Dynamic stochastic general equilibrium (DSGE)
RBA paper offers new way to add housing sector to DSGE models
Authors find their model delivers “reasonable” forecast performance
BIS’s da Silva defends DSGE modelling efforts
The models have not performed as badly as critics claim and new research efforts are creating fresh possibilities, says BIS’s deputy general manager
Financial frictions key to DSGE performance – NY Fed paper
Post-crisis period was a harsh testing ground for structural models, but the New York Fed’s DSGE model was at least equal to private forecasts, researchers say
Bank of Korea unveils changes to its DSGE model
The existing model’s accuracy was reduced following structural changes in the economy
Economists need to better understand macrofinancial links – BIS paper
Stijn Claessens and Ayhan Kose call for “new generation of models” among other research to solve ongoing puzzles
Cyclical price analysis needs major improvements – ECB paper
Researchers say DSGE models’ handling of housing prices is subject to errors
Book notes: The End of Theory, by Richard Bookstaber
Bookstaber provides an entertaining introduction to agent-based modelling – a potential new front for economics
Veteran economists weigh in on ‘rebuilding’ macro theory
Economists including Olivier Blanchard, Andy Haldane and Simon Wren-Lewis tackle the question of how – and whether – to save the DSGE model
Fed paper sets out model of financial panics
Mark Gertler, Nobuhiro Kiyotaki and Andrea Prestipino examine banking panics in a DSGE model
Haldane outlines ‘interdisciplinary’ economics model
Andy Haldane and Arthur Turrell describe a way of broadening the scope of economics’ limited array of core models
Sri Lanka on track to flexible targeting – deputy governor
The central bank has much of the infrastructure in place, but the pace needs to increase if 2020 deadline is to be met, says Weerasinghe
Interview: Edward Prescott
The Nobel Prize-winner speaks to Daniel Hinge about time inconsistency and real business cycle theory, and explains why there is no ‘productivity puzzle’
BoE paper adds time-varying parameters to DSGE model
Method allows parameters to shift over time as the structure of the economy changes, yielding improvements to forecasting
IMF’s Adrian sketches macro-financial model of term premium
Tobias Adrian outlines a new way of modelling financial cycles within a New Keynesian framework, which produces a good fit with empirical observations on the term structure
Survey data can help with modelling expectations – BoJ paper
Discussion paper outlines method of incorporating survey data as a proxy for expectations, with “promising” results for inflation modelling in the US and Japan
Book notes: Can We Avoid Another Financial Crisis?, by Steve Keen
Steve Keen challenges “mainstream” economic thinking in this concise book, hoping to shift the political debate on debt
BoE economists criticise DSGE inflation modelling
Team including MPC member Kristin Forbes criticises structural modelling approaches for failing to properly account for trend inflation
IMF economist builds agent-based banking system model
Model captures the diversity of agents and the use of rules of thumb; the author says the modular nature allows “straightforward” enhancements
Central banks should test robustness of their main macro models – paper
Bank of Canada paper says users of large-scale macroeconomic models should develop tools to assess whether non-linearities could be distorting results
Scrap micro-foundations to repair macroeconomics – Steve Keen
Professor says economy should be viewed as a dynamic system with credit playing a crucial role, arguing we should ditch models such as DSGE
Fed’s Fischer: econometric models are still flawed
US Fed vice-chair says models still cannot capture the complexities and rapid evolution of the economy – despite his hopes as an undergraduate
Poloz considers the future of economic modelling
Theoretical and empirical two-pronged approach likely to stay, governor says, though economists are still on the hunt for the “holy grail” single model
RBNZ paper sheds light on core macro model
'NZSIM' is a semi-structural model, with a DSGE core augmented with a handful of additional equations
Haldane turns to other disciplines to solve big economic questions
BoE chief economist calls for an interdisciplinary approach to tackling the problems economics faces in understanding complex systems; warns of shortcomings in micro-founded models