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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
6 Jun 2013
RDP
2013-06
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-06.html
Identifying the Empirical BVAR-DSGE Model
31 Dec 2013
RDP
2013-06
The reduced-form VAR approximation to the DSGE model and its shocks u. ... into Q and R matrices, and use this Q in the BVAR-DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/identifying-empirical-model.html
Appendix B: Log-linearised Equations of the DSGE Model
31 Dec 2013
RDP
2013-06
RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies Appendix B: Log-linearised Equations of the DSGE Model. ... I make two changes, namely eliminating the nominal exchange rate from the Taylor rule (and hence the
https://www.rba.gov.au/publications/rdp/2013/2013-06/appendix-b.html
Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
31 Dec 2013
RDP
2013-06
Research Discussion Paper – RDP 2013-06 Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies. ... of the DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/
Conclusions
31 Dec 2013
RDP
2013-06
RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies 5. ... consequently a better DSGE model should result in a better empirical BVAR-DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/conclusions.html
Methodology – Estimation
31 Dec 2013
RDP
2013-06
The structure of the DSGE model places restrictions on the parameters of the VAR. ... i. , enabling us to rewrite the empirical BVAR-DSGE model as in Equation (1).
https://www.rba.gov.au/publications/rdp/2013/2013-06/methodology-estimation.html
Appendix D: BVAR-DSGE Estimates
31 Dec 2013
RDP
2013-06
RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies Appendix D: BVAR-DSGE Estimates. ... Calibrated parameters have the same values as previously. Table D1: BVAR-DSGE Estimation Results.
https://www.rba.gov.au/publications/rdp/2013/2013-06/appendix-d.html
Empirical Application
31 Dec 2013
RDP
2013-06
The magnitude of this effect is greater in the BVAR models than in the DSGE model, and it increases with λ. ... The decline in the terms of trade predicted by the BVAR models is of a comparable magnitude to that in the DSGE model.
https://www.rba.gov.au/publications/rdp/2013/2013-06/empirical-application.html
Introduction
31 Dec 2013
RDP
2013-06
RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies 1. ... The DSGE model is a potentially useful way of formulating a prior for a VAR.
https://www.rba.gov.au/publications/rdp/2013/2013-06/introduction.html
References
31 Dec 2013
RDP
2013-06
The American Economic Review. , 97(3), pp 1021–1026. Filippeli T, R Harrison and K Theodoridis (2011), ‘Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation’, Paper presented at the ... Park WY (2011), ‘Evaluation of DSGE
https://www.rba.gov.au/publications/rdp/2013/2013-06/references.html