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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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A Medium-scale Open Economy Model of Australia
18 May 2009
RDP
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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
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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
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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
Learning in an Estimated Small Open Economy Model
30 Mar 2010
RDP
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279KB
i. Table of Contents. 1. Introduction 1. 2. A Small Open Economy DSGE Model 4. ... This approachhas been employed to estimate rational expectations DSGE models in the recentliterature.7.
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-02.pdf
Estimation and Solution of Models with Expectations and Structural Changes
28 Jan 2015
RDP
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1110KB
m. Accordingly, the initial model is replaced by a new one at Tm, following whichthere may be a sequence of models until T m, when a final model is in place. ... Cùrdia V and D Finocchiaro (2005), ‘An Estimated DSGE Model forSweden with a Monetary
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-08.pdf
Unprecedented Changes in the Terms of Trade: Online Appendix
1 Sep 2015
RDP
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407KB
RDP 2015-11 online appendix
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-11-appendix.pdf
The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets
14 Feb 2020
RDP
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1878KB
models that are subject to endogeneity problems. For instance, the central bank may raise interest. ... Substituting the two expressions, we obtain a regression model that we can explore using local.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-02.pdf
Household Saving in Australia
4 Feb 2015
RDP
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1171KB
5. Conclusion 25. Appendix A: A Simple Model of Age, Cohort and Time Effects 26. ... so we choose to include it in the form discussed above in our main model.
https://www.rba.gov.au/publications/rdp/2014/pdf/rdp2014-03.pdf
Fiscal Policy and the Inflation Target
4 Feb 2015
RDP
PDF
847KB
Coenen et al (2012) present a more detailed comparison of structural (mainly DSGE) models used by central banks, international organisations, and academics; they found FRB/US fiscal multipliers at fixed nominal ... 18. to those of recent DSGE models,
https://www.rba.gov.au/publications/rdp/2014/pdf/rdp2014-02.pdf