized business cycles," Working Papers 13-44, Federal Reserve Bank of Philadelphia.
    3. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," ifo Working Paper Series Ifo Working Paper No. 167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    4. Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "The international transmission of volatility shocks: an empirical analysis," Bank of England working papers 463, Bank of England.
    5. Martín Uribe, 2011. "Comment on "Risk, Monetary Policy and the Exchange Rate"," NBER Chapters,in: NBER Macroeconomics Annual 2011, Volume 26, pages 315-324 National Bureau of Economic Research, Inc.
    6. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
    7. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
    8. Steffen Henzel & Elisabeth Wieland, 2013. "Synchronization and Changes in International Inflation Uncertainty," CESifo Working Paper Series 4194, CESifo Group Munich.
    9. Marina Azzimonti-Renzo, 2013. "The political polarization index," Working Papers 13-41, Federal Reserve Bank of Philadelphia.
    10. Gonzalez-Astudillo, Manuel, 2011. "Policy Rule Coefficients Driven by Latent Factors: Monetary and Fiscal Policy Interactions in an Endowment Economy," MPRA Paper 29976, University Library of Munich, Germany.
    11. Dennis, Wesselbaum, 2012. "Stochastic Volatility in the U.S. Labor Market," MPRA Paper 43054, University Library of Munich, Germany.
    12. Luis Ceballos & Damián Romero, 2014. "Risk Matters: The Impact of Nominal Uncertainty in Chile," Working Papers Central Bank of Chile 741, Central Bank of Chile.
    13. Kukacka, Jiri & Barunik, Jozef, 2016. "Estimation of financial agent-based models with simulated maximum likelihood," FinMaP-Working Papers 63, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.

  19. Tao Zha & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Andrew T. Foerster, 2010. "Perturbation Methods for Markov-Switching Models," 2010 Meeting Papers 239, Society for Economic Dynamics.

    Cited by:

    1. Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016. "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications 10197/7323, School of Economics, University College Dublin.
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Philippopoulos, Apostolis & Varthalitis, Petros & Vassilatos, Vanghelis, 2015. "Optimal fiscal and monetary policy action in a closed economy," Economic Modelling, Elsevier, vol. 48(C), pages 175-188.
    4. Smith, A. Lee, 2016. "When does the cost channel pose a challenge to inflation targeting central banks?," European Economic Review, Elsevier, vol. 89(C), pages 471-494.
    5. Junior Maih, 2015. "Efficient perturbation methods for solving regime-switching DSGE models," Working Paper 2015/01, Norges Bank.
    6. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona Graduate School of Economics.
    7. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    8. Francesco Bianchi & Leonardo Melosi, 2014. "Constrained Discretion and Central Bank Transparency," NBER Working Papers 20566, National Bureau of Economic Research, Inc.
    9. Andrew T. Foerster, 2013. "Monetary policy regime switches and macroeconomic dynamic," Research Working Paper RWP 13-04, Federal Reserve Bank of Kansas City.
    10. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    11. Smith, Andrew Lee, 2015. "When does the cost channel pose a challenge to inflation targeting central banks?," Research Working Paper RWP 15-6, Federal Reserve Bank of Kansas City.
    12. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    13. Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," Economics Working Papers 15105, Hoover Institution, Stanford University.
    14. Serguei Maliar & John Taylor & Lilia Maliar, 2016. "The Impact of Alternative Transitions to Normalized Monetary Policy," 2016 Meeting Papers 794, Society for Economic Dynamics.
    15. Viktors Ajevskis, 2014. "Semi-Global Solutions to DSGE Models: Perturbation around a Deterministic Path," Working Papers 2014/01, Latvijas Banka.
    16. Jaroslav Borovička & Lars Peter Hansen, 2016. "Term Structure of Uncertainty in the Macroeconomy," NBER Working Papers 22364, National Bureau of Economic Research, Inc.
    17. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    18. Andrew T. Foerster, 2011. "Financial crises, unconventional monetary policy exit strategies, and agents' expectations," Research Working Paper RWP 11-04, Federal Reserve Bank of Kansas City.
    19. Davig, Troy A. & Foerster, Andrew T., 2014. "Uncertainty and fiscal cliffs," Research Working Paper RWP 14-4, Federal Reserve Bank of Kansas City.
    20. Guido Ascari & Anna Florio & Alessandro Gobbi, 2016. "Monetary and Fiscal Policy Interactions: Leeper (1991) Redux," Economics Series Working Papers 788, University of Oxford, Department of Economics.
    21. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    22. Blagov, Boris & Funke, Michael, 2013. "The regime-dependent evolution of credibility : A fresh look at Hong Kong s linked exchange rate system," BOFIT Discussion Papers 24/2013, Bank of Finland, Institute for Economies in Transition.
    23. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    24. Chen, Han, 2014. "Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model," Finance and Economics Discussion Series 2014-38, Board of Governors of the Federal Reserve System (U.S.).
    25. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers 201523, School of Economics, University College Dublin.

  20. Federico S. Mandelman & Pau Rabanal & Juan F. Rubio-Ramírez & Diego Vilán, 2010. "Investment-specific technology shocks and international business cycles: an empirical assessment," FRB Atlanta Working Paper 2010-03, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Pau Rabanal & Vicente Tuesta, 2013. "Nontradable Goods and the Real Exchange Rate," Open Economies Review, Springer, vol. 24(3), pages 495-535, July.
    2. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "Traded and Nontraded Goods Prices, and International Risk Sharing: An Empirical Investigation," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 403-466.
    3. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    4. Kyriacos Lambrias, 2013. "News Shocks, Real Exchange Rates and International Co-Movements," BCL working papers 83, Central Bank of Luxembourg.
    5. Mandelman, Federico S., 2016. "Labor market polarization and international macroeconomic dynamics," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 1-16.
    6. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    7. Jean-François Rouillard, 2015. "National Financial Frictions and International Business Cycle Synchronization," Cahiers de recherche 15-12, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
    8. Kano, Takashi, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
    9. Pau Rabanal & Juan F. Rubio-Ramirez, 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Working Papers 1508, BBVA Bank, Economic Research Department.
    10. Küçük, Hande & Sutherland, Alan, 2015. "International Risk Sharing and Portfolio Choice with Non-separable Preferences," CEPR Discussion Papers 10724, C.E.P.R. Discussion Papers.
    11. Nuntramas, Phacharaphot, 2011. "Revisiting the consumption-real exchange rate anomaly in a model with non-traded goods," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 428-447, April.
    12. Francesco Zanetti & Federico S. Mandelman, 2013. "Flexible prices, labor market frictions and the response of employment to technology shocks," Economics Series Working Papers 683, University of Oxford, Department of Economics.
    13. Hideaki Hirata, 2014. "Preference Shocks, International Frictions, and International Business Cycles," Working Paper 164446, Harvard University OpenScholar.
    14. Enrique Martínez-García, 2016. "A Quantitative Assessment of the Role of Incomplete Asset Markets on the Dynamics of the Real Exchange Rate," Open Economies Review, Springer, vol. 27(5), pages 945-967, November.
    15. P. Jacob & G. Peersman, 2008. "Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/544, Ghent University, Faculty of Economics and Business Administration.
    16. Mathias Trabandt & Karl Walentin & Lawrence J. Christiano, 2008. "Introducing Financial Frictions and Unemployment into a Small Open Economy Model," 2008 Meeting Papers 423, Society for Economic Dynamics.
    17. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
    18. Peter N. Ireland, 2013. "Stochastic Growth In The United States And Euro Area," Journal of the European Economic Association, European Economic Association, vol. 11(1), pages 1-24, 02.
    19. 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.
    20. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2015. "Changing Credit Limits, Changing Business Cycles," CEPR Discussion Papers 10462, C.E.P.R. Discussion Papers.
    21. Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2014. "Limited participation in international business cycle models: A formal evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 255-272.
    22. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
    23. Dey, Jaya, 2017. "The Role Of Investment-Specific Technology Shocks In Driving International Business Cycles: A Bayesian Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 21(03), pages 555-598, April.
    24. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    25. Punnoose Jacob & Gert Peersman, 2012. "Dissecting the dynamics of the US trade balance in an estimated equilibrium model," Working Paper Research 226, National Bank of Belgium.
    26. Marta Arespa & Diego Gruber, 2016. "Product Quality and International Price Dynamics," UB Economics Working Papers 2016/340, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
    27. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2016. "Deepening Contractions and Collateral Constraints," CEPR Discussion Papers 11166, C.E.P.R. Discussion Papers.
    28. Jean-François Rouillard, 2015. "International Risk Sharing and Financial Shocks," Cahiers de recherche 15-13, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
    29. Dmitriev, Alexandre & Roberts, Ivan, 2013. "The cost of adjustment: On comovement between the trade balance and the terms of trade," Economic Modelling, Elsevier, vol. 35(C), pages 689-700.
    30. KANO, Takashi, 2016. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Discussion paper series HIAS-E-19, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    31. Wong, Chin-Yoong & Eng, Yoke-Kee, 2013. "International business cycle co-movement and vertical specialization reconsidered in multistage Bayesian DSGE model," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 109-124.
    32. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.

  21. Eric M. Aldrich & Jesús Fernández-Villaverde & A. Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," NBER Working Papers 15909, National Bureau of Economic Research, Inc.

    Cited by:

    1. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
    2. Hull, Isaiah, 2017. "Amortization requirements and household indebtedness: An application to Swedish-style mortgages," European Economic Review, Elsevier, vol. 91(C), pages 72-88.
    3. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    4. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
    5. Oancea, Bogdan, 2014. "Parallel Computing in Economics - An Overview of the Software Frameworks," MPRA Paper 72039, University Library of Munich, Germany.
    6. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, 07.
    7. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 151-182, August.
    8. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
    9. Michael C. Hatcher & Eric M. Scheffel, 2016. "Solving the Incomplete Markets Model in Parallel Using GPU Computing and the Krusell–Smith Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 569-591, December.
    10. John Gibson & James P Henson, 2016. "Getting the most from MATLAB: ditching canned routines and embracing coder," Economics Bulletin, AccessEcon, vol. 36(4), pages 2519-2525.
    11. Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-20, March.
    12. Matt P. Dziubinski & Stefano Grassi, 2012. "Heterogeneous Computing in Economics: A Simplified Approach," CREATES Research Papers 2012-15, Department of Economics and Business Economics, Aarhus University.
    13. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Schorfheide, Frank, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    14. Yongyang Cai & Kenneth L. Judd, 2012. "Dynamic Programming with Hermite Approximation," NBER Working Papers 18540, National Bureau of Economic Research, Inc.
    15. Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Computational Complexity and Parallelization in Bayesian Econometric Analysis," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-3, February.
    16. Lilia Maliar, 2015. "Assessing gains from parallel computation on a supercomputer," Economics Bulletin, AccessEcon, vol. 35(1), pages 159-167.
    17. Volker Tjaden, 2013. "Foreign Customer Accumulation and Export Dynamics," Bonn Econ Discussion Papers bgse06_2013, University of Bonn, Germany.
    18. Lilia Maliar, 2013. "Assessing gains from parallel computation on supercomputers," Working Papers. Serie AD 2013-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    19. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
    20. Robert Kirkby, 2017. "Convergence of Discretized Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 117-153, January.
    21. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    22. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    23. Yongyang Cai & Kenneth L. Judd & Greg Thain & Stephen J. Wright, 2013. "Solving Dynamic Programming Problems on a Computational Grid," NBER Working Papers 18714, National Bureau of Economic Research, Inc.
    24. Theodosios Dimopoulos & Stefano Sacchetto, "undated". "Technological Heterogeneity and Corporate Investment," GSIA Working Papers 2012-E48, Carnegie Mellon University, Tepper School of Business.
    25. Morozov, Sergei & Mathur, Sudhanshu, 2009. "Massively parallel computation using graphics processors with application to optimal experimentation in dynamic control," MPRA Paper 30298, University Library of Munich, Germany, revised 04 Apr 2011.
    26. Andrew Blake, 2012. "DSGE Modeling on an iPhone/iPad Using SpaceTime," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 313-332, December.
    27. Grey Gordon, 2011. "Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution," PIER Working Paper Archive 11-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    28. Kyle Klein & Julian Neira, 2014. "Nelder-Mead Simplex Optimization Routine for Large-Scale Problems: A Distributed Memory Implementation," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 447-461, April.
    29. Robert Kirkby, 2017. "A Toolkit for Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 1-15, January.

  22. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez, 2010. "Reading the Recent Monetary History of the U.S., 1959-2007," NBER Working Papers 15929, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    2. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    3. Sergey Ivashchenko, 2014. "Forecasting in a Non-Linear DSGE Model," EUSP Department of Economics Working Paper Series Ec-02/14, European University at St. Petersburg, Department of Economics.

