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RBA Glossary definition for DSGE model

DSGE model – Dynamic Stochastic General Equilibrium model

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A Multi-sector Model of the Australian Economy

14 May 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
interest rates, modelling, monetary policy, money, open economy. This paper describes the dynamic stochastic general equilibrium (DSGE) model currently in use at the Reserve Bank of Australia. ... The model extends previous DSGE models of the Australian
https://www.rba.gov.au/publications/rdp/2015/2015-07.html

Introduction

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
Within the set of internal models, the DSGE model is most often used for scenario analysis rather than forecasting. ... More recently, Jääskelä and Nimark (2011) constructed a medium-scale DSGE model that, along with other models, was used for
https://www.rba.gov.au/publications/rdp/2015/2015-07/introduction.html

References

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
Download the Paper 1.28. MB. An S and F Schorfheide (2007), ‘Bayesian Analysis of DSGE Models’,. ... Del Negro M and F Schorfheide (2013), ‘DSGE Model-Based Forecasting’, in G Elliott and A Timmermann (eds),.
https://www.rba.gov.au/publications/rdp/2015/2015-07/references.html

Conclusion

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
Download the Paper 1.28. MB. This paper has outlined an estimated DSGE model of the Australian economy currently in use at the Reserve Bank of Australia. ... The model differs from other Australian DSGE models through the inclusion of multiple sectors,
https://www.rba.gov.au/publications/rdp/2015/2015-07/conclusion.html

Estimation

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
Non-tradeable. 58.5. 58.4. Other tradeable. 27.8. 27.7. Mining. 13.7. 13.9. To estimate the model, we follow standard practice in the DSGE literature and use ... See An and Schorfheide (2007) for a description of Bayesian DSGE model estimation.
https://www.rba.gov.au/publications/rdp/2015/2015-07/estimation.html

The Dynamics of the Estimated Model

1 Jun 2015 RDP 2015-07
Daniel Rees, Penelope Smith and Jamie Hall
The response of economic activity to monetary policy shocks is larger in our model than in the the DSGE models of Buncic and Melecky (2008) and Jääskelä and Nimark (2011) and ... The model's productivity shocks explain much of the variation in all
https://www.rba.gov.au/publications/rdp/2015/2015-07/dynamics-estimated-model.html