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The FRBNY DSGE model

Author Info

Listed author(s):
  • Marco Del Negro
  • Stefano Eusepi
  • Marc Giannoni
  • Argia M. Sbordone
  • Andrea Tambalotti
  • Matthew Cocci
  • Raiden B. Hasegawa
  • M. Henry Linder

Abstract

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

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File URL: https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr647.html
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File URL: https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr647.pdf
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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 647.

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Date of creation: 2013
Handle: RePEc:fip:fednsr:647
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Keywords: Econometric models ; Equilibrium (Economics) ; Stochastic analysis ; Federal Reserve Bank of New York;

This paper has been announced in the following NEP Reports:

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  1. Mark Bils & Peter J. Klenow, 2004. "Some Evidence on the Importance of Sticky Prices," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 947-985, October.
  2. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
  3. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
  4. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  5. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
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Cited by:

  1. 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.
  2. Cole, Stephen, 2016. "The limits of central bank forward guidance under learning," MPRA Paper 70862, University Library of Munich, Germany.
  3. Nadav Ben Zeev & Christopher M. Gunn & Hashmat Khan, 2015. "Monetary News Shocks," Carleton Economic Papers 15-02, Carleton University, Department of Economics, revised 17 Feb 2017.
  4. Hess Chung & Edward Herbst & Michael T. Kiley, 2015. "Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 289-344.

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