  23. Wen Yao & Juan Rubio Ramirez & Jesus Fernandez Villaverde & Dario Caldara, 2009. "Computing Models with Recursive Preferences," 2009 Meeting Papers 1162, Society for Economic Dynamics.

    Cited by:

    1. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska , Marta, 2013. "Time-varying inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York, revised 01 Jul 2016.
    3. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.

  24. Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Juan Rubio-Ramírez & Martín Uribe, 2009. "Risk Matters: The Real Effects of Volatility Shocks," NBER Working Papers 14875, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
    2. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    3. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
    4. Susanto Basu & Brent Bundick, 2011. "Uncertainty Shocks in a Model of Effective Demand," Boston College Working Papers in Economics 774, Boston College Department of Economics, revised 01 Nov 2015.
    5. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    6. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    7. Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
    8. Jan Babecký & Tomáš Havránek & Jakub Mateju & Marek Rusnák & Katerina Šmídková & Borek Vašícek, 2012. "Banking, Debt, and Currency Crises: Early Warning Indicators for Developed Countries," Working Papers IES 2012/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2012.
    9. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    10. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    11. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2014. "Risk shocks and housing supply: A quantitative analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 194-219.
    12. Shaofeng Xu, 2017. "Volatility Risk and Economic Welfare," Staff Working Papers 17-20, Bank of Canada.
    13. Murray, James, 2014. "Fiscal Policy Uncertainty and Its Macroeconomic Consequences," MPRA Paper 57409, University Library of Munich, Germany.
    14. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    15. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    16. Eguren Martin, Fernando, 2016. "Exchange rate regimes and current account adjustment: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 69-93.
    17. Güntner, Jochen H.F., 2015. "The federal funds market, excess reserves, and unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 225-250.
    18. Mehkari, M. Saif, 2016. "Uncertainty shocks in a model with mean-variance frontiers and endogenous technology choices," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 71-98.
    19. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    20. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, vol. 105(11), pages 3352-3384, November.
    21. Bergin, Paul R & Corsetti, Giancarlo, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," CEPR Discussion Papers 10718, C.E.P.R. Discussion Papers.
    22. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
    23. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín, 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
    24. Bachmann, Ruediger & Bayer, Christian, 2009. "Firm-specific productivity risk over the business cycle: facts and aggregate implications," Discussion Paper Series 1: Economic Studies 2009,15, Deutsche Bundesbank, Research Centre.
    25. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
    26. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
    27. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    28. Aleksei Netsunajev & Katharina Glass, 2016. " Uncertainty and Employment Dynamics in the Euro Area and the US," SFB 649 Discussion Papers SFB649DP2016-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    29. Julien Albertini & Hong Lan, 2016. "The importance of time-varying parameters in new Keynesian models with zero lower bound," SFB 649 Discussion Papers SFB649DP2016-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    30. Barnichon, Regis & Matthes, Christian & Ziegenbein, Alexander, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
    31. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters,in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
    32. Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
    33. K. Istrefi & A. Piloiu, 2014. "Economic Policy Uncertainty and Inflation Expectations," Working papers 511, Banque de France.
    34. Durdu, C. Bora & Nunes, Ricardo & Sapriza, Horacio, 2013. "News and sovereign default risk in small open economies," Journal of International Economics, Elsevier, vol. 91(1), pages 1-17.
    35. Giancarlo Corsetti, 2012. "The ‘hoc’ of international macroeconomics after the crisis," Chapters,in: What’s Right with Macroeconomics?, chapter 3, pages 68-89 Edward Elgar Publishing.
    36. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
    37. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
    38. Maximiliano Dvorkin, 2013. "Sectoral Shocks, Reallocation and Unemployment in a Model of Competitive Labor Markets," 2013 Meeting Papers 1229, Society for Economic Dynamics.
    39. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
    40. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
    41. Echeverria Garaigorta, Paulina Elisa & Iza Padilla, María Amaya, 2011. "Business cycles in a small open economy: The case of Hong Kong," DFAEII Working Papers 2011-07, University of the Basque Country - Department of Foundations of Economic Analysis II.
    42. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
    43. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    44. Marcelo Ochoa, 2013. "Volatility, labor heterogeneity and asset prices," Finance and Economics Discussion Series 2013-71, Board of Governors of the Federal Reserve System (U.S.).
    45. Julián Caballero & Andres Fernandez & Jongho Park, 2016. "On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation," IDB Publications (Working Papers) 95296, Inter-American Development Bank.
    46. Vegard Høghaug Larsen, 2017. "Components of uncertainty," Working Paper 2017/5, Norges Bank.
    47. Nicholas Bloom, 2014. "Fluctuations In Uncertainty," Working Papers 14-17, Center for Economic Studies, U.S. Census Bureau.
    48. Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
    49. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    50. Feng, Ling & Lin, Ching-Yi, 2013. "Financial shocks and exports," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 39-55.
    51. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010. "Measuring the Effects of Fiscal Policy," Cahiers de recherche 1016, CIRPEE.
    52. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2010. "Risk Shocks and Housing Markets," Economics Series 249, Institute for Advanced Studies.
    53. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    54. Flamini, Alessandro & Milas, Costas, 2015. "Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications," Journal of Financial Stability, Elsevier, vol. 16(C), pages 89-105.
    55. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    56. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2014. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," NBER Working Papers 20473, National Bureau of Economic Research, Inc.
    57. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
    58. Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "The international transmission of volatility shocks: an empirical analysis," Bank of England working papers 463, Bank of England.
    59. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    60. Bonciani, Dario & van Roye, Björn, 2013. "Uncertainty shocks, banking frictions, and economic activity," Kiel Working Papers 1843, Kiel Institute for the World Economy (IfW).
    61. Robert Kollmann, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," Working Papers ECARES ECARES 2016-13, ULB -- Universite Libre de Bruxelles.
    62. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 1-15.
    63. Hernan Seoane, 2016. "Time-varying volatility, default and the sovereign risk premium," 2016 Meeting Papers 1132, Society for Economic Dynamics.
    64. Álvarez-Parra, Fernando & Brandao-Marques, Luis & Toledo, Manuel, 2013. "Durable goods, financial frictions, and business cycles in emerging economies," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 720-736.
    65. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    66. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
    67. Martín Uribe, 2011. "Comment on "Risk, Monetary Policy and the Exchange Rate"," NBER Chapters,in: NBER Macroeconomics Annual 2011, Volume 26, pages 315-324 National Bureau of Economic Research, Inc.
    68. Eric R. Sims, 2012. "Uncertainty and Economic Activity: Evidence from Business Survey Data," Working Papers 014, University of Notre Dame, Department of Economics, revised Jun 2012.
    69. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    70. Thomas Barnebeck Andersen & Nikolaj Malchow-Møller, 2015. "Innovations in Mortgage Finance and the Onset of the Great Recession in a Small Open Economy with a Euro Peg," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 57(4), pages 711-734, December.
    71. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
    72. Emre Alper & Lorenzo Forni, 2011. "Public Debt in Advanced Economies and its Spillover Effectson Long-Term Yields," IMF Working Papers 11/210, International Monetary Fund.
    73. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, vol. 90(1), pages 33-49.
    74. Gregory Clark & Neil Cummins, 2010. "Malthus to Modernity: England?s First Fertility Transition, 1760-1800," Working Papers 1013, University of California, Davis, Department of Economics.
    75. Klodiana Istrefi & Anamaria Piloiu, 2013. "Economic Policy Uncertainty, Trust and Inflation Expectations," CESifo Working Paper Series 4294, CESifo Group Munich.
    76. International Monetary Fund, 2011. "Business Cycles in Emerging Markets; The Role of Durable Goods and Financial Frictions," IMF Working Papers 11/133, International Monetary Fund.
    77. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    78. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
    79. Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
    80. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
    81. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    82. Sylvain Leduc & Zheng Liu, 2012. "Uncertainty shocks are aggregate demand shocks," Working Paper Series 2012-10, Federal Reserve Bank of San Francisco.
    83. Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.
    84. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
    85. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
    86. Scott R. Baker & Nicholas Bloom, 2013. "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments," NBER Working Papers 19475, National Bureau of Economic Research, Inc.
    87. Xu, Shaofeng, 2016. "Interpreting volatility shocks as preference shocks," Economics Letters, Elsevier, vol. 149(C), pages 135-140.
    88. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2014. "On the determinants of food price volatility," Post-Print hal-01511900, HAL.
    89. Damiano Sandri, 2011. "Precautionary Savings and Global Imbalances in World General Equilibrium," IMF Working Papers 11/122, International Monetary Fund.
    90. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
    91. Francisco Blasques, 2013. "Solution-Driven Specification of DSGE Models," Tinbergen Institute Discussion Papers 13-062/III, Tinbergen Institute.
    92. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    93. Kollmann, Robert, 2016. "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," MPRA Paper 70350, University Library of Munich, Germany.
    94. Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
    95. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
    96. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in Affine Real Business Cycle Models," IMF Working Papers 10/249, International Monetary Fund.
    97. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
    98. Juliana Dutra Araujo & Grace B Li & Marcos Poplawski-Ribeiro & Luis-Felipe Zanna, 2013. "Current Account Norms in Natural Resource Rich and Capital Scarce Economies," IMF Working Papers 13/80, International Monetary Fund.
    99. Hiroaki Miyamoto, 2016. "Uncertainty shocks and labor market dynamics in Japan," Working Papers SDES-2016-8, Kochi University of Technology, School of Economics and Management, revised Jun 2016.
    100. Born, Benjamin & Pfeifer, Johannes, 2014. "Risk Matters: A Comment," Dynare Working Papers 39, CEPREMAP.
    101. Pablo Guerron-Quintana, 2012. "Risk and uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 9-18.
    102. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    103. Anna Orlik & Laura Veldkamp, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," NBER Working Papers 20445, National Bureau of Economic Research, Inc.
    104. István Magas, 2011. "Financial liberalisation – The dilemmas of national adaptation," Public Finance Quarterly, State Audit Office of Hungary, vol. 56(2), pages 214-240.
    105. Hong Lan & Alexander Meyer-Gohde, 2013. "Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations," SFB 649 Discussion Papers SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    106. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
    107. Patricia Gómez-González & Daniel Rees, 2013. "Stochastic Terms of Trade Volatility in Small Open Economies," RBA Research Discussion Papers rdp2013-10, Reserve Bank of Australia.
    108. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
    109. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    110. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
    111. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    112. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    113. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
    114. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    115. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
    116. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    117. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona Graduate School of Economics.
    118. Adnan Velic, 2017. "Current Account Imbalances, Real Exchange Rates, and Nominal Exchange Rate Variability," Trinity Economics Papers tep1417, Trinity College Dublin, Department of Economics.
    119. Erik Öberg & Karl Harmenberg, 2016. "Durable Expenditure Dynamics under Time-Varying Income Risk," 2016 Meeting Papers 672, Society for Economic Dynamics.
    120. Marina Azzimonti-Renzo & Matthew Talbert, 2011. "Partisan cycles and the consumption volatility puzzle," Working Papers 11-21, Federal Reserve Bank of Philadelphia.
    121. Sergey Egiev, 2016. "On Persistence of Uncertainty Shocks," HSE Working papers WP BRP 144/EC/2016, National Research University Higher School of Economics.
    122. Taisuke Nakata, 2017. "Uncertainty at the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(3), pages 186-221, July.
    123. Ali Chebbi, 2015. "Stochastic growth, taxation policy and welfare cost in an open emerging economy," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 62(1), pages 57-84, March.
    124. Paul Luk & David Vines, 2014. "Debt Deleveraging and the Zero Bound: Potentially Perverse Effects of Real Exchange Rate Movements," Working Papers 202014, Hong Kong Institute for Monetary Research.
    125. Šustek, Roman, 2011. "Plant-level nonconvex output adjustment and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 400-414.
    126. Yuriy Gorodnichenko & Serena Ng, 2017. "Level and Volatility Factors in Macroeconomic Data," NBER Working Papers 23672, National Bureau of Economic Research, Inc.
    127. Ferrari, Massimo, 2014. "The financial meltdown: a model with endogenous default probability," MPRA Paper 59419, University Library of Munich, Germany.
    128. Nuguer Victoria & Cuadra Gabriel, 2016. "Risky Banks and Macroprudential Policy for Emerging Economies," Working Papers 2016-06, Banco de México.
    129. Carrière-Swallow, Yan & Céspedes, Luis Felipe, 2013. "The impact of uncertainty shocks in emerging economies," Journal of International Economics, Elsevier, vol. 90(2), pages 316-325.
    130. Rüdiger Bachmann & Christian Bayer, 2011. "Uncertainty Business Cycles - Really?," NBER Working Papers 16862, National Bureau of Economic Research, Inc.
    131. Apostolou, Apostolos & Beirne, John, 2017. "Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies," Working Paper Series 2044, European Central Bank.
    132. Den Haan, Wouter J. & De Wind, Joris, 2012. "Nonlinear and stable perturbation-based approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1477-1497.
    133. Choi, Sangyup & Loungani, Prakash, 2015. "Uncertainty and unemployment: The effects of aggregate and sectoral channels," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 344-358.
    134. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper 2014-21, Federal Reserve Bank of Atlanta.
    135. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
    136. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.

