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Citations for "On the fit and forecasting performance of New-Keynesian models"

by Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Raf

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  1. Liu, Zheng & Waggoner, Daniel F. & Zha, Tao, 2007. "Asymmetric Expectation Effects of Regime Shifts and the Great Moderation," Kiel Working Papers 1357, Kiel Institute for the World Economy (IfW).
  2. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
  3. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
  4. Stepahnie Schmitt-Grohé & Martín Uribe, 2007. "Optimal Inflation Stabilization in a Medium-Scale Macroeconomic Model," Central Banking, Analysis, and Economic Policies Book Series, in: Frederic S. Miskin & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Se (ed.), Monetary Policy under Inflation Targeting, edition 1, volume 11, chapter 5, pages 125-186 Central Bank of Chile.
  5. 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 0586, European Central Bank.
  6. Polgár, Éva Katalin, 2006. "Monetary policy rules in a two-sector small open economy," Discussion Papers 2006/13, Free University Berlin, School of Business & Economics.
  7. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2012. "Endogenous Persistence in an estimated DSGE Model Under Imperfect Information," Economic Journal, Royal Economic Society, vol. 122(565), pages 1287-1312, December.
  8. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The Univeristy of Manchester.
  9. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
  10. 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.
  11. Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312 National Bureau of Economic Research, Inc.
  12. 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.
  13. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
  14. Nora Traum & Shu-Chun Yang, 2010. "When Does Government Debt Crowd Out Investment?," Caepr Working Papers 2010-006, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  15. 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.
  16. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
  17. Vanda Almeida, 2009. "Bayesian estimation of a DSGE model for the Portuguese economy," Working Papers w200914, Banco de Portugal, Economics and Research Department.
  18. M. Hashem Pesaran & Ron Smith, 2006. "Macroeconometric Modelling With A Global Perspective," Manchester School, University of Manchester, vol. 74(s1), pages 24-49, 09.
  19. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006. "Evaluation of macroeconomic models for financial stability analysis," Working Paper Series 6806, Department of Economics, Norwegian University of Science and Technology.
  20. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España;Working Papers Homepage.
  21. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  22. Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2006. "Identifying the role of labor markets for monetary policy in an estimated DSGE model," Working Paper Series 0635, European Central Bank.
  23. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Working Papers 2007-006, Federal Reserve Bank of St. Louis.
  24. Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc.
  25. Guerron-Quintana, Pablo A., 2008. "Refinements on macroeconomic modeling: The role of non-separability and heterogeneous labor supply," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3613-3630, November.
  26. Martin Melecky & Diego Rodríguez Palenzuela & Ulf Söderström, 2008. "Inflation Target Transparency and the Macroeconomy," Working Papers Central Bank of Chile 490, Central Bank of Chile.
  27. Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc.
  28. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
  29. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 21-37.
  30. Rossana Merola, 2009. "A bayesian estimation of a DSGE model with financial frictions," CEIS Research Paper 149, Tor Vergata University, CEIS, revised 01 Oct 2009.
  31. Fritz Breuss & Katrin Rabitsch, 2009. "An estimated two-country DSGE model of Austria and the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 123-158, February.
  32. Bisio Laura & Faccini Andrea, 2010. "Does cointegration matter? An analysis in a RBC perspective," wp.comunite 0066, Department of Communication, University of Teramo.
  33. Adolfson, Malin & Laseén, Stefan & Lindé, Jesper & Svensson, Lars E.O., 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Working Paper Series 225, Sveriges Riksbank (Central Bank of Sweden).
  34. Vicente Tuesta & Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model; What is Important and What is Not," IMF Working Papers 06/177, International Monetary Fund.
  35. Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 469-486, 03.
  36. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006. "Forecasting Canadian Time Series with the New Keynesian Model," Staff Working Papers 06-4, Bank of Canada.
  37. Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
  38. 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.
  39. Sarah Zubairy, 2010. "On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model," Staff Working Papers 10-30, Bank of Canada.
  40. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2009. "Investment shocks and the relative price of investment," Staff Reports 411, Federal Reserve Bank of New York.
  41. Justiniano, Alejandro & Primiceri, Giorgio E & Tambalotti, Andrea, 2008. "Investment Shocks and Business Cycles," CEPR Discussion Papers 6739, C.E.P.R. Discussion Papers.
  42. Marco Lombardi & Silvia Sgherri, 2007. "(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate," DNB Working Papers 142, Netherlands Central Bank, Research Department.
  43. V. Anton Muscatelli & Patrizio Tirelli, 2005. "Analyzing the Interaction of Monetary and Fiscal Policy: Does Fiscal Policy Play a Valuable Role in Stabilisation?," CESifo Economic Studies, CESifo, vol. 51(4), pages 549-585.
