Dynamic stochastic general equilibrium (DSGE)
Argentine economists offer alternative to DSGE model on macro and financial interactions
BIS working paper sets out a structural model augmented with a financial sector, which the authors say is more practical in many ways than DSGE models
BoE research warns failure to capture money creation distorts DSGE models
Working paper offers ‘essential ingredients’ of a DSGE model that recognises bank lending as the source of money creation, with significant implications for economic modelling
RBA paper unpacks central bank’s DSGE model
Authors shed light on adapted DSGE model used in Australia, emphasising its deliberate simplicity so additional features can be bolted on as needed
Finnish paper: DSGE model with shadow banks sheds light on China
Bank of Finland discussion paper models Chinese monetary policy transmission using a DSGE model augmented with shadow banking and interest rate controls
‘Fiscal devaluation’ not enough to solve competitiveness problems, IMF paper finds
Research finds rearranging taxes to shift the burden overseas has a muted effect on output, but may be useful as part of a broader package of structural reforms
New York Fed blog to make DSGE forecasts public
Federal Reserve Bank of New York publishing five-part series on DSGE model and how it is used to forecast inflation and output in the US economy
Fed transcripts reveal forecasting travails
Crisis year transcripts reveal extent to which the Federal Reserve struggled to predict the depth of recession and deflation, raising questions about the usefulness of underlying models
IMF paper finds macro-prudential policy can offset loss of monetary autonomy
Researchers build DSGE model of the eurozone to find optimal monetary and macro-prudential mix; find macro-prudential policy boosts welfare and ‘lends a hand’ to monetary policy
Bundesbank paper presents redesigned DSGE model to tackle unconventional policies
Researchers develop DSGE model using two types of banks, repos and haircuts to yield a better understanding of unconventional monetary policy
Spanish paper preaches caution over DSGE models
Researcher finds that DSGE models would not have proved any more use to policy-makers in the 1970s than their ‘old-style’ Phillips curves; warns against putting too much faith in their prescriptions
Nalm Asia 2013: Central banks should to look to ‘complexity science' to model economic systems
Central banks need to rethink their approaches to modelling financial markets if they want to deploy better predictive models in the future, according to speakers at Nalm Asia 2013
Swedish paper finds benefit in increasing lag-length in VARs
Working paper says it is possible to estimate structural vector autoregressions with long lags and still obtain precise structural predictions
RBA researchers test new BVAR-DSGE method on Australia
New modelling technique aims to overcome small, open economy issues in previous attempts to combine Bayesian VAR and DSGE methods
Bank of Mexico paper backs credit multiplier as amplification mechanism in DSGE
Working paper finds that credit multipliers do produce the amplification effects expected of them in a DSGE model and are not failing as some suggest
New York Fed paper launches DSGE defence
Staff report says the standard DSGE model produced ‘surprisingly accurate’ forecasts during the financial crisis and subsequent recovery
IMF paper on enhancing DSGE modelling
Fund study identifies benefits from adopting a richer set of data in dynamic stochastic general equilibrium models
BoE paper identifies drivers of energy price volatility
Bank of England study says risk premium and productivity shocks operated in inverse directions on inflation in the UK
ECB paper on alternative DSGE models
European Central Bank study highlights methods to improve macroeconomic forecasts and monetary policy decisions
Phasing in Basel III rules eases economic costs: IMF paper
Fund study shows that implementing higher capital and liquidity requirements over a lengthy period of time can help reduce the macroeconomic costs of enforcing such rules
Capital constraints limits firm productivity: BoE paper
Bank of England study shows recession in United Kingdom limited firms’ ability to finance production costs
Riksbank paper on new DSGE algorithm
Riksbank study documents new forecasting algorithm for monetary policy model
Riksbank on its econometric model Moses
Riksbank study documents simulations using central bank’s econometric model Moses
Philly Fed reviews DSGE models
Philadelphia Federal Reserve study examines mis-specification of money-demand shocks in dynamic stochastic general equilibrium models
Bank of Canada to government: cut tax, don’t spend
Bank of Canada study shows tax cuts are better than government spending for boosting the economy