  25. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Kamal, Mona, 2011. "Bayesian Estimation of Dynamic Stochastic General Equilibrium Model Using UK Data," MPRA Paper 28988, University Library of Munich, Germany.
    2. J. Boscá & A. Díaz & R. Doménech & J. Ferri & E. Pérez & L. Puch, 2010. "A rational expectations model for simulation and policy evaluation of the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 135-169, March.
    3. Jordi Galí & Tommaso Monacelli, 2015. "Understanding the Gains from Wage Flexibility: The Exchange Rate Connection," Working Papers 746, Barcelona Graduate School of Economics.
    4. Jürgen Jerger & Oke Röhe, 2012. "Testing for Parameter Stability in DSGE Models. The Cases of France, Germany, Italy, and Spain," Working Papers 118, Bavarian Graduate Program in Economics (BGPE).
    5. R. Anton Braun & Tomoyuki Nakajima, 2012. "Uninsured Countercyclical Risk: An Aggregation Result And Application To Optimal Monetary Policy," Journal of the European Economic Association, European Economic Association, vol. 10(6), pages 1450-1474, December.
    6. Taylor, John B. & Wieland, Volker, 2010. "Surprising comparative properties of monetary models: Results from a new model database," Working Paper Series 1261, European Central Bank.
    7. D. Siena, 2014. "The European Monetary Union and Imbalances: Is it an Anticipation Story ?," Working papers 501, Banque de France.
    8. Daly, Hounaida & Smida, Mounir, 2013. "Interaction entre politique monétaire et politique budgétaire:Cas de la Grèce
      [Fiscal and Monetary Policy Interactions : The Greece Case]
      ," MPRA Paper 45931, University Library of Munich, Germany.
    9. Massimiliano Marcellino & Yuliya Rychalovska, 2012. "An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis," RSCAS Working Papers 2012/34, European University Institute.
    10. Jerger, Jürgen & Röhe, Oke, 2009. "Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain," University of Regensburg Working Papers in Business, Economics and Management Information Systems 453, University of Regensburg, Department of Economics.
    11. Massimiliano Marcellino & Yuliya Rychalovska, 2014. "Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(5), pages 315-338, 08.
    12. Gonzalo Fernandez-de-Córdoba & José L. Torres, 2009. "Forecasting the Spanish economy with an Augmented VAR-DSGE model," Working Papers 2009-1, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
    13. Jan in 't Veld & Andrea Pagano & Rafal Raciborski & Marco Ratto & Werner Roeger, 2012. "Imbalances and rebalancing scenarios in an estimated structural model for Spain," European Economy - Economic Papers 2008 - 2015 458, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    14. Pierre Lafourcade & Joris de Wind, 2012. "Taking Trends Seriously in DSGE Models: An Application to the Dutch Economy," DNB Working Papers 345, Netherlands Central Bank, Research Department.
    15. Christiaan Kwaak & Sweder Wijnbergen, 2017. "Sovereign debt and bank fragility in Spain," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(3), pages 511-543, August.
    16. Andrés González & Lavan Mahadeva & Juan D. Prada & Diego Rodríguez, 2011. "Policy Analysis Tool Applied to Colombian Needs: PATACON Model Description," BORRADORES DE ECONOMIA 008698, BANCO DE LA REPÚBLICA.
    17. Daly, Hounaida & Smida, Mounir, 2013. "La coordination des politiques monétaire et budgétaire: Aperçu théorique
      [Coordination of monetary and fiscal policies: Theoretical Overview]
      ," MPRA Paper 48066, University Library of Munich, Germany.
    18. Dimitris Papageorgiou, 2014. "BoGGEM: a dynamic stochastic general equilibrium model for policy simulations," Working Papers 182, Bank of Greece.
    19. Miguel Viegas & Ana Ribeiro, 2015. "Welfare and inequality effects of debt consolidation processes: the case of Spain, 1996–2007," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(4), pages 479-496, November.
    20. José Luis Torres Chacon, 2015. "Introduction to Dynamic Macroeconomic General Equilibrium Models," Vernon Press Titles in Economics, Vernon Art and Science Inc, edition 2, number 54, October.
    21. Burgess, Stephen & Fernandez-Corugedo, Emilio & Groth, Charlotta & Harrison, Richard & Monti, Francesca & Theodoridis, Konstantinos & Waldron, Matt, 2013. "The Bank of England's forecasting platform: COMPASS, MAPS, EASE and the suite of models," Bank of England working papers 471, Bank of England.
    22. Richard Anton Braun & Tomoyuki Nakajima, 2009. "Optimal monetary policy when asset markets are incomplete," CIRJE F-Series CIRJE-F-679, CIRJE, Faculty of Economics, University of Tokyo.
    23. Javier Andrés & Samuel Hurtado & Eva Ortega & Carlos Thomas, 2009. "Spain in the euro: a general equilibrium analysis," Working Papers 0927, Banco de España;Working Papers Homepage.
    24. Jaromir Tonner & Jiri Polansky & Osvald Vašíèek, 2011. "Parameter Drifting in a DSGE Model Estimated on Czech Data," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 510-524, November.
    25. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    26. Francesco Sergi, 2015. "L'histoire (faussement) naïve des modèles DSGE," Documents de travail du Centre d'Economie de la Sorbonne 15066, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    27. Vogel, Lukas, 2012. "Structural reforms, fiscal consolidation and external rebalancing in monetary union: A model-based analysis," Economic Modelling, Elsevier, vol. 29(4), pages 1286-1298.

  26. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," NBER Working Papers 15026, National Bureau of Economic Research, Inc.

    Cited by:

    1. Darracq Pariès, Matthieu & Loublier, Alexis, 2010. "Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy," Working Paper Series 1209, European Central Bank.
    2. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
    4. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
    5. Harold L. Cole & Lee E. Ohanian, 2013. "The Impact of Cartelization, Money, and Productivity Shocks on the International Great Depression," NBER Working Papers 18823, National Bureau of Economic Research, Inc.
    6. Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska , Marta, 2013. "Time-varying inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York, revised 01 Jul 2016.
    7. Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.
    8. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
    9. David Backus & Axelle Ferriere & Stanley Zin, 2014. "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers 20319, National Bureau of Economic Research, Inc.
    10. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
    11. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    12. Hong Lan & Alexander Meyer-Gohde, 2013. "Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations," SFB 649 Discussion Papers SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    13. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
    14. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Decomposing Risk in Dynamic Stochastic General Equilibrium," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100523, Verein für Socialpolitik / German Economic Association.
    15. Echevarría, Cruz A., 2012. "Income tax progressivity, physical capital, aggregate uncertainty and long-run growth in an OLG economy," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 955-974.

  27. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," FRB Atlanta Working Paper 2009-23, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    2. Kyriacos Lambrias, 2013. "News Shocks, Real Exchange Rates and International Co-Movements," BCL working papers 83, Central Bank of Luxembourg.
    3. Mandelman, Federico S., 2016. "Labor market polarization and international macroeconomic dynamics," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 1-16.
    4. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    5. Martinez-Garcia, Enrique & Søndergaard, Jens, 2008. "The real exchange rate in sticky price models: does investment matter?," Globalization and Monetary Policy Institute Working Paper 17, Federal Reserve Bank of Dallas.
    6. Kano, Takashi, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
    7. Pau Rabanal & Juan F. Rubio-Ramirez, 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Working Papers 1508, BBVA Bank, Economic Research Department.
    8. Sanglim Lee, 2012. "Expected Currency Excess Returns and International Business Cycles," Working papers 2012-16, University of Connecticut, Department of Economics.
    9. Lambrias, Kyriacos, 2011. "World Technology Shocks and the Real Euro-Dollar Exchange Rate," TSE Working Papers 11-261, Toulouse School of Economics (TSE).
    10. Henriksen, Espen & Kydland, Finn E. & Šustek, Roman, 2013. "Globally correlated nominal fluctuations," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 613-631.
    11. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers 129, Society for Economic Dynamics.
    12. Uluc Aysun, 2016. "Searching for the source of macroeconomic integration across advanced economies," Oxford Economic Papers, Oxford University Press, vol. 68(2), pages 316-339.
    13. Yamin Ahmad & Ming Chien Lo & Olena Mykhaylova, 2012. "Causes of Nonlinearities in low order models of the real exchange rate," Working Papers 12-01, UW-Whitewater, Department of Economics, revised Mar 2013.
    14. Grüning, Patrick, 2015. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    15. Luis-Gonzalo Llosa, 2014. "How Do Terms of Trade Affect Productivity? The Role of Monopolistic Output Markets," Working Papers 2014-7, Peruvian Economic Association.
    16. Miyamoto, Wataru & Nguyen, Thuy Lan, 2017. "Understanding the cross-country effects of U.S. technology shocks," Journal of International Economics, Elsevier, vol. 106(C), pages 143-164.
    17. Fatma Erdem & Erdal Özmen, 2015. "Exchange Rate Regimes and Business Cycles: An Empirical Investigation," Open Economies Review, Springer, vol. 26(5), pages 1041-1058, November.
    18. Martial Dupaigne & Patrick Fève, 2010. "Hours Worked and Permanent Technology Shocks in Open Economies," Open Economies Review, Springer, vol. 21(1), pages 69-86, February.
    19. Peter N. Ireland, 2013. "Stochastic Growth In The United States And Euro Area," Journal of the European Economic Association, European Economic Association, vol. 11(1), pages 1-24, 02.
    20. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, vol. 90(1), pages 33-49.
    21. Hüseyin Çağrı Akkoyun & Yavuz Arslan & Mustafa Kılınç, 2017. "Risk sharing and real exchange rates: the role of non-tradable sector and trend shocks," BIS Working Papers 613, Bank for International Settlements.
    22. Andrei Zlate & Federico Mandelman, 2013. "Offshoring, Low-skilled Immigration and Labor Market Polarization," 2013 Meeting Papers 1073, Society for Economic Dynamics.
    23. Naohisa Hirakata & Takushi Kurozumi, 2013. "The International Finance Multiplier in Business Cycle Fluctuations," IMES Discussion Paper Series 13-E-12, Institute for Monetary and Economic Studies, Bank of Japan.
    24. David Backus & Chase Coleman & Axelle Ferriere & Spencer Lyon, 2015. "Pareto Weights as Wedges in Two-Country Models," NBER Working Papers 21773, National Bureau of Economic Research, Inc.
    25. Scott Davis & Mario Crucini, 2013. "Distribution capital and the short- and long-run import demand elasticity," 2013 Meeting Papers 453, Society for Economic Dynamics.
    26. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    27. Mardi Dungey & Denise Osborn & Mala Raghavan, 2014. "International Transmissions to Australia: The Roles of the USA and Euro Area," The Economic Record, The Economic Society of Australia, vol. 90(291), pages 421-446, December.
    28. Kulish, Mariano & Rees, Daniel, 2011. "The yield curve in a small open economy," Journal of International Economics, Elsevier, vol. 85(2), pages 268-279.
    29. Grüning, Patrick, 2017. "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 118-148.
    30. 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.
    31. Wataru Miyamoto & Thuy Lan Nguyen, 2017. "Understanding the Cross-Country Effects of US Technology Shocks," Staff Working Papers 17-23, Bank of Canada.
    32. Jean-François Rouillard, 2015. "International Risk Sharing and Financial Shocks," Cahiers de recherche 15-13, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
    33. KANO, Takashi, 2016. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Discussion paper series HIAS-E-19, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    34. Dmitriev, Alexandre, 2017. "Composite habits and international transmission of business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 1-34.

