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

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

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  1. 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.
  2. Benchimol, Jonathan, 2016. "Money and monetary policy in Israel during the last decade," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 103-124.
  3. Han Hong & Bruce Preston, 2008. "Bayesian Averaging, Prediction and Nonnested Model Selection," NBER Working Papers 14284, National Bureau of Economic Research, Inc.
  4. Fabio Milani, 2005. "Expectations, Learning and Macroeconomic Persistence," Working Papers 050608, University of California-Irvine, Department of Economics.
  5. 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.
  6. Fabio Milani, 2009. "Expectations, Learning, and the Changing Relationship between Oil Prices and the Macroeconomy," Working Papers 080923, University of California-Irvine, Department of Economics.
  7. 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.
  8. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," NBER Technical Working Papers 0321, National Bureau of Economic Research, Inc.
  9. 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.
  10. Gabriel, Vasco & Levine, Paul & Pearlman, Joseph & Yang, Bo, 2011. "An Estimated DSGE Model of the Indian Economy," Working Papers 11/95, National Institute of Public Finance and Policy.
  11. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  12. Costa Junior, Celso Jose & Sampaio, Armando Vaz & Gonçalves, Flávio de Oliveria, 2012. "Income Transfer as Model of Economic Growth," MPRA Paper 45494, University Library of Munich, Germany.
  13. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
  14. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 0794, European Central Bank.
  15. 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.
  16. Juan Pablo Medina & Claudio Soto, 2005. "Oil Shocks and Monetary Policy in an Estimated DSGE Model for a Small Open Economy," Working Papers Central Bank of Chile 353, Central Bank of Chile.
  17. Janice C. Eberly & Sergio Rebelo & Nicolas Vincent, 2011. "What Explains the Lagged Investment Effect?," NBER Working Papers 16889, National Bureau of Economic Research, Inc.
  18. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2008. "A Comparison Of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, And A Dsge Model," CAMA Working Papers 2009-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  19. Malley, Jim University of Glasgow & Woitek, Ulrich, 2009. "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," SIRE Discussion Papers 2009-18, Scottish Institute for Research in Economics (SIRE).
  20. 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.
  21. Rabanal, Pau, 2007. "Does inflation increase after a monetary policy tightening? Answers based on an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 906-937, March.
  22. 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.
  23. Dey, Jaya & Tsai, Yi-Chan, 2012. "Explaining the durable goods co-movement puzzle with non-separable preferences: a bayesian approach," MPRA Paper 57805, University Library of Munich, Germany.
  24. Landon-Lane, John & Occhino, Filippo, 2008. "Bayesian estimation and evaluation of the segmented markets friction in equilibrium monetary models," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 444-461, March.
  25. Philip Liu, 2006. "Gains From Commitment Policy For A Small Open Economy: The Case Of New Zealand," CAMA Working Papers 2006-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  26. John Landon-Lane & Filippo Occhino, 2004. "A Likelihood-Based Evaluation of the Segmented Markets Friction in Equilibrium Monetary Models," Departmental Working Papers 200415, Rutgers University, Department of Economics.
  27. Juan F. Rubio-Ramirez & Jesus Fernández-Villaverde, 2005. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 891-910.
  28. Pau Rabanal & Oriol Aspachs-Bracons, 2009. "The Drivers of Housing Cycles in Spain," IMF Working Papers 09/203, International Monetary Fund.
  29. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2013. "An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian Approach," Open Economies Review, Springer, vol. 24(2), pages 217-265, April.
  30. Federico S. Mandelman, 2011. "Monetary and exchange rate policy under remittance fluctuations," FRB Atlanta Working Paper 2011-07, Federal Reserve Bank of Atlanta.
  31. Dey, Jaya, 2014. "Evaluating monetary policy under preferences with zero wealth effect: A Bayesian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 209-234.
  32. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," International Finance Discussion Papers 948, Board of Governors of the Federal Reserve System (U.S.).
  33. Marcin Kolasa, 2008. "Structural heterogeneity or asymmetric shocks? Poland and the euro area through the lens of a two-country DSGE model," National Bank of Poland Working Papers 49, National Bank of Poland, Economic Institute.
  34. John Landon-Lane & Filippo Occhino, 2005. "Estimation and Evaluation of a Segmented Markets Monetary Model," Departmental Working Papers 200505, Rutgers University, Department of Economics.
  35. Liu, Philip, 2010. "Stabilization bias for a small open economy: The case of New Zealand," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 921-935, September.
  36. Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  37. 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.
  38. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  39. Mandelman, Federico S & Zanetti, Francesco, 2010. "Technology shocks, employment and labour market frictions," Bank of England working papers 390, Bank of England.
  40. Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
  41. 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.
  42. Leeper, Eric M. & Plante, Michael & Traum, Nora, 2010. "Dynamics of fiscal financing in the United States," Journal of Econometrics, Elsevier, vol. 156(2), pages 304-321, June.
  43. 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.
  44. Stefano Neri & Tiziano Ropele, 2011. "Imperfect information, real-time data and monetary policy in the euro area," Temi di discussione (Economic working papers) 802, Bank of Italy, Economic Research and International Relations Area.
