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RBA Glossary definition for DSGE model

DSGE model – Dynamic Stochastic General Equilibrium model

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A Small Open Economy DSGE Model

18 Dec 2008 RDP 2008-08
Philip Liu
The parameters of the DSGE model are estimated using constrained maximum likelihood (ML). ... Second, Fukac and Pagan (2006) argue that rigid restrictions imposed by DSGE models on the data may yield invalid estimates of the model's observable shocks
https://www.rba.gov.au/publications/rdp/2008/2008-08/sma-ope-eco-model.html

The Role of International Shocks in Australia's Business Cycle

18 Dec 2008 RDP 2008-08
Philip Liu
Research Discussion Paper – RDP 2008-08 The Role of International Shocks in Australia's Business Cycle. Philip Liu. December 2008. 373. KB. Related Information. The materials on this webpage are subject to copyright and their use is subject to the
https://www.rba.gov.au/publications/rdp/2008/2008-08/

Introduction

18 Dec 2008 RDP 2008-08
Philip Liu
that are consistent with the sign restrictions derived from the estimated DSGE model. ... Section 3 outlines the estimated small open economy DSGE model together with the data used in the analysis.
https://www.rba.gov.au/publications/rdp/2008/2008-08/introduction.html

Conclusion

18 Dec 2008 RDP 2008-08
Philip Liu
Download the Paper 373. KB. This paper uses a small open economy model to investigate the sources of business cycle fluctuations for the Australia economy. ... A SVAR is identified using robust sign restrictions derived from an estimated small structural
https://www.rba.gov.au/publications/rdp/2008/2008-08/conclusion.html

Sign-restricted VAR Results

18 Dec 2008 RDP 2008-08
Philip Liu
In contrast to the DSGE model, the depreciation of the exchange rate is more gradual, reaching a peak at eight quarters before returning to equilibrium. ... The response of the domestic economy following a foreign inflation shock is very similar to that
https://www.rba.gov.au/publications/rdp/2008/2008-08/sig-res-results.html

Estimating a SVAR Model

18 Dec 2008 RDP 2008-08
Philip Liu
One noticeable feature of standard empirical DSGE models is that they almost never imply zero-type restrictions. ... This is also the case with the estimated structural model presented in Section 3.
https://www.rba.gov.au/publications/rdp/2008/2008-08/est-model.html

References

18 Dec 2008 RDP 2008-08
Philip Liu
Dungey M and AR Pagan (forthcoming), ‘Extending an SVAR Model of the Australian Economy’, Economic Record. ... Fukac M and A Pagan (2006), ‘Issues in Adopting DSGE Models for Use in the Policy Process’, ANU Centre for Applied Macroeconomic
https://www.rba.gov.au/publications/rdp/2008/2008-08/references.html