  28. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," FRB Atlanta Working Paper 2008-18, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Raffaella Giacomini & Toru Kitagawa, 2014. "Inference about Non-Identi?ed SVARs," CeMMAP working papers CWP45/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Hippolyte D'Albis & Ekrame Boubtane & Dramane Coulibaly, 2016. "Immigration Policy and Macroeconomic Performance in France," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-01426477, HAL.
    3. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    4. Dees, Stéphane, 2016. "Credit, asset prices and business cycles at the global level," Economic Modelling, Elsevier, vol. 54(C), pages 139-152.
    5. Alessandro Gobbi & Tim Willems, 2011. "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers 11-145/2, Tinbergen Institute.
    6. A. Anzuini & M. J. Lombardi & P. Pagano, 2013. "The Impact of Monetary Policy Shocks on Commodity Prices," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 125-150, September.
    7. 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.
    8. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
    9. Bettendorf, Timo, 2013. "Feeding the Global VAR with theory: Is German wage moderation to blame for European imbalances?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79710, Verein für Socialpolitik / German Economic Association.
    10. Belongia, Michael T. & Ireland, Peter N., 2016. "The evolution of U.S. monetary policy: 2000–2007," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 78-93.
    11. Klaus Neusser, 2016. "A Topological View on the Identification of Structural Vector Autoregressions," Diskussionsschriften dp1604, Universitaet Bern, Departement Volkswirtschaft.
    12. Melolinna, Marko, 2012. "Macroeconomic shocks in an oil market var," Working Paper Series 1432, European Central Bank.
    13. Buch, Claudia M. & Eickmeier, Sandra & Prieto, Esteban, 2010. "Macroeconomic factors and micro-level bank risk," Discussion Paper Series 1: Economic Studies 2010,20, Deutsche Bundesbank, Research Centre.
    14. Stefan Bruder & Michael Wolf, 2017. "Balanced bootstrap joint confidence bands for structural impulse response functions," ECON - Working Papers 246, Department of Economics - University of Zurich.
    15. Gete, Pedro, 2015. "Housing demands, savings gluts and current account dynamics," Globalization and Monetary Policy Institute Working Paper 221, Federal Reserve Bank of Dallas, revised 01 Aug 2015.
    16. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    17. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
    18. Jean-Sébastien Pentecôte, 2010. "Long-run identifying restrictions on VARs within the AS-AD framework," Post-Print halshs-00554867, HAL.
    19. Drautzburg, Thorsten, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    20. Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
    21. Sa, Filipa & Towbin, Pascal & wieladek, tomasz, 2011. "Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation," Bank of England working papers 411, Bank of England.
    22. Nkwoma John Inekwe, 2016. "Financial uncertainty, risk aversion and monetary policy," Empirical Economics, Springer, vol. 51(3), pages 939-961, November.
    23. Chun Chang & Kaiji Chen & Daniel F. Waggoner & Tao Zha, 2015. "Trends and Cycles in China's Macroeconomy," NBER Working Papers 21244, National Bureau of Economic Research, Inc.
    24. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers 03/2013, Deutsche Bundesbank, Research Centre.
    25. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2011. "Minimal state variable solutions to Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2150-2166.
    26. Tatjana Dahlhaus & Garima Vasishtha, 2014. "The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies," Staff Working Papers 14-53, Bank of Canada.
    27. Firew B Woldeyes, 2013. "Long-run Effects of Resource Rents in Developing Countries: The role of public investment management," OxCarre Working Papers 105, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    28. Ekrame Boubtane & Dramane Coulibaly & Hippolyte D'Ablis, 2016. "Immigration Policy and Macroeconomic Performances in France," Post-Print hal-01385967, HAL.
    29. Tran Thanh Hoa, 2017. "Forecasting Inflation in Vietnam with Univariate and Vector Autoregressive Models," IHEID Working Papers 05-2017, Economics Section, The Graduate Institute of International Studies.
    30. Zeyyad Mandalinci, 2015. "Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach," Working Papers 758, Queen Mary University of London, School of Economics and Finance.
    31. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2011. "On Identification of Bayesian DSGE Models," CESifo Working Paper Series 3423, CESifo Group Munich.
    32. Hjortsoe, Ida & Weale, Martin & Wieladek, Tomasz, 2016. "Monetary policy and the current account; theory and evidence," Discussion Papers 45, Monetary Policy Committee Unit, Bank of England.
    33. Knut Are Aastveit & Gisle James Natvik & Sergio Sola, 2013. "Economic uncertainty and the effectiveness of monetary policy," Working Paper 2013/17, Norges Bank.
    34. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers 30, CEPREMAP.
    35. Fernando José Pérez Forero, 2015. "Comparing the Transmission of Monetary Policy Shocks in Latin America: A Hierachical Panel VAR," Premio de Banca Central Rodrigo Gómez / Central Banking Award "Rodrigo Gómez", Centro de Estudios Monetarios Latinoamericanos, CEMLA, number prg2015eng, December.
    36. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2011. "The world is not enough! Small open economies and regional dependence," Working Paper 2011/16, Norges Bank.
    37. Baumeister, Christiane & Benati, Luca, 2010. "Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound," Working Paper Series 1258, European Central Bank.
    38. Granziera, Eleonora & Lee, Mihye & Moon, Hyungsik Roger & Schorfheide, Frank, 2011. "Inference for VARs Identified with Sign Restrictions," CEPR Discussion Papers 8432, C.E.P.R. Discussion Papers.
    39. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
    40. De Santis, Roberto A. & Darracq Pariès, Matthieu, 2013. "A non-standard monetary policy shock: the ECB's 3-year LTROs and the shift in credit supply," Working Paper Series 1508, European Central Bank.
    41. Mariarosaria Comunale & Davor Kunovac, 2017. "Exchange Rate Pass-Through in the Euro Area," Bank of Lithuania Working Paper Series 38, Bank of Lithuania.
    42. Dmitry Kulikov & Aleksei Netšunajev, 2013. "Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2013-9, Bank of Estonia, revised 09 Dec 2013.
    43. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
    44. Hilberg, Björn & Grill, Michael & Metiu, Norbert, 2016. "Credit constraints and the international propagation of US financial shocks," Working Paper Series 1954, European Central Bank.
    45. Roseline Nyakerario Misati & Esman Morekwa Nyamongo & Isaac Mwangi, 2013. "Commodity price shocks and inflation in a net oil-importing economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(2), pages 125-148, 06.
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  29. Ralph S.J. Koijen & Jules H. van Binsbergen & Juan F. Rubio-Ramírez & Jesus Fernandez-Villaverde, 2008. "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences," 2008 Meeting Papers 1099, Society for Economic Dynamics.

    Cited by:

    1. Oreste Tristani & Gianni Amisano, 2010. "A nonlinear DSGE model of the term structure with regime shifts," 2010 Meeting Papers 234, Society for Economic Dynamics.
    2. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    3. Harald Uhlig, 2010. "Easy EZ in DSGE," 2010 Meeting Papers 111, Society for Economic Dynamics.

  30. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the Recent Monetary History of the U.S., 1959-2007," PIER Working Paper Archive 10-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    5. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    6. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    7. Matus Senaj & Milan Vyskrabka & Juraj Zeman, 2010. "MUSE: Monetary Union and Slovak Economy model," Working and Discussion Papers WP 1/2010, Research Department, National Bank of Slovakia.
    8. Giovanni Di Bartolomeo & Patrizio Tirelli & Nicola Acocella, 2011. "The optimal inflation rate revisited," Working Papers 208, University of Milano-Bicocca, Department of Economics, revised Mar 2011.
    9. Barrios Cobos, Salvador & Dolls, Mathias & Maftei, Anamaria & Peichl, Andreas & Riscado, Sara & Varga, Janos & Wittneben, Christian, 2017. "Dynamic scoring of tax reforms in the European Union," ZEW Discussion Papers 17-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    10. Alessandro Flamini & Costas Milas, 2010. "Real-time Optimal Monetary Policy with Undistinguishable Model Parameters and Shock Processes Uncertainty," Working Papers 2010015, The University of Sheffield, Department of Economics, revised Jun 2010.
    11. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, Elsevier.
    12. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    13. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín, 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
    14. Baxa, Jaromír & Plašil, Miroslav & Vašíček, Bořek, 2015. "Changes in inflation dynamics under inflation targeting? Evidence from Central European countries," Economic Modelling, Elsevier, vol. 44(C), pages 116-130.
    15. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2011. "Minimal state variable solutions to Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2150-2166.
    16. Vasco Cúrdia & Daria Finocchiaro, 2013. "Monetary regime change and business cycles," Working Paper Series 2013-02, Federal Reserve Bank of San Francisco.
    17. Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016. "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, vol. 59(C), pages 546-569.
    18. Rodrigo Caputo & Gustavo Leyva & Michael Pedersen, 2014. "The Changing Nature of Real Exchange Rate Fluctuations. New Evidence for Inflation-Targeting Countries," Working Papers Central Bank of Chile 730, Central Bank of Chile.
    19. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
    20. Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Andrew T. Levin & J. David López-Salido & Edward Nelson & Tack Yun, 2008. "Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy," Working Papers 2008-035, Federal Reserve Bank of St. Louis.
    22. Richard Harrison & George Kapetanios & Alasdair Scott & Jana Eklund, 2008. "Breaks in DSGE models," 2008 Meeting Papers 657, Society for Economic Dynamics.
    23. Bussière, Matthieu & Stracca, Livio, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
    24. Fabio Canova & Filippo Ferroni, 2011. "Multiple filtering devices for the estimation of cyclical DSGE models," Quantitative Economics, Econometric Society, vol. 2(1), pages 73-98, 03.
    25. Seoane, Hernán D., 2016. "Parameter drifts, misspecification and the real exchange rate in emerging countries," Journal of International Economics, Elsevier, vol. 98(C), pages 204-215.
    26. Flamini, Alessandro & Milas, Costas, 2015. "Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications," Journal of Financial Stability, Elsevier, vol. 16(C), pages 89-105.
    27. Lhuissier, Stéphane & Zabelina, Margarita, 2015. "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 77-95.
    28. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 397-433.
    29. Fabio Canova, 2007. "How much structure in empirical models?," Economics Working Papers 1054, Department of Economics and Business, Universitat Pompeu Fabra.
    30. Ralph S.J. Koijen & Jules H. van Binsbergen & Juan F. Rubio-Ramírez & Jesus Fernandez-Villaverde, 2008. "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences," 2008 Meeting Papers 1099, Society for Economic Dynamics.
    31. Takeshi Kimura & Takushi Kurozumi & Naoko Hara, 2008. "Endogenous Nominal Rigidities and Monetary Policy," Bank of Japan Working Paper Series 08-E-4, Bank of Japan.
    32. Giorgio Motta & Patrizio Tirelli, 2012. "Optimal Simple Monetary and Fiscal Rules under Limited Asset Market Participation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1351-1374, October.
    33. Pablo A. Guerron, 2007. "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series 012, North Carolina State University, Department of Economics.
    34. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
    35. Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, 04.
    36. Flamini Alessandro, 2012. "Economic Stability and the Choice of the Target Inflation Index," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(2), pages 1-37, April.
    37. Canova, Fabio & Ferroni, Filippo, 2012. "The dynamics of US inflation: Can monetary policy explain the changes?," Journal of Econometrics, Elsevier, vol. 167(1), pages 47-60.
    38. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
    39. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    40. Lavan Mahadeva & Juan Carlos Parra Alvarez, 2008. "Testing a DSGE model and its partner database," Borradores de Economia 479, Banco de la Republica de Colombia.
    41. Tristani, Oreste & Amisano, Gianni, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Paper Series 754, European Central Bank.
    42. Robert B. Barsky & Eric R. Sims, 2009. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," NBER Working Papers 15049, National Bureau of Economic Research, Inc.
    43. Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.
    44. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series 3447, CESifo Group Munich.
    45. Ronny Mazzocchi, 2013. "Scope and Flaws of the New Neoclassical Synthesis," DEM Discussion Papers 2013/13, Department of Economics and Management.
    46. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
    47. Troy A. Davig, 2007. "Phillips curve instability and optimal monetary policy," Research Working Paper RWP 07-04, Federal Reserve Bank of Kansas City.
    48. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-33, November.
    49. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
    50. Cogley Timothy & Yagihashi Takeshi, 2010. "Are DSGE Approximating Models Invariant to Shifts in Policy?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-33, October.
    51. Gbaguidi S. DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(2), pages 141-182, December.
    52. George Kapetanios & Tony Yates, 2014. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
    53. Inoue, Atsushi & Rossi, Barbara, 2008. "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers 08-02, Duke University, Department of Economics.
    54. Liu, Philip & Mumtaz, Haroon, 2010. "Evolving macroeconomic dynamics in a small open economy: an estimated Markov-switching DSGE model for the United Kingdom," Bank of England working papers 397, Bank of England.
    55. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    56. Filippo Ferroni & Stefano Grassi & Miguel A. Leon-Ledesma, 2015. "Fundamental shock selection in DSGE models," Studies in Economics 1508, School of Economics, University of Kent.
    57. Saijo, Hikaru, 2013. "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, vol. 173(1), pages 22-35.
    58. Mumtaz, Haroon & Sunder-Plassmann, Laura, 2010. "Time-varying dynamics of the real exchange rate. A structural VAR analysis," Bank of England working papers 382, Bank of England.
    59. 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.
    60. Alessandro Flamini & Costas Milas, 2014. "Open-economy Distribution Forecast Targeting, Macroeconomic Volatility and Financial Implication," DEM Working Papers Series 080, University of Pavia, Department of Economics and Management.
    61. Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2010. "Labor-Market Heterogeneity, Aggregation, and the Lucas Critique," NBER Working Papers 16401, National Bureau of Economic Research, Inc.
    62. Jaromir Tonner & Jiri Polansky & Osvald Vašíèek, 2011. "Parameter Drifting in a DSGE Model Estimated on Czech Data," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 510-524, November.
    63. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    64. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    65. Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Economics Letters, Elsevier, vol. 136(C), pages 237-242.
    66. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
    67. Philip Liu & Haroon Mumtaz, 2011. "Evolving Macroeconomic Dynamics in a Small Open Economy: An Estimated Markov Switching DSGE Model for the UK," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(7), pages 1443-1474, October.
    68. Kapetanios, George & Yates, Tony, 2011. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Bank of England working papers 434, Bank of England.
    69. Di Bartolomeo Giovanni & Tirelli Patrizio, 2016. "Public finance and the optimal inflation rate," wp.comunite 00128, Department of Communication, University of Teramo.

