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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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Cost-benefit Analysis of Leaning against the Wind
5 Jul 2019
RDP
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1512KB
unemployment rate taken from, for example, a structural macroeconomic model. A quadratic loss. ... The Riksbank’s DSGE. model, Ramses, suggests that following a 100 basis point increase in the policy interest rate that is maintained for a.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-05.pdf
Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions
29 Dec 2022
RDP
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1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... macroeconomic models. Moreover, Wolf (2020) explains that these restrictions can help mitigate the.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf
The Role of International Shocks in Australia’s Business Cycle
2 Dec 2009
RDP
PDF
372KB
Second, Fukac and Pagan (2006) argue thatrigid restrictions imposed by DSGE models on the data may yield invalid estimatesof the model’s observable shocks (that is, shocks that are mapped into ... The IRFsare simulated by sampling the empirical
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf
Non-technical summary for 'Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions'
30 Dec 2022
RDP
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535KB
RDP 2022-09 non-technical summary
https://www.rba.gov.au/publications/rdp/2022/2022-09/rdp-2022-09-non-technical-summary.pdf
Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia
13 Jun 2023
Bulletin
- June 2023
PDF
711KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/estimating-the-relative-contributions-of-supply-and-demand-drivers-to-inflation-in-australia.pdf
Reserves of Natural Resources in a Small Open Economy
2 Feb 2015
RDP
PDF
862KB
Thesetwo effects have been ignored in previous DSGE models with a natural resourcesector. ... 2.1 Theoretical. One approach used to study the effects of a resource price shock is to integrate anatural resource sector within a small open economy DSGE model
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-14.pdf
A Medium-scale Open Economy Model of Australia
18 May 2009
RDP
PDF
877KB
The main motivation for developing DSGE models reflects the appetitefor frameworks that place emphasis on sound micro foundations and theoreticalconsistency. ... Some work has been done on constructing DSGE models for Australia, withexamples being Buncic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-07.pdf
A Structural Model of Australia as a Small Open Economy
27 Feb 2007
RDP
PDF
255KB
In addition, the model relies much less than otherestimated models on a persistent shock to the risk premium to explain changesin the nominal exchange rate. ... 16. model. Neither of these studies use trade volumes to estimate their models.
https://www.rba.gov.au/publications/rdp/2007/pdf/rdp2007-01.pdf
Gauging the Uncertainty of the Economic Outlook Using Historical Forecasting Errors: The Federal Reserve’s Approach
27 Feb 2017
RDP
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1444KB
as has been done in several recent studies using vector autoregressive models or structural DSGE. ... a New Keynesian DSGE model of the Norwegian economy. Similarly, the staff of the Federal.
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-01.pdf
The Sticky Information Phillips Curve: Evidence for Australia
15 Apr 2015
RDP
PDF
737KB
At the other end of the spectrum are microfounded dynamic stochasticgeneral equilibrium (DSGE) models, which are mostly used for scenario analysis.In between these two extremes are more microfounded single-equation ... In its pure or hybrid variants, it
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-04.pdf