  45. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512 Edward Elgar Publishing.
  46. 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.
  47. Jonathan Benchimol, 2012. "Risk Aversion in the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00713669, HAL.
  48. 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.
  49. Giovanni Di Bartolomeo & Lorenzo Rossi & Massimiliano Tancioni, 2006. "Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison," Working Papers 97, University of Rome La Sapienza, Department of Public Economics.
  50. Federico S. Mandelman & Andrei Zlate, 2010. "Immigration, remittances, and business cycles," FRB Atlanta Working Paper 2008-25, Federal Reserve Bank of Atlanta.
  51. Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
  52. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  53. Sebastian Sienknecht, 2010. "Persistence Endogeneity Via Adjustment Costs: An Assessment based on Bayesian Estimations," Jena Economic Research Papers 2010-057, Friedrich-Schiller-University Jena.
  54. Riggi, Marianna & Tancioni, Massimiliano, 2010. "Nominal vs real wage rigidities in New Keynesian models with hiring costs: A Bayesian evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1305-1324, July.
  55. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, Department of Economics and Business Economics, Aarhus University.
  56. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
  57. Pablo Burriel & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," Working Papers 2009-17, FEDEA.
  58. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
  59. Patrick Hürtgen, 2011. "Consumer Misperceptions, Uncertain Fundamentals, and the Business Cycle," Bonn Econ Discussion Papers bgse10_2011, University of Bonn, Germany.
  60. 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.
  61. Luca Sessa & Libero Monteforte & Lorenzo Forni, 2007. "The general equilibrium effects of fiscal policy: estimates for the euro area," 2007 Meeting Papers 352, Society for Economic Dynamics.
  62. 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.
  63. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers 200423, Rutgers University, Department of Economics.
  64. Gelain, Paolo, 2010. "The external finance premium in the euro area A useful indicator for monetary policy?," Working Paper Series 1171, European Central Bank.
  65. Minford, Patrick & Theodoridis, Konstantinos & Meenagh, David, 2007. "Testing a model of the UK by the method of indirect inference," Cardiff Economics Working Papers E2007/2, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2008.
  66. Markku Lanne & Jani Luoto, 2014. "Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 715-726, October.
  67. 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.
  68. Marto, Ricardo, 2013. "Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model," MPRA Paper 55647, University Library of Munich, Germany.
  69. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
  70. Jonathan Benchimol & André Fourçans, 2012. "The role of money and monetary policy in crisis periods: the Euro area case," Working Papers hal-00672806, HAL.
  71. Acosta, Pablo A. & Lartey, Emmanuel K.K. & Mandelman, Federico S., 2009. "Remittances and the Dutch disease," Journal of International Economics, Elsevier, vol. 79(1), pages 102-116, September.
  72. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
  73. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  74. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW).
  75. Garcia-Cebro, Juan A. & Varela-Santamaría, Ramón, 2011. "The international transmission of monetary shocks across developed countries: The role of imported raw materials," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1791-1813.
  76. Marianna Riggi & Massimiliano Tancioni, 2008. "Nominal v. Real Wage Rigidities in New Keynesian Models with Hiring Costs," Working Papers 107, University of Rome La Sapienza, Department of Public Economics.
  77. Agustín Arias, 2016. "Sentiment Shocks as Drivers of Business Cycles," Working Papers Central Bank of Chile 782, Central Bank of Chile.
  78. Di Bartolomeo Giovanni & Di Pietro Marco, 2015. "Intrinsic persistence of wage inflation in New Keynesian models of the business cycles," wp.comunite 0118, Department of Communication, University of Teramo.
  79. 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.
  80. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  81. 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.
  82. Vanda Almeida, 2009. "Bayesian estimation of a DSGE model for the Portuguese economy," Working Papers w200914, Banco de Portugal, Economics and Research Department.
  83. Norman Swanson & Oleg Korenok, 2006. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models. Extended Working Paper Version," Departmental Working Papers 200612, Rutgers University, Department of Economics.
  84. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  85. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
  86. Fang Yao, 2010. "Aggregate Hazard Function in Price-Setting: A Bayesian Analysis Using Macro Data," SFB 649 Discussion Papers SFB649DP2010-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  87. Michel Juillard & Florian Pelgrin, 2007. "Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy," Staff Working Papers 07-32, Bank of Canada.
  88. Silos, Pedro, 2006. "Assessing Markov chain approximations: A minimal econometric approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 1063-1079, June.
  89. Joao Madeira, 2012. "Evaluating the Role of Firm-Specific Capital in New Keynesian models," Discussion Papers 1204, Exeter University, Department of Economics.
  90. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.
  91. 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.
  92. Francesco Giuli & Massimiliano Tancioni, 2009. "Firm-Specific Capital, Productivity Shocks and Investment Dynamics," Working Papers 120, University of Rome La Sapienza, Department of Public Economics.
  93. Barseghyan Gayane, 2013. "An Estimated Dynamic Stochastic General Equilibrium Model for Armenian Economy," EERC Working Paper Series 13/11e, EERC Research Network, Russia and CIS.
  94. Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
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