  31. Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006. "Markov-Switching Structural Vector Autoregressions: Theory and Application," Computing in Economics and Finance 2006 69, Society for Computational Economics.

    Cited by:

    1. Volha Audzei & Frantisek Brazdik, 2015. "Exchange Rate Dynamics and its Effect on Macroeconomic Volatility in Selected CEE Countries," Working Papers 2015/07, Czech National Bank, Research Department.
    2. Francesco Lippi & Andrea Nobili, 2012. "Oil And The Macroeconomy: A Quantitative Structural Analysis," Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1059-1083, October.
    3. Shigeru Fujita, 2011. "Dynamics of worker flows and vacancies: evidence from the sign restriction approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 89-121, January/F.
    4. Jan Čapek, 2016. "Structural Changes in the Czech Economy: A DSGE Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2016(1), pages 37-52.
    5. Lutz Kilian & Daniel P. Murphy, 2014. "The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, 04.
    6. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," FRB Atlanta Working Paper 2008-18, Federal Reserve Bank of Atlanta.
    7. Busch, Ulrike & Scharnagl, Michael & Scheithauer, Jan, 2010. "Loan supply in Germany during the financial crisis," Discussion Paper Series 1: Economic Studies 2010,05, Deutsche Bundesbank, Research Centre.
    8. De Graeve, Ferre & Karas, Alexei, 2010. "Identifying VARs through Heterogeneity: An Application to Bank Runs," Working Paper Series 244, Sveriges Riksbank (Central Bank of Sweden).
    9. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
    10. Dmitry Kulikov & Aleksei Netšunajev, 2013. "Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2013-9, Bank of Estonia, revised 09 Dec 2013.
    11. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Stirling Economics Discussion Papers 2014-11, University of Stirling, Division of Economics.
    12. Volha Audzei & Frantisek Brazdik, 2015. "Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(5), pages 391-410, October.
    13. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
    14. Berg, Tim Oliver, 2010. "Exploring the international transmission of U.S. stock price movements," MPRA Paper 23977, University Library of Munich, Germany.
    15. Kilian, Lutz & Murphy, Daniel P, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
    16. Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Carolina Osorio Buitron & Esteban Vesperoni, 2015. "Big Players Out of Synch; Spillovers Implications of US and Euro Area Shocks," IMF Working Papers 15/215, International Monetary Fund.
    18. Njindan Iyke, Bernard, 2016. "Are Monetary Policy Disturbances Important in Ghana? Some Evidence from Agnostic Identification," MPRA Paper 70205, University Library of Munich, Germany.
    19. Lippi, Francesco & Nobili, Andrea, 2008. "Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions," CEPR Discussion Papers 6830, C.E.P.R. Discussion Papers.
    20. Nikolaychuk Sergiy & Shapovalenko Nadiia, 2013. "The identification of the sources of current account fluctuations in Ukraine," EERC Working Paper Series 13/12e, EERC Research Network, Russia and CIS.
    21. Enders, Zeno & Müller, Gernot & Scholl, Almuth, 2010. "How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States," CEPR Discussion Papers 7732, C.E.P.R. Discussion Papers.
    22. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, 04.
    23. Gete, Pedro, 2009. "Housing Markets and Current Account Dynamics," MPRA Paper 20957, University Library of Munich, Germany, revised 24 Feb 2010.
    24. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
    25. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
    26. Matheson, Troy & Stavrev, Emil, 2014. "News and monetary shocks at a high frequency: A simple approach," Economics Letters, Elsevier, vol. 125(2), pages 282-286.
    27. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
    28. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
    29. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
    30. Deryugina, Elena B. & Ponomarenko, Alexey A., 2011. "Identifying structural shocks behind loan supply fluctuations in Russia," BOFIT Discussion Papers 20/2011, Bank of Finland, Institute for Economies in Transition.
    31. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
    32. Elena Deryugina & Olga Kovalenko & Irina Pantina & Alexey Ponomarenko, 2015. "Disentangling loan demand and supply shocks in Russia," Bank of Russia Working Paper Series wps3, Bank of Russia.
    33. Barnett, Alina & Thomas, Ryland, 2013. "Has weak lending and activity in the United Kingdom been driven by credit supply shocks?," Bank of England working papers 482, Bank of England.
    34. Massimiliano Serati, 2008. "Trade and quality: theoretical and empirical evidence for the euro zone," LIUC Papers in Economics 206, Cattaneo University (LIUC).
    35. Helmut Lütkepohl & Anton Velinov, 2016. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, 04.
    36. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
    37. Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute.
    38. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
    39. Alfred Duncan & Charles Nolan, 2014. "Disputes, Debt and Equity," Working Papers 2014_20, Business School - Economics, University of Glasgow.
    40. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.
    41. Bian, Timothy Yang & Gete, Pedro, 2015. "What drives housing dynamics in China? A sign restrictions VAR approach," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 96-112.
    42. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
    43. Dmitry Kulikov & Aleksei Netšunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
    44. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2011. "International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy," Bank of England working papers 425, Bank of England.
    45. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
    46. Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
    47. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.

  32. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," Levine's Bibliography 122247000000000849, UCLA Department of Economics.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
    3. Florian Heiss, 2008. "Sequential numerical integration in nonlinear state space models for microeconometric panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(3), pages 373-389.
    4. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    5. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    7. George W. Evans & William A. Branch, 2005. "Model Uncertainty and Endogenous Volatility," Computing in Economics and Finance 2005 33, Society for Computational Economics.
    8. Cosmin Ilut & Martin Schneider, 2012. "Ambiguous Business Cycles," NBER Working Papers 17900, National Bureau of Economic Research, Inc.
    9. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    10. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    11. Francisco J. Ruge-Murcia, 2004. "Methods to Estimate Dynamic Stochastic General Equilibrium Models," 2004 Meeting Papers 83, Society for Economic Dynamics.
    12. Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
    13. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
    14. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.
    15. Francisco J. Ruge-Murcia, 2011. "Estimating Nonlinear DSGE Models by the Simulated Method of Moments," 2011 Meeting Papers 237, Society for Economic Dynamics.
    16. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
    17. Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010. "Productivity, Energy Prices and the Great Moderation: A New Link," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
    18. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín, 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
    19. Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers 03/12, School of Economics and Business Administration, University of Navarra.
    20. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    21. Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006. "Markov-Switching Structural Vector Autoregressions: Theory and Application," Computing in Economics and Finance 2006 69, Society for Computational Economics.
    22. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
    23. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," FRB Atlanta Working Paper 2009-23, Federal Reserve Bank of Atlanta.
    24. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, 07.
    25. Gerald A. Carlino & Robert H. DeFina & Keith Sill, 2011. "The long and large decline in state employment growth volatility," Working Papers 11-16, Federal Reserve Bank of Philadelphia.
    26. Yingyao Hu & Matthew Shum, 2008. "Nonparametric Identification of Dynamic Models with Unobserved State Variables," Economics Working Paper Archive 543, The Johns Hopkins University,Department of Economics.
    27. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers 129, Society for Economic Dynamics.
    28. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017. "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, vol. 107(7), pages 1971-2006, July.
    29. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
    30. Michael Funke & Yu-Fu Chen & Aaron Mehrota, 2011. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21105, Hamburg University, Department of Economics.
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    34. Anna Almosova, 2016. "Labor Market Frictions and Monetary Policy Design," SFB 649 Discussion Papers SFB649DP2016-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    35. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
    36. Martin Andreasen, 2010. "How to Maximize the Likelihood Function for a DSGE Model," Computational Economics, Springer;Society for Computational Economics, vol. 35(2), pages 127-154, February.
    37. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
    38. Cheremukhin, Anton A. & Restrepo-Echavarria, Paulina, 2010. "The labor wedge as a matching friction," Working Papers 1004, Federal Reserve Bank of Dallas.
    39. Francesco Zanetti, 2015. "Financial Shocks and Labor Market Fluctuations," Economics Series Working Papers Number 746, University of Oxford, Department of Economics.
    40. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    41. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    42. Lee E. Ohanian & Paulina Restrepo-Echavarria & Mark L. J. Wright, 2015. "Bad Investments and Missed Opportunities? Postwar Capital Flows to Asia and Latin America," NBER Working Papers 21744, National Bureau of Economic Research, Inc.
    43. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
    44. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2010. "Sources of Macroeconomic Fluctuations: A Regime-switching DSGE Approach," Emory Economics 1002, Department of Economics, Emory University (Atlanta).
    45. Bullard, James B. & Singh, Aarti, 2009. "Learning and the Great Moderation," CEPR Discussion Papers 7401, C.E.P.R. Discussion Papers.
    46. Edda Zoli & Silvia Sgherri, 2009. "Euro Area Sovereign Risk During the Crisis," IMF Working Papers 09/222, International Monetary Fund.
    47. Mohamed, Issam A.W., 2011. "Introduction to the Macroeconomic Structure of Yemen," MPRA Paper 31782, University Library of Munich, Germany.
    48. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
    49. Pablo A. Guerron, 2007. "What You Match Does Matter: The Effects of Data on DSGE Estimation," Working Paper Series 012, North Carolina State University, Department of Economics.
    50. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.
    51. Nicolas Petrosky-Nadeau & Lu Zhang, 2013. "Solving the DMP Model Accurately," NBER Working Papers 19208, National Bureau of Economic Research, Inc.
    52. Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
    53. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    54. Restrepo-Echavarria, Paulina, 2013. "Endogenous Borrowing Constraints and Stagnation in Latin America," Working Papers 2014-37, Federal Reserve Bank of St. Louis.
    55. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
    56. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers 0702, University of Vienna, Department of Economics.
    57. Jonathan A. Parker, 2011. "On Measuring the Effects of Fiscal Policy in Recessions," Journal of Economic Literature, American Economic Association, vol. 49(3), pages 703-718, September.
    58. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
    59. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    60. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    61. Tristani, Oreste & Amisano, Gianni, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Paper Series 754, European Central Bank.
    62. Taeyoung Doh, 2013. "Long‐Run Risks In The Term Structure Of Interest Rates: Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 478-497, 04.
    63. Mohamed, Issam A.W., 2011. "Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen," MPRA Paper 31692, University Library of Munich, Germany.
    64. Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 400-408.
    65. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    66. Renzo Orsi & Davide Raggi & Francesco Turino, 2014. "Size, Trend, and Policy Implications of the Underground Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 417-436, July.
    67. Ahrens, Steffen & Hartmann, Matthias, 2014. "State-dependence vs. timedependence: An empirical multi-country investigation of price sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy (IfW).
    68. Olaf Posch, 2009. "Explaining Output Volatility: The Case of Taxation," CESifo Working Paper Series 2751, CESifo Group Munich.
    69. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
    70. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," SSE/EFI Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.
    71. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
    72. Bruce Preston & Mauro Roca, 2007. "Incomplete Markets, Heterogeneity and Macroeconomic Dynamics," NBER Working Papers 13260, National Bureau of Economic Research, Inc.
    73. Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
    74. Giovanni Di Bartolomeo & Lorenza Rossi & Massimiliano Tancioni, 2009. "Monetary Policy, Rule-of-Thumb Consumers and External Habits: A G7 Comparison," Quaderni di Dipartimento 101, University of Pavia, Department of Economics and Quantitative Methods.
    75. Stefan Avdjiev, 2011. "News driven business cycles and data on asset prices in estimated DSGE models," BIS Working Papers 358, Bank for International Settlements.
    76. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    77. Leonardo Melosi, 2009. "A Likelihood Analysis of Models with Information Frictions," PIER Working Paper Archive 09-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    78. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    79. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, Department of Economics and Business Economics, Aarhus University.
    80. Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2814-2835, November.
    81. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    82. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    83. Amisano, Gianni & Tristani, Oreste, 2011. "Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2167-2185.
    84. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    85. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    86. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
    87. Gust, Christopher & López-Salido, J David & Smith, Matthew E, 2012. "The Empirical Implications of the Interest-Rate Lower Bound," CEPR Discussion Papers 9214, C.E.P.R. Discussion Papers.
    88. Guerron-Quintana, Pablo A., 2009. "Money demand heterogeneity and the great moderation," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 255-266, March.
    89. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
    90. Milani, Fabio, 2014. "Learning and time-varying macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 94-114.
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    92. Gorodnichenko, Yuriy & Ng, Serena, 2010. "Estimation of DSGE models when the data are persistent," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 325-340, April.
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    94. Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.
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  33. Jesús Fernández-Villaverde & Juan F. Rubio-Ramíre & Thomas J. Sargent, 2006. "Economic and VAR Shocks: What Can Go Wrong?," Levine's Bibliography 122247000000000990, UCLA Department of Economics.