  44. Martin Melecky & Daniel Buncic, 2005. "An Estimated, New Keynesian Policy Model for Australia," Macroeconomics 0511026, EconWPA.
  45. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non-stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, 09.
  46. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 0322, European Central Bank.
  47. Eric Mayer & Nikolai Stähler, 2013. "The debt brake: business cycle and welfare consequences of Germany’s new fiscal policy rule," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(1), pages 39-74, February.
  48. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers 131, University of Rome La Sapienza, Department of Public Economics.
  49. Reicher, Christopher Phillip, 2009. "What can a New Keynesian labor matching model match?," Kiel Working Papers 1496, Kiel Institute for the World Economy (IfW).
  50. Poilly, Céline, 2010. "Does money matter for the identification of monetary policy shocks: A DSGE perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2159-2178, October.
  51. 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.
  52. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model," Computing in Economics and Finance 2006 87, Society for Computational Economics.
  53. Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
  54. Beck, Günter Wilfried & Kotz, Hans-Helmut & Zabelina, Natalia, 2016. "Lost in translation? ECB's monetary impulses and financial intermediaries' responses," SAFE White Paper Series 36, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
  55. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
  56. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
  57. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
  58. Wollmershäuser, Timo & Mayer, Eric & Hülsewig, Oliver, 2006. "Bank Behavior and the Cost Channel of Monetary Transmission," W.E.P. - Würzburg Economic Papers 71, University of Würzburg, Chair for Monetary Policy and International Economics.
  59. Christopher Reicher, 2009. "What Can a New Keynesian Labor Matching Model Match?," Kiel Working Papers 1496, Kiel Institute for the World Economy.
  60. Melecky, Ales & Melecky, Martin, 2010. "From inflation to exchange rate targeting: Estimating the stabilization effects for a small open economy," Economic Systems, Elsevier, vol. 34(4), pages 450-468, December.
  61. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," CEPR Discussion Papers 6027, C.E.P.R. Discussion Papers.
  62. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc.
  63. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2011. "Sources of macroeconomic fluctuations: A regime‐switching DSGE approach," Quantitative Economics, Econometric Society, vol. 2(2), pages 251-301, 07.
  64. Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005. "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series 190, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
  65. Gregor Bäurle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
  66. Viktors Ajevskis & Kristine Vitola, 2009. "Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective," Working Papers 2009/04, Latvijas Banka.
  67. 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.
  68. Stähler, Nikolai & Thomas, Carlos, 2011. "FiMod - a DSGE model for fiscal policy simulations," Discussion Paper Series 1: Economic Studies 2011,06, Deutsche Bundesbank, Research Centre.
  69. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
  70. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  71. Pierre Malgrange & Jean-Pierre Laffargue & Anne Epaulard, 2008. "La modélisation macroéconomique DSGE. Présentation générale," Économie et Prévision, Programme National Persée, vol. 183(2), pages 1-13.
  72. 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.
  73. Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2005. "The Impact of Labor Markets on the Transmission of Monetary Policy in an Estimated DSGE Model," IZA Discussion Papers 1902, Institute for the Study of Labor (IZA).
  74. Michal Rubaszek & Pawel Skrzypczynski, 2007. "Can a simple DSGE model outperform Professional Forecasters?," National Bank of Poland Working Papers 43, National Bank of Poland, Economic Institute.
  75. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2006. "Nominal Rigidities in an Estimated Two Country," Computing in Economics and Finance 2006 162, Society for Computational Economics.
  76. 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.
  77. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
  78. Anne Epaulard & Jean-Pierre Laffargue & Pierre Malgrange, 2008. "La nouvelle modélisation macroéconomique appliquée à l'analyse de la conjoncture et à l'évaluation des politiques : les modèles dynamiques stochastiques d'équilibre général (DSGE)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270900, HAL.
  79. Holden, Tom, 2011. "Products, patents and productivity persistence: A DSGE model of endogenous growth," Dynare Working Papers 4, CEPREMAP.
  80. Martin Møller Andreasen, 2008. "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers 2008-26, Department of Economics and Business Economics, Aarhus University.
  81. repec:hal:journl:halshs-00270900 is not listed on IDEAS
  82. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
  83. Sungbae An & Heedon Kang, 2011. "Oil Shocks in a DSGE Model for the Korean Economy," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 295-321 National Bureau of Economic Research, Inc.
  84. repec:hhs:bofrdp:2005_021 is not listed on IDEAS
  85. Giuli, Francesco & Tancioni, Massimiliano, 2012. "Real rigidities, productivity improvements and investment dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 100-118.
  86. Männistö, Hanna-Leena, 2005. "Forecasting with a forward-looking DGE model : combining long-run views of financial markes with macro forecasting," Research Discussion Papers 21/2005, Bank of Finland.
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