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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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Stochastic Terms of Trade Volatility in Small Open Economies
2 Feb 2015
RDP
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1080KB
The empirical model described in Equation (3) can be thought of as a simplifiedreduced form version of a DSGE model with stochastic volatility, like the onedescribed in Section 5 below. ... As Fernández-Villaverdeet al (2011) discuss, in models with
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-10.pdf
Unprecedented Changes in the Terms of Trade
7 Sep 2015
RDP
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1175KB
Our calibration strategy is as follows. We calibrate the model at a quarterlyfrequency. ... This is close to the model implied growthrate of 3.4 per cent.9.
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-11.pdf
The GFC Investment Tax Break
16 Jan 2019
RDP
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1792KB
substitution: the primary mechanism through which tax incentives operate in a standard model. ... We focus on a polynomial of order 1 (i.e. a. linear model).
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-07.pdf
Trends in the Funding and Lending Behaviour of Australian Banks
2 Feb 2015
RDP
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1090KB
New theoretical models place more emphasis on the information content of credit, rather than money, for economic activity.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-15.pdf
Terms of Trade Shocks and Incomplete Information
2 Feb 2015
RDP
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940KB
2.2 Information Structure 12. 2.3 Model Solution 14. 3. Estimation 14. ... This is somewhat earlierthan the starting date for most Australian DSGE models, which typically usedata spanning the period after the adoption of a floating exchange rate in
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-09.pdf
Modelling Inflation in Australia
1 Jul 2010
RDP
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497KB
factor models (Gillitzer and Kearns 2007; Gerard and Nimark 2008) and DSGE models (Jääskelä and Nimark 2008). ... Single-equation models Benchmark models OLS. NKPC Standard. PC Mark-up. model Lagged inflation.
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-03.pdf
Okun's Law and Potential Output
1 Dec 2015
RDP
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987KB
3. Models 7 3.1 Constant Coefficients Model 7 3.2 Time-varying Coefficients Model 8. ... Fortunately, we can model this instability, as we show in the next section.
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-14.pdf
A Term Structure Decomposition of the Australian Yield Curve
28 Dec 2008
RDP
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578KB
Westawayestimates a dynamic stochastic general equilibrium (DSGE) model of a closedeconomy and finds that a decline in the volatility of economic shocks should leadto lower term premia, a result consistent with ... However,the DSGE model does not result
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-09.pdf
A State-space Approach to Australian GDP Measurement
4 Feb 2015
RDP
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904KB
We work with Model 3 in this section; Models 1 and 2 arenested in Model 3 and can be recovered by setting appropriate parameters to zero. ... The inclusion ofthe unemployment rate, which increased in all three episodes, lowers Model 3’sestimate of GDP
https://www.rba.gov.au/publications/rdp/2014/pdf/rdp2014-12.pdf
Modelling the Australian Dollar
1 Oct 2015
RDP
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1421KB
about the relationships between the exchange rate and other macroeconomic variables include: the DSGE model set out in Rees, Smith and Hall (2015), which models the exchange rate using the uncovered ... Again this is true for both the baseline model and
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-12.pdf