    Cited by:

    1. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
    2. Linnemann, Ludger, 2009. "Macroeconomic effects of shocks to public employment," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 252-267, June.

  34. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 172782000000000096, UCLA Department of Economics.

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona Graduate School of Economics.
    2. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    3. Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng, 2017. "Comparing different data descriptors in Indirect Inference tests on DSGE models," CEPR Discussion Papers 11816, C.E.P.R. Discussion Papers.
    4. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2006. "Economic and VAR Shocks: What Can Go Wrong?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 466-474, 04-05.
    5. Paolo Guarda & Philippe Jeanfils, 2012. "Macro-financial linkages: Evidence from country-specific VARs," BCL working papers 71, Central Bank of Luxembourg.
    6. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
    7. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
    8. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    9. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
    10. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España;Working Papers Homepage.
    11. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    12. Siklos, Pierre L., 2008. "The Fed's reaction to the stock market during the great depression: Fact or artefact?," Explorations in Economic History, Elsevier, vol. 45(2), pages 164-184, April.
    13. Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
    14. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account For The Influence Of Foreign Disturbances?," CAMA Working Papers 2006-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
    16. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    17. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
    18. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
    19. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    20. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
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    23. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    24. Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2010. "Quantitative Effects of Fiscal Foresight," NBER Working Papers 16363, National Bureau of Economic Research, Inc.
    25. Marc Giannoni & Jean Boivin, 2008. "Global Forces and Monetary Policy Effectiveness," 2008 Meeting Papers 1067, Society for Economic Dynamics.
    26. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Staff Working Papers 09-7, Bank of Canada.
    27. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    28. Hess Chung & Eric Leeper, 2007. "What Has Financed Government Debt?," Caepr Working Papers 2007-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
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    30. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2009. "Fiscal Foresight and Information Flows," NBER Working Papers 14630, National Bureau of Economic Research, Inc.
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    32. Uhlig, Harald, 2007. "Monetary policy in Europe vs the US: what explains the difference?," MPRA Paper 14119, University Library of Munich, Germany.
    33. Alexei Onatski & Francisco Ruge‐Murcia, 2013. "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(6), pages 903-928, 09.
    34. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
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    36. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    37. Born, Benjamin & Peter, Alexandra & Pfeifer, Johannes, 2013. "Fiscal news and macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2582-2601.
    38. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    39. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    40. Glogowsky, Ulrich & Cagala, Tobias & Rincke, Johannes & Grimm, Veronika, 2014. "Cooperation and Trustworthiness in Repeated Interaction," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100437, Verein für Socialpolitik / German Economic Association.
    41. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
    42. Pablo A. Acosta & Emmanuel K. K. Lartey & Federico S. Mandelman, 2007. "Remittances and the Dutch disease," FRB Atlanta Working Paper 2007-08, Federal Reserve Bank of Atlanta.
    43. Joshua C.C. Chan & Eric Eisenstat, 2015. "Efficient estimation of Bayesian VARMAs with time-varying coefficients," CAMA Working Papers 2015-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    44. Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," CAMA Working Papers 2013-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    45. Morrisy, Stephen D., 2017. "Efficient estimation of macroeconomic equations with unobservable states," Economic Modelling, Elsevier, vol. 60(C), pages 408-423.
    46. De Graeve, Ferre & Karas, Alexei, 2010. "Identifying VARs through Heterogeneity: An Application to Bank Runs," Working Paper Series 244, Sveriges Riksbank (Central Bank of Sweden).
    47. Oscar Jorda & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Working Papers 78, University of California, Davis, Department of Economics.
    48. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers 9380, C.E.P.R. Discussion Papers.
    49. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    50. Agostino Consolo & Carlo A. Favero & Alessia Paccagnini, 2007. "On the Statistical Identification of DSGE Models," Working Papers 324, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    51. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    52. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
    53. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    54. Todd B. Walker & Shu-Chun Susan Yang & Eric M. Leeper, 2008. "Fiscal Foresight: Analytical Issues," 2008 Meeting Papers 786, Society for Economic Dynamics.
    55. Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang, 2014. "CES Technology and Business Cycle Fluctuations," School of Economics Discussion Papers 0414, School of Economics, University of Surrey.
    56. Luiz de Mello & Diego Moccero, 2007. "Monetary Policy and Macroeconomic Stability in Latin America: The Cases of Brazil, Chile, Colombia and Mexico," OECD Economics Department Working Papers 545, OECD Publishing.
    57. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    58. Bussière, Matthieu & Stracca, Livio, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
    59. Daniel G. Swaine, 2008. "Estimating the Speed of Convergence in the Neoclassical Growth Model: An MLE Estimation of Structural Parameters Using the Stochastic Neoclassical Growth Model, Time-Series Data, and the Kalman Filter," Working Papers 0810, College of the Holy Cross, Department of Economics.
    60. Richard Harrison, 2014. "Estimating the effects of forward guidance in rational expectations models," Discussion Papers 1429, Centre for Macroeconomics (CFM).
    61. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
    62. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas J. Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper 2005-09, Federal Reserve Bank of Atlanta.
    63. Rokon Bhuiyan, 2012. "Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 1037-1061, August.
    64. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    65. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
    66. Binet, Marie-Estelle & Pentecôte, Jean-Sébastien, 2015. "Macroeconomic idiosyncrasies and European monetary unification: A sceptical long run view," Economic Modelling, Elsevier, vol. 51(C), pages 412-423.
    67. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," Center for Economic Research (RECent) 049, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    68. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015. "Testing for Fundamental Vector Moving Average Representations," Caepr Working Papers 2015-022 Classification-C, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    69. James Morley & Irina B Panovska, 2016. "Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?," Discussion Papers 2016-12, School of Economics, The University of New South Wales.
    70. Alex Haberis & Andrej Sokol, 2014. "A procedure for combining zero and sign restrictions in aVAR-identification scheme," LSE Research Online Documents on Economics 58077, London School of Economics and Political Science, LSE Library.
    71. Filippo Ferroni & Benjamin Klaus, 2015. "Euro Area business cycles in turbulent times: convergence or decoupling?," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3791-3815, July.
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    73. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
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    80. Troy Matheson, 2006. "Assessing the fit of small open economy DSGEs," Reserve Bank of New Zealand Discussion Paper Series DP2006/11, Reserve Bank of New Zealand.
    81. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," CDMA Working Paper Series 201002, Centre for Dynamic Macroeconomic Analysis.
    82. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun Vahey, 2008. "RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence," Working Paper 2008/17, Norges Bank.
    83. Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    84. Giorgio Fagiolo & Andrea Roventini, 2008. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," LEM Papers Series 2008/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    85. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
    86. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
    87. Robert B. Barsky & Susanto Basu & Keyoung Lee, 2015. "Whither News Shocks?," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 225-264.
    88. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
    89. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2007. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Staff Report 364, Federal Reserve Bank of Minneapolis.
    90. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters,in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
    91. Born, Benjamin & Juessen, Falko & Müller, Gernot J., 2013. "Exchange rate regimes and fiscal multipliers," Journal of Economic Dynamics and Control, Elsevier, vol. 37(2), pages 446-465.
    92. Stefano Soccorsi, 2016. "Measuring Nonfundamentalness for Structural VARs," Working Papers ECARES ECARES 2016-01, ULB -- Universite Libre de Bruxelles.
    93. Pang, Iris Ai Jao, 2010. "Were Fed’s active monetary policy actions necessary?," MPRA Paper 32496, University Library of Munich, Germany.
    94. Castelnuovo, Efrem, 2016. "Modest macroeconomic effects of monetary policy shocks during the great moderation: An alternative interpretation," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 300-314.
    95. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    96. Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, EconWPA.
    97. Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
    98. Kliem, Martin & Kriwoluzky, Alexander, 2013. "Reconciling narrative monetary policy disturbances with structural VAR model shocks?," Discussion Papers 23/2013, Deutsche Bundesbank, Research Centre.
    99. Keating, John W., 2013. "What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 203-217.
    100. Canova, Fabio & López-Salido, J David & Michelacci, Claudio, 2008. "The Effects of Technology Shocks on Hours and Output: A Robustness Analysis," CEPR Discussion Papers 6720, C.E.P.R. Discussion Papers.
    101. Patricio Jaramillo, 2009. "Estimación de Var Bayesianos para la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 24(1), pages 101-126, Junio.
    102. Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester.
    103. Gumbau-Brisa, Fabià & Lie, Denny & Olivei, Giovanni P., 2011. "A Response to Cogley and Sbordone's Comment on "Closed-Form Estimates of the New Keynesian Phillips Curve with Time-Varying Trend Inflation"," Working Papers 2011-06, University of Sydney, School of Economics.
    104. Lees, Kirdan & Matheson, Troy, 2007. "Mind your ps and qs! Improving ARMA forecasts with RBC priors," Economics Letters, Elsevier, vol. 96(2), pages 275-281, August.
    105. Gunes Kamber & Konstantinos Theodoridis & Christoph Thoenissen, 2014. "News-driven business cycles in small open economies," CAMA Working Papers 2014-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    106. Gunnar BÃ¥rdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    107. Meenagh, David & Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng, 2015. "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," CEPR Discussion Papers 10765, C.E.P.R. Discussion Papers.
    108. Thomai Filippeli & Konstantinos Theodoridis, 2014. "DSGE Priors for BVAR Models," Working Papers 713, Queen Mary University of London, School of Economics and Finance.
    109. Adrian Pagan & Tim Robinson, 2016. "Investigating the Relationship Between DSGE and SVAR Models," NCER Working Paper Series 112, National Centre for Econometric Research.
    110. Pang, Iris Ai Jao, 2010. "Forecasting Hong Kong economy using factor augmented vector autoregression," MPRA Paper 32495, University Library of Munich, Germany.
    111. Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng, 2017. "Testing part of a DSGE model by Indirect Inference," CEPR Discussion Papers 11819, C.E.P.R. Discussion Papers.
    112. Shen, Wenyi, 2015. "News, disaster risk, and time-varying uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 459-479.
    113. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
    114. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    115. Barnes, Michelle L. & Gumbau-Brisa, Fabià & Lie, Denny & Olivei, Giovanni P., 2011. "Estimation of Forward-Looking Relationships in Closed Form: An Application to the New Keynesian Phillips Curve," Working Papers 2011-05, University of Sydney, School of Economics.
    116. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R., 2015. "Small sample performance of indirect inference on DSGE models," CEPR Discussion Papers 10382, C.E.P.R. Discussion Papers.
    117. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
    118. Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
    119. Martinez-Garcia, Enrique, 2016. "System reduction and finite-order VAR solution methods for linear rational expectations models," Globalization and Monetary Policy Institute Working Paper 285, Federal Reserve Bank of Dallas.
    120. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    121. Jeong-Joon Lee, 2006. "The Adjusted Solow Residual and Asset Returns," CIRJE F-Series CIRJE-F-396, CIRJE, Faculty of Economics, University of Tokyo.
    122. Tim Robinson, 2013. "Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies," RBA Research Discussion Papers rdp2013-06, Reserve Bank of Australia.
    123. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    124. Matteo Barigozzi & Marco Capasso, 2008. "Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked," LEM Papers Series 2008/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    125. Morris, Stephen D., 2017. "DSGE pileups," Journal of Economic Dynamics and Control, Elsevier, vol. 74(C), pages 56-86.
    126. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
    127. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael R. & Xu, Yongdeng, 2015. "Testing macro models by indirect inference: a survey for users," CEPR Discussion Papers 10766, C.E.P.R. Discussion Papers.
    128. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    129. Atanas Christev & Yue Kang, 2015. "Money and Inflation: Is Monetary Policy Useful?," Manchester School, University of Manchester, vol. 83, pages 30-50, 09.
    130. Per Krusell & Alisdair McKay, 2010. "News shocks and business cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 373-397.
    131. Morris, Stephen D., 2016. "VARMA representation of DSGE models," Economics Letters, Elsevier, vol. 138(C), pages 30-33.
    132. Mitchell, James & Robertson, Donald & Wright, Stephen, 2016. "What univariate models tell us about multivariate macroeconomic models," EMF Research Papers 08, Economic Modelling and Forecasting Group.
    133. Kyle Jurado & Ryan Chahrour, 2017. "News or Noise? The Missing Link," 2017 Meeting Papers 320, Society for Economic Dynamics.
    134. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
    135. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    136. Jörn Tenhofen & Guntram B. Wolff, 2010. "Does anticipation of government spending matter? The role of (non-)defense spending," Bonn Econ Discussion Papers bgse12_2010, University of Bonn, Germany.
    137. Paul Levine & Joseph Pearlman & Bo Yang, 2012. "Imperfect Information, Optimal Monetary Policy and Informational Consistency," School of Economics Discussion Papers 1012, School of Economics, University of Surrey.
    138. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
    139. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    140. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo Group Munich.
    141. Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009. "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series 1110, European Central Bank.
    142. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    143. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    144. 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, vol. 8(1), November.
    145. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    146. Poskitt, D.S., 2016. "Vector autoregressive moving average identification for macroeconomic modeling: A new methodology," Journal of Econometrics, Elsevier, vol. 192(2), pages 468-484.
    147. Fabio Canova, 2016. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness," Working Papers No 2/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    148. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    149. Bårdsen, Gunnar & den Reijer, Ard & Jonasson, Patrik & Nymoen, Ragnar, 2012. "MOSES: Model for studying the economy of Sweden," Economic Modelling, Elsevier, vol. 29(6), pages 2566-2582.
    150. NUTAHARA Kengo & INABA Masaru, 2008. "On Equivalence Results in Business Cycle Accounting," Discussion papers 08015, Research Institute of Economy, Trade and Industry (RIETI).
    151. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
    152. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 586, European Central Bank.
    153. Angela Birk, 2006. "Method to Find the VARs Easily," Departmental Working Papers 2006-11, Department of Economics, Louisiana State University.
    154. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
    155. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
    156. Nyholm, Juho, 2017. "Residual-based diagnostic tests for noninvertible ARMA models," MPRA Paper 81033, University Library of Munich, Germany.
    157. Alexander Meyer-Gohde & Daniel Neuhoff, 2015. "Generalized Exogenous Processes in DSGE: A Bayesian Approach," SFB 649 Discussion Papers SFB649DP2015-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    158. Carmignani, Fabrizio, 2015. "Can public expenditure stabilize output? Multipliers and policy interdependence in Queensland and Australia," Economic Analysis and Policy, Elsevier, vol. 47(C), pages 69-81.

