IDEAS home Printed from https://ideas.repec.org/p/fip/fedlwp/98405.html
   My bibliography  Save this paper

The St. Louis Fed DSGE Model

Author

Listed:
  • Miguel Faria-e-Castro

Abstract

This document contains a technical description of the dynamic stochastic general equilibrium (DSGE) model developed and maintained by the Research Division of the St. Louis Fed as one of its tools for forecasting and policy analysis. The St. Louis Fed model departs from an otherwise standard medium-scale New Keynesian DSGE model along two main dimensions: first, it allows for household heterogeneity, in the form of workers and capitalists, who have different marginal propensities to consume (MPC). Second, it explicitly models a fiscal sector endowed with multiple spending and revenue instruments, such as social transfers and distortionary income taxes. Both of these features make the model well-suited for the analysis of fiscal policy counterfactuals and monetary-fiscal interactions. We describe how the model is estimated using historical data for the US economy and how the COVID-19 pandemic is accounted for. Some examples of model output are presented and discussed.

Suggested Citation

  • Miguel Faria-e-Castro, 2024. "The St. Louis Fed DSGE Model," Working Papers 2024-014, Federal Reserve Bank of St. Louis, revised 10 Dec 2024.
    • Handle: RePEc:fip:fedlwp:98405
    DOI: 10.20955/wp.2024.014
    as

    Download full text from publisher

    File URL: https://s3.amazonaws.com/real.stlouisfed.org/wp/2024/2024-014.pdf
    File Function: Full text
    Download Restriction: no
    File URL: https://libkey.io/10.20955/wp.2024.014?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dürmeier, Stefan, 2022. "A model of quantitative easing at the zero lower bound," BERG Working Paper Series 183, Bamberg University, Bamberg Economic Research Group.
    2. Christoph Görtz & John D. Tsoukalas, 2013. "Sector Specific News Shocks in Aggregate and Sectoral Fluctuations," CESifo Working Paper Series 4269, CESifo.
    3. Aurelijus Dabusinskas & István Kónya & Stephen Millard, 2015. "How does labour market structure affect the response of economies to shocks?," CERS-IE WORKING PAPERS 1516, Institute of Economics, Centre for Economic and Regional Studies.
    4. repec:zbw:bofrdp:2016_016 is not listed on IDEAS
    5. Karadi, Peter & Nakov, Anton, 2021. "Effectiveness and addictiveness of quantitative easing," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 1096-1117.
    6. Federico Di Pace & Matthias Hertweck, 2019. "Labor Market Frictions, Monetary Policy, and Durable Goods," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 274-304, April.
    7. Christian Bittner & Diana Bonfim & Florian Heider & Farzad Saidi & Glenn Schepens & Carla Soares, 2022. "The Augmented Bank Balance-Sheet Channel of Monetary Policy," ECONtribute Discussion Papers Series 149, University of Bonn and University of Cologne, Germany.
    8. Jeanne, Olivier & Korinek, Anton, 2019. "Managing credit booms and busts: A Pigouvian taxation approach," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 2-17.
    9. Lawrence Christiano & Daisuke Ikeda, 2011. "Government Policy, Credit Markets and Economic Activity," NBER Working Papers 17142, National Bureau of Economic Research, Inc.
    10. Darracq Pariès, Matthieu & Kühl, Michael, 2016. "The optimal conduct of central bank asset purchases," Working Paper Series 1973, European Central Bank.
    11. Hirano, Tomohiro & Inaba, Masaru & Yanagawa, Noriyuki, 2015. "Asset bubbles and bailouts," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 71-89.
    12. Kang, Hyunju, 2013. "Behind the scenes of abandoning a fixed exchange rate regime," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3145-3156.
    13. Cécile Bastidon, 2013. "Un modèle théorique d'intermédiation : transmission et gestion des chocs," Post-Print hal-00806524, HAL.
    14. Alessandri, Piergiorgio & Mumtaz, Haroon, 2019. "Financial regimes and uncertainty shocks," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 31-46.
    15. Yépez, Carlos A., 2018. "Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 138-160.
    16. Matthew Rognlie & Andrei Shleifer & Alp Simsek, 2018. "Investment Hangover and the Great Recession," American Economic Journal: Macroeconomics, American Economic Association, vol. 10(2), pages 113-153, April.
    17. Onofri, Marco & Peersman, Gert & Smets, Frank, 2023. "The effectiveness of a negative interest rate policy," Journal of Monetary Economics, Elsevier, vol. 140(C), pages 16-33.
    18. Carlos A. Arango & Oscar M. Valencia, 2015. "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia 878, Banco de la Republica de Colombia.
    19. Valdivia Coria, Joab Dan, 2022. "Apalancamiento, ciclo financiero y económico [Leverage, financial and business cycles]," MPRA Paper 116849, University Library of Munich, Germany.
    20. Arruda Gustavo & Lima Daniela & Teles Vladimir Kühl, 2020. "Household borrowing constraints and monetary policy in emerging economies," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-21, January.
    21. van der Kwaak, Christiaan, 2017. "Financial Fragility and Unconventional Central Bank Lending Operations," Research Report 17005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).

    More about this item

    Keywords

    Dynamic Stochastic General Equilibrium (DSGE) models; policy analysis; New Keynesian models; TANK models; Bayesian estimation; fiscal policy;
    All these keywords.

    JEL classification:

    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:98405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anna Oates (email available below). General contact details of provider: https://edirc.repec.org/data/frbslus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.