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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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The Data-generating Process
31 Dec 2010
RDP
2010-01
Our model also incorporates a wider number of shocks than both Carvalho (2006) and Nakamura and Steinsson (2009), many of which are typically found in DSGE models. ... We can also compare the four models by examining their impulse response functions.
https://www.rba.gov.au/publications/rdp/2010/2010-01/data-generating-process.html
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Research Discussion Papers 2001–2010
31 Dec 2001
RDP
Philip Liu. RDP 2008-07 A Medium-scale Open Economy Model of Australia. ... Ken Kuttner and Tim Robinson. RDP 2008-04 A Small BVAR-DSGE Model for Forecasting the Australian Economy.
https://www.rba.gov.au/publications/rdp/2001-2010.html
References
31 Dec 2015
RDP
2015-13
Hurvich CM and C-L Tsai (1989), ‘Regression and Time Series Model Selection in Small Samples’,. ... Journal of Applied Econometrics. , 17(3), pp 291–299. Saijo H (2013), ‘Estimating DSGE Models Using Seasonally Adjusted and Unadjusted Data’,
https://www.rba.gov.au/publications/rdp/2015/2015-13/references.html
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Introduction
31 Dec 2010
RDP
2010-03
models (Gillitzer and Kearns 2007; Gerard and Nimark 2008) and DSGE models (Jääskelä and Nimark 2008). ... Accordingly, it is appropriate to supplement the single-equation approach with results from more structural econometric models such as the
https://www.rba.gov.au/publications/rdp/2010/2010-03/introduction.html
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References
31 Dec 2015
RDP
2015-14
Fleischman CA and JM Roberts (2011), ‘From Many Series, One Cycle: Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model’, Board of Governors of the Federal Reserve System ... Vetlov I, T Hlédik, M Jonsson, H
https://www.rba.gov.au/publications/rdp/2015/2015-14/references.html
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Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change
1 Sep 2013
RDP
2013-11
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-11/
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References
31 Dec 2014
RDP
2014-12
An S and F Schorfheide (2007), ‘Bayesian Analysis of DSGE Models’,. ... Journal of Productivity Analysis. , 25(3), pp 213–229. Komunjer I and S Ng (2011), ‘Dynamic Identification of Dynamic Stochastic General Equilibrium Models’,.
https://www.rba.gov.au/publications/rdp/2014/2014-12/references.html
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References
22 Jun 2018
RDP
2018-07
DSGE Reno: Adding a Housing Block to a Small Open Economy Model’, RBA Research Discussion Paper No 2018-04. ... Li SM and AH Spencer (2016), ‘Effectiveness of the Australian Fiscal Stimulus Package: A DSGE Analysis’, Economic Record, 92(296), pp
https://www.rba.gov.au/publications/rdp/2018/2018-07/references.html
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Central Counterparty Links and Clearing System Exposures
1 Oct 2013
RDP
2013-12
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-12/
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A Proxy for Credit Frictions
31 Dec 2012
RDP
2012-02
Busch, Scharnagl and Scheithauer 2010; Helbling et al 2010; Tamási and Világi 2011); DSGE models (Queijo von Heideken 2009; Gilchrist and Zakrajšek 2011); and panel regressions using firm and industry level ... The residuals from this panel regression
https://www.rba.gov.au/publications/rdp/2012/2012-02/proxy-credit-frictions.html
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