Finance and Economics Discussion Series: Practical Tools for Policy Analysis in DSGE Models with Missing Channels - Couverture souple

Caldara, Dario

 
9781288699445: Finance and Economics Discussion Series: Practical Tools for Policy Analysis in DSGE Models with Missing Channels
Couverture souple
ISBN 10 : 1288699441 ISBN 13 : 9781288699445
Editeur : BiblioBazaar, LLC, 2013

Synopsis

In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors, that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by matching impulse responses of the augmented DSGE model to those generated by an auxiliary model. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy and housing sectors.

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Éditeur
BiblioBazaar, LLC
Date d'édition
2013
Langue
anglais
ISBN 10 
1288699441
ISBN 13 
9781288699445
Reliure
Broché
Nombre de pages
52
Coordonnées du fabricant
non disponible
Personne responsable
non disponible