  35. Arantza Gorostiaga & Juan Francisco Rubio-Ramírez, 2005. "Fiscal policy and minimum wage for redistribution: an equivalence result," FRB Atlanta Working Paper 2005-08, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Larrain, Mauricio & Poblete, Joaquin, 2007. "Age-differentiated minimum wages in developing countries," Journal of Development Economics, Elsevier, vol. 84(2), pages 777-797, November.

  36. Arantza Gorostiaga & Juan F Rubio-Ramirez, 2004. "Optimal Minimum Wage," 2004 Meeting Papers 302, Society for Economic Dynamics.

    Cited by:

    1. Arantza Gorostiaga & Juan Francisco Rubio-Ramírez, 2005. "Fiscal policy and minimum wage for redistribution: an equivalence result," FRB Atlanta Working Paper 2005-08, Federal Reserve Bank of Atlanta.

  37. Arantza Gorostiaga & Juan Francisco Rubio-Ramírez, 2004. "Optimal minimum wage in a competitive economy," FRB Atlanta Working Paper 2004-30, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Arantza Gorostiaga & Juan Francisco Rubio-Ramírez, 2005. "Fiscal policy and minimum wage for redistribution: an equivalence result," FRB Atlanta Working Paper 2005-08, Federal Reserve Bank of Atlanta.
    2. Larrain, Mauricio & Poblete, Joaquin, 2007. "Age-differentiated minimum wages in developing countries," Journal of Development Economics, Elsevier, vol. 84(2), pages 777-797, November.

  38. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    2. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    4. Cuong Van & John Stachurski, 2007. "Parametric continuity of stationary distributions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 33(2), pages 333-348, November.
    5. Manuel Santos, 2007. "Consistency Properties of a Simulation-Based Estimator for Dynamic Processes," Working Papers 0705, University of Miami, Department of Economics.
    6. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.
    7. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
    8. Aguirregabiria, Victor & Magesan, Arvind, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural," MPRA Paper 46056, University Library of Munich, Germany.
    9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    10. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper 2004-3, Federal Reserve Bank of Atlanta.
    11. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
    12. Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006 347, Society for Computational Economics.
    13. Yi Wen & Huabin Wu, 2011. "Dynamics of externalities: a second-order perspective," Review, Federal Reserve Bank of St. Louis, issue May, pages 187-206.
    14. Pichler Paul, 2008. "Forecasting with DSGE Models: The Role of Nonlinearities," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-35, July.
    15. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    16. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
    17. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    18. Tristani, Oreste & Amisano, Gianni, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Paper Series 754, European Central Bank.
    19. Robert Kirkby, 2017. "Convergence of Discretized Value Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 117-153, January.
    20. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Central Difference Kalman Filter," CREATES Research Papers 2010-30, Department of Economics and Business Economics, Aarhus University.
    21. Jesús Fernández-Villaverde, 2008. "Horizons of Understanding: A Review of Ray Fair's Estimating How the Macroeconomy Works," Journal of Economic Literature, American Economic Association, vol. 46(3), pages 685-703, September.
    22. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
    23. Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
    24. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
    25. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    26. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    27. Nishimura, Kazuo & Stachurski, John, 2010. "Perfect simulation of stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 577-584, April.
    28. 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, vol. 8(1), November.
    29. Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Solving DSGE models with perturbation methods and a change of variables," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2509-2531, December.
    30. Sarolta Laczo, 2010. "Estimating Dynamic Contracts: Risk Sharing in Village Economies," 2010 Meeting Papers 687, Society for Economic Dynamics.

  39. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear and Nonlinear Likelihood," 2004 Meeting Papers 59, Society for Economic Dynamics.

    Cited by:

    1. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    2. Linnea Polgreen & Pedro Silos, 2006. "Crude substitution: the cyclical dynamics of oil prices and the college premium," FRB Atlanta Working Paper 2006-14, Federal Reserve Bank of Atlanta.

  40. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Linnea Polgreen & Pedro Silos, 2005. "Capital-skill complementarity and inequality: a sensitivity analysis," FRB Atlanta Working Paper 2005-20, Federal Reserve Bank of Atlanta.
    2. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    3. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    4. Jesus Fernández-Villaverde & Juan F. Rubio-Ramírez, 2001. "Comparing dynamic equilibrium economies to data," FRB Atlanta Working Paper 2001-23, Federal Reserve Bank of Atlanta.
    5. S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2003. "Comparing Solution Methods for Dynamic Equilibrium Economies," PIER Working Paper Archive 04-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Giorgio Primiceri & Alejandro Justiniano, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," 2006 Meeting Papers 353, Society for Economic Dynamics.
    7. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper 2004-3, Federal Reserve Bank of Atlanta.
    8. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, 01.
    9. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
    10. Keane, Michael P. & Sauer, Robert M., 2006. "Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior," IZA Discussion Papers 2332, Institute for the Study of Labor (IZA).
    11. Pau Rabanal & Juan F. Rubio-Ramírez, 2001. "Nominal versus real wage rigidities: A Bayesian approach," FRB Atlanta Working Paper 2001-22, Federal Reserve Bank of Atlanta.
    12. Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Technical Working Papers 0332, National Bureau of Economic Research, Inc.
    13. Pytlarczyk, Ernest, 2005. "An estimated DSGE model for the German economy within the euro area," Discussion Paper Series 1: Economic Studies 2005,33, Deutsche Bundesbank, Research Centre.
    14. 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.
    15. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.

  41. Tao Zha & Juan Rubio & Daniel Waggoner, 2004. "Effects of monetary policy regime changes in the Euro Economy," 2004 Meeting Papers 459, Society for Economic Dynamics.

    Cited by:

    1. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.

  42. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood," PIER Working Paper Archive 04-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Florian Heiss, 2008. "Sequential numerical integration in nonlinear state space models for microeconometric panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(3), pages 373-389.
    2. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    4. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    5. YANO Koiti, 2009. "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling," ESRI Discussion paper series 206, Economic and Social Research Institute (ESRI).
    6. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
    7. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    8. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
    9. Jim Malley & Ulrich Woitek, 2009. "Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model," CESifo Working Paper Series 2672, CESifo Group Munich.
    10. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
    11. Allan Dizioli & Jochen M. Schmittmann, 2015. "A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam," IMF Working Papers 15/273, International Monetary Fund.
    12. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    13. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
    14. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    15. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Manuel S. Santos, 2006. "Convergence Properties of the Likelihood of Computed Dynamic Models," Econometrica, Econometric Society, vol. 74(1), pages 93-119, 01.
    16. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
    17. Babus, Ana & de Vries, Casper G., 2010. "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 817-824, May.
    18. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    19. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
    20. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
    21. Francesco Zanetti & Federico S. Mandelman, 2013. "Flexible prices, labor market frictions and the response of employment to technology shocks," Economics Series Working Papers 683, University of Oxford, Department of Economics.
    22. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
    23. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
    24. Jim Malley & Ulrich Woitek, 2009. "Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model," CESifo Working Paper Series 2626, CESifo Group Munich.
    25. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
    26. Stefano Neri & Luca Dedola, 2004. "Are technology shocks contractionary? A Bayesian VAR analysis with priors on impulses responses," 2004 Meeting Papers 406, Society for Economic Dynamics.
    27. Ramirez, Francisco A. & Torres, Francisco A., 2013. "Modelo de equilibrio general dinámico y estocástico con rigideces nominales para el análisis de política y proyecciones en la República Dominicana
      [A stochastic and dynamic general equilibrium mode
      ," MPRA Paper 51802, University Library of Munich, Germany.
    28. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    29. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
    30. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
    31. Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    32. Fabio Canova & Luca Sala, 2005. "Back to square one: Identification issues in DSGE models," Economics Working Papers 927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
    33. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Guilherme Moura & Jean-Francois Richard, 2009. "Efficient Likelihood Evaluation of State-Space Representations," Working Papers 2009/15, Czech National Bank, Research Department.
    34. Dedola, Luca & Neri, Stefano, 2006. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Working Paper Series 705, European Central Bank.
    35. Adolfson, Malin & Lindé, Jesper, 2011. "Parameter Identification in a Estimated New Keynesian Open Economy Model," Working Paper Series 251, Sveriges Riksbank (Central Bank of Sweden).
    36. Ercolani, Valerio & Valle e Azevedo, João, 2014. "The effects of public spending externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 173-199.
    37. 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.
    38. A. Ronald Gallant & Han Hong & Ahmed Khwaja, 2012. "Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State," Working Papers 12-01, Duke University, Department of Economics.
    39. Andreas A. Andrikopoulos & Dimitrios C. Gkountanis, 2011. "Issues and Models in Applied Econometrics: A partial survey," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 9(2), pages 107-165.
    40. Neil Shephard & Arnaud Doucet, 2012. "Robust inference on parameters via particle filters and sandwich covariance matrices," Economics Series Working Papers 606, University of Oxford, Department of Economics.
    41. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
    42. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    43. Martin M. Andreasen, 2010. "Non-linear DSGE Models and The Optimized Particle Filter," CREATES Research Papers 2010-05, Department of Economics and Business Economics, Aarhus University.
    44. Guido Ascari & Paolo Bonomolo & Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    45. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    46. Lemoine, M. & Mougin, C., 2010. "The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models," Working papers 285, Banque de France.
    47. Matthias Kredler, 2005. "Bayesian Estimation of a Dynamic Partial-Equilibrium Model for Investment," Econometrics 0509003, EconWPA.
    48. 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, vol. 8(1), November.
    49. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    50. Andreasen, Martin M., 2011. "Non-linear DSGE models and the optimized central difference particle filter," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1671-1695, October.
    51. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.

