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Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints

Citations

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Cited by:

  1. Hecker, Dominik & Wolters, Maik H., 2025. "Nonlinear estimation of a New Keynesian model with endogenous inflation de-anchoring," IMFS Working Paper Series 222, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  2. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
  3. Wen, Jianghui & Hong, Lijiang & Dai, Min & Xiao, Xinping & Wu, Chaozhong, 2023. "A stochastic model for stop-and-go phenomenon in traffic oscillation: On the prospective of macro and micro traffic flow," Applied Mathematics and Computation, Elsevier, vol. 440(C).
  4. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  5. Sophocles Mavroeidis, 2021. "Identification at the Zero Lower Bound," Econometrica, Econometric Society, vol. 89(6), pages 2855-2885, November.
  6. Duffy, James A. & Mavroeidis, Sophocles & Wycherley, Sam, 2025. "Cointegration with occasionally binding constraints," Journal of Econometrics, Elsevier, vol. 252(PA).
  7. Daisuke Ikeda & Shangshang Li & Sophocles Mavroeidis & Francesco Zanetti, 2024. "Testing the Effectiveness of Unconventional Monetary Policy in Japan and the United States," American Economic Journal: Macroeconomics, American Economic Association, vol. 16(2), pages 250-286, April.
  8. Damioli, Giacomo & Gregori, Wildmer Daniel, 2023. "Diplomatic relations and cross-border investments in the European Union," European Journal of Political Economy, Elsevier, vol. 76(C).
  9. Enrique Mendoza & Sergio Villalvazo, 2020. "FiPIt: A Simple, Fast Global Method for Solving Models with Two Endogenous States & Occasionally Binding Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 81-102, July.
  10. Dominik Hecker & Maik Wolters & Maik H. Wolters, 2025. "Nonlinear Estimation of a New Keynesian Model with Endogenous Inflation De-Anchoring," CESifo Working Paper Series 12280, CESifo.
  11. Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025. "A general equilibrium approach to carbon permit banking," Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
  12. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
  13. Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2022. "Estimating Nonlinear Heterogeneous Agents Models with Neural Networks," CEPR Discussion Papers 17391, C.E.P.R. Discussion Papers.
  14. Weale, Martin & Wieladek, Tomasz, 2025. "What are the macroeconomic effects of state-dependent forward guidance?," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).
  15. Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
  16. Villalvazo, Sergio, 2024. "FDI flows and sudden stops in small open economies," Journal of Macroeconomics, Elsevier, vol. 79(C).
  17. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," National Institute of Economic and Social Research (NIESR) Discussion Papers 530, National Institute of Economic and Social Research.
  18. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2025. "Forecasting with shadow rate VARs," Quantitative Economics, Econometric Society, vol. 16(3), pages 795-822, July.
  19. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
  20. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano & Mertens, Elmar, 2023. "Shadow-rate VARs," Discussion Papers 14/2023, Deutsche Bundesbank.
  21. Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco, 2021. "Efficient and robust inference of models with occasionally binding constraints," JRC Working Papers in Economics and Finance 2021-03, Joint Research Centre, European Commission.
  22. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
  23. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
  24. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
  25. Calo, Silvia & Gregori, Wildmer Daniel & Petracco Giudici, Marco & Rancan, Michela, 2021. "Has the Comprehensive Assessment made the European financial system more resilient?," JRC Working Papers in Economics and Finance 2021-08, Joint Research Centre, European Commission.
  26. Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022. "Resolving the missing deflation puzzle," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.
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