  43. Pau Rabanal & Juan F. Rubio-Ramirez, 2003. "Comparing New Keynesian models in the Euro area: a Bayesian approach," FRB Atlanta Working Paper 2003-30, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Pau Rabanal & Vicente Tuesta, 2013. "Nontradable Goods and the Real Exchange Rate," Open Economies Review, Springer, vol. 24(3), pages 495-535, July.
    2. Pau Rabanal & Oriol Aspachs-Bracons, 2009. "The Drivers of Housing Cycles in Spain," IMF Working Papers 09/203, International Monetary Fund.
    3. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España;Working Papers Homepage.
    4. Andrés González & Franz Hamann, 2011. "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Borradores de Economia 658, Banco de la Republica de Colombia.
    5. Eric Mayer & Oliver Grimm, 2008. "Countercyclical Taxation and Price Dispersion," CER-ETH Economics working paper series 08/88, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    6. Avouyi-Dovi, Sanvi & Sahuc, Jean-Guillaume, 2011. "On the welfare costs of misspecified monetary policy objectives," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 151-161, June.
    7. Baranowski, Paweł & Kuchta, Zbigniew, 2015. "Changes in nominal rigidities in Poland – a regime switching DSGE perspective," MPRA Paper 70573, University Library of Munich, Germany, revised Mar 2016.
    8. Franz Hamann & Marc Hofstetter & Miguel Urrutia, 2014. "Inflation Targeting in Colombia, 2002-2012," BORRADORES DE ECONOMIA 011189, BANCO DE LA REPÚBLICA.
    9. Tareq Sadeq, 2008. "Bayesian Analysis of DSGE models: A Panel Approach," Documents de recherche 08-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    10. G. Peersman & R. Straub, 2005. "Technology Shocks and Robust Sign Restrictions in a Euro Area SVAR," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/288, Ghent University, Faculty of Economics and Business Administration.
    11. Steffen Henzel & Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2007. "The Price Puzzle Revisited: Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?," CESifo Working Paper Series 2039, CESifo Group Munich.
    12. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2008. "Inflation Target Shocks and Monetary Policy Inertia in the Euro Area," IDEI Working Papers 515, Institut d'Économie Industrielle (IDEI), Toulouse.
    13. Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006. "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006 197, Society for Computational Economics.
    14. Mayer, Eric & Hülsewig, Oliver & Henzel, Steffen & Wollmershäuser, Timo, 2006. "The Price Puzzle Revisited: Can the Cost Channel explain a Rise in Inflation after a Monetary Shock?," W.E.P. - Würzburg Economic Papers 74, University of Würzburg, Chair for Monetary Policy and International Economics.
    15. Malikane, Christopher & Ojah, Kalu, 2014. "Fisher's Relation and the Term Structure: Implications for IS Curves," MPRA Paper 55553, University Library of Munich, Germany.
    16. Zbigniew Kuchta, 2014. "Sztywność płac nominalnych w modelach DSGE małej skali. Analiza empiryczna dla Polski," Gospodarka Narodowa, Warsaw School of Economics, issue 6, pages 31-56.
    17. Poilly, C. & Sahuc, J-G., 2008. "Welfare Implications of Heterogeneous Labor Markets in a Currency Area," Working papers 199, Banque de France.
    18. Livio Stracca, 2007. "A Speed Limit Monetary Policy Rule for the Euro Area," International Finance, Wiley Blackwell, vol. 10(1), pages 21-41, 03.
    19. Marcelo Sánchez, 2010. "What Drives Business Cycles And International Trade In Emerging Market Economies?," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 28(61), pages 198-271, August.
    20. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    21. Nikolay Hristov & Oliver Hülsewig & Timo Wollmershäuser, 2010. "Financial Frictions and Inflation Differentials in a Monetary Union," CESifo Working Paper Series 3235, CESifo Group Munich.
    22. Caraiani, Petre, 2008. "An Analysis Of Domestic And External Shocks On Romanian Economy Using A Dsge Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 100-114, September.
    23. Sánchez, Marcelo, 2009. "National prices and wage setting in a currency union," Working Paper Series 1058, European Central Bank.
    24. Martinez-Garcia, Enrique, 2007. "A monetary model of the exchange rate with informational frictions," Globalization and Monetary Policy Institute Working Paper 02, Federal Reserve Bank of Dallas.
    25. 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.
    26. Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2009. "Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission," Economic Modelling, Elsevier, vol. 26(6), pages 1310-1327, November.

  44. S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2003. "Comparing Solution Methods for Dynamic Equilibrium Economies," PIER Working Paper Archive 04-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Robert Kollmann & Serguei Maliar & Benjamin A. Malin & Paul Pichler, 2010. "Comparison of solutions to the multi-country real business cycle model," Post-Print hal-00765825, HAL.
    2. Manoj Atolia & Santanu Chatterjee & Stephen J. Turnovsky, 2008. "How Misleading is Linearization? Evaluating the Dynamics of the Neoclassical Growth Model," Working Papers wp2008_11_01, Department of Economics, Florida State University, revised Sep 2008.
    3. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the Recent Monetary History of the U.S., 1959-2007," PIER Working Paper Archive 10-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
    5. Marcin Kolasa & Michal Brzoza-Brzezina & Krzysztof Makarski, 2015. "A penalty function approach to occasionally binding credit constraints," EcoMod2015 8359, EcoMod.
    6. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
    7. Maliar, Lilia & Maliar, Serguei, 2013. "Envelope condition method versus endogenous grid method for solving dynamic programming problems," Economics Letters, Elsevier, vol. 120(2), pages 262-266.
    8. Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
    9. Kevin Salyer & Victor Dorofeenko & Gabriel Lee, 2005. "A New Algorithm for Solving Dynamic Stochastic Macroeconomic Models," Working Papers 62, University of California, Davis, Department of Economics.
    10. Posch, Olaf & Trimborn, Timo, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Hannover Economic Papers (HEP) dp-450, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Kopecky, Karen A. & Suen, Richard M. H., 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," MPRA Paper 17201, University Library of Munich, Germany.
    13. Min Ouyang, 2005. "The Scarring Effect of Recessions," Working Papers 050609, University of California-Irvine, Department of Economics.
    14. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
    15. Caiani, Alessandro & Godin, Antoine & Caverzasi, Eugenio & Gallegati, Mauro & Kinsella, Stephen & Stiglitz, Joseph E., 2016. "Agent based-stock flow consistent macroeconomics: Towards a benchmark model," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 375-408.
    16. Creel, Michael & Kristensen, Dennis, 2011. "Indirect Likelihood Inference," Dynare Working Papers 8, CEPREMAP.
    17. Richard W. Evans & Kerk L. Phillips, 2012. "OLG Life Cycle Model Transition Paths: Alternate Model Forecast Method," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    18. Peralta Alva, Adrián & Santos, Manuel S., 2003. "Accuracy of simulations for stochastic dynamic models," UC3M Working papers. Economics we034615, Universidad Carlos III de Madrid. Departamento de Economía.
    19. Eric M. Aldrich & Jesús Fernández-Villaverde & A. Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," NBER Working Papers 15909, National Bureau of Economic Research, Inc.
    20. Hyosung Kwon & Jianjun Miao, 2013. "Three Types of Robjst Ramsey Problem in a Linear-Quadratic Framework," Boston University - Department of Economics - Working Papers Series 2013-019, Boston University - Department of Economics.
    21. Viktor Tsyrennikov & Serguei Maliar & Lilia Maliar & Cristina Arellano, 2015. "Envelope Condition Method with an Application to Default Risk Models," 2015 Meeting Papers 1239, Society for Economic Dynamics.
    22. Michel Juillard & Sébastien Villemot, 2010. "Multi-country real business cycle models: Accuracy tests and test bench," Post-Print hal-00765827, HAL.
    23. Dieppe, Alistair & González Pandiella, Alberto & Willman, Alpo, 2012. "The ECB's New Multi-Country Model for the euro area: NMCM — Simulated with rational expectations," Economic Modelling, Elsevier, vol. 29(6), pages 2597-2614.
    24. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    25. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín, 2009. "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers 7264, C.E.P.R. Discussion Papers.
    26. Min Ouyang, 2006. "Plant Life Cycle and Aggregate Employment Dynamics," Working Papers 050632, University of California-Irvine, Department of Economics.
    27. Willi Semmler & Lars Grüne & Marleen Stieler, 2013. "Using Nonlinear Model Predictive Control for Dynamic Decision Problems in Economics," EcoMod2013 5782, EcoMod.
    28. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Post-Print hal-00813425, HAL.
    29. Gräbner, Claudius, 2015. "Methodology Does Matter: About Implicit Assumptions in Applied Formal Modelling. The case of Dynamic Stochastic General Equilibrium Models vs Agent-Based Models," MPRA Paper 63003, University Library of Munich, Germany.
    30. Francisco Barillas & Jesús Fernández-Villaverde, 2006. "A Generalization of the Endogenous Grid Method," Levine's Bibliography 122247000000001200, UCLA Department of Economics.
    31. Ayse Kabukcuoglu & Enrique Martínez-García, 2016. "The Market Resources Method for Solving Dynamic Optimization Problems," Koç University-TUSIAD Economic Research Forum Working Papers 1607, Koc University-TUSIAD Economic Research Forum.
    32. Mario Padula, 2008. "An Approximate Consumption Function," CSEF Working Papers 199, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    33. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
    34. Kirkby, Robert, 2017. "Transition paths for Bewley-Huggett-Aiyagari models: Comparison of some solution algorithms," Working Paper Series 5642, Victoria University of Wellington, School of Economics and Finance.
    35. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, 07.
    36. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
    37. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
    38. Moody Chu & Chun-Hung Kuo & Matthew Lin, 2013. "Tensor Spline Approximation in Economic Dynamics with Uncertainties," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 175-198, August.
    39. Thomas Hintermaier & Winfried Koeniger, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Post-Print hal-00732758, HAL.
    40. Robert Amano & Malik Shukayev, 2009. "Risk Premium Shocks and the Zero Bound on Nominal Interest Rates," Staff Working Papers 09-27, Bank of Canada.
    41. Feigenbaum, James, 2005. "Second-, third-, and higher-order consumption functions: a precautionary tale," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1385-1425, August.
    42. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1059-1087.
    43. Maximiliano Dvorkin, 2013. "Sectoral Shocks, Reallocation and Unemployment in a Model of Competitive Labor Markets," 2013 Meeting Papers 1229, Society for Economic Dynamics.
    44. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper 2004-3, Federal Reserve Bank of Atlanta.
    45. Occhino, Filippo & Pescatori, Andrea, 2015. "Debt overhang in a business cycle model," European Economic Review, Elsevier, vol. 73(C), pages 58-84.
    46. Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
    47. Alexander Ludwig & Matthias Schön, 2013. "Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods," Working Paper Series in Economics 65, University of Cologne, Department of Economics, revised 11 Jun 2014.
    48. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
    49. 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.
    50. S. Boragan Aruoba & Christopher J. Waller & Randall Wright, 2009. "Money and capital: a quantitative analysis," Working Papers 2009-031, Federal Reserve Bank of St. Louis.
    51. De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010. "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2056-2073, October.
    52. Grzegorz R. Dlugoszek, 2016. "Solving DSGE Portfolio Choice Models with Asymmetric Countries," SFB 649 Discussion Papers SFB649DP2016-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    53. Babus, Ana & de Vries, Casper G., 2010. "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 817-824, May.
    54. Heer Burkhard & Maußner Alfred, 2011. "Value Function Iteration as a Solution Method for the Ramsey Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(4), pages 494-515, August.
    55. Lilia Maliar & Serguei Maliar, 2016. "Ruling Out Multiplicity of Smooth Equilibria in Dynamic Games: A Hyperbolic Discounting Example," Dynamic Games and Applications, Springer, vol. 6(2), pages 243-261, June.
    56. David R.F. Love, 2009. "Accuracy of Deterministic Extended-Path Solution Methods for Dynamic Stochastic Optimization Problems in Macroeconomics," Working Papers 0907, Brock University, Department of Economics.
    57. Vadym Lepetyuk & Lilia Maliar & Serguei Maliar, 2017. "Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?," Staff Working Papers 17-21, Bank of Canada.
    58. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2008. "How Structural Are Structural Parameters?," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 83-137 National Bureau of Economic Research, Inc.
    59. Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006 347, Society for Computational Economics.
    60. Grüne, Lars & Semmler, Willi & Stieler, Marleen, 2015. "Using nonlinear model predictive control for dynamic decision problems in economics," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 112-133.
    61. Barthélemy, Jean & Marx, Magali, 2017. "Solving endogenous regime switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 1-25.
    62. Castillo, Paul & Montoro, Carlos & Tuesta, Vicente., 2010. "Inflation, Oil Price Volatility and Monetary Policy," Working Papers 2010-002, Banco Central de Reserva del Perú.
    63. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    64. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
    65. Bullard, James B. & Singh, Aarti, 2009. "Learning and the Great Moderation," CEPR Discussion Papers 7401, C.E.P.R. Discussion Papers.
    66. Sanjay K. Chugh & S. Boragan Aruoba, 2007. "Optimal Fiscal and Monetary Policy when Money is Essential," 2007 Meeting Papers 80, Society for Economic Dynamics.
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