Search: DSGE model
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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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References
3 Jan 2023
RDP
2022-09
Gibbs CG, J Hambur and G Nodari (2018), ‘DSGE Reno: Adding a Housing Block to a Small Open Economy Model’, RBA Research Discussion Paper No 2018-04. ... Rothenberg TJ (1971), ‘Identification in Parametric Models’, Econometrica, 39(3), pp 577–591
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
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The Consequences of Low Interest Rates for the Australian Banking Sector
21 Dec 2022
RDP
2022-08
Darracq Pariès et al (2020) construct a New Keynesian DSGE model that can produce a reversal rate under some calibrations. ... So BA-MARTIN has the same fundamental mechanism as in Brunnermeier and Koby (2018)'s model.
https://www.rba.gov.au/publications/rdp/2022/2022-08/full.html
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Box C: What Explains Recent Inflation Forecast Errors?
4 Nov 2022
SMP
– November 2022
Johnson and A Tambalotti (2022), Drivers of Inflation: The New York Fed DSGE Models Perspective,. ... Comprehensive econometric models – including single-equation aggregate inflation models, sectoral models and the full system economic model (MARTIN)
https://www.rba.gov.au/publications/smp/2022/nov/box-c-what-explains-recent-inflation-forecast-errors.html
The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
11 Oct 2022
RDP
2022-04
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html
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Is the Phillips Curve Still a Curve? Evidence from the Regions
31 Aug 2021
RDP
2021-09
An equation like the expectations-augmented Phillips curve also appears in many New Keynesian DSGE models, and is called the New Keynesian Phillips curve. ... Figure 3: Inflation-unemployment Trade-off in the RBA Phillips Curve Models. Model estimates.
https://www.rba.gov.au/publications/rdp/2021/2021-09/full.html
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References
14 Feb 2020
RDP
2020-02
Gibbs CG, J Hambur and G Nodari (2018), ‘DSGE Reno: Adding a Housing Block to a Small Open Economy Model’, RBA Research Discussion Paper No 2018-04. ... Evidence from a Dynamic Dividend-Discount Model’, European Central Bank Working Paper Series No
https://www.rba.gov.au/publications/rdp/2020/2020-02/references.html
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Model Dynamics
23 Aug 2019
RDP
2019-07
To provide some context for the results, we compare MARTIN's responses in the cash rate and exchange rate exercises to those from the RBA's DSGE model, MSM. ... Although the response of non-resource exports volumes in the DSGE model is similar to the
https://www.rba.gov.au/publications/rdp/2019/2019-07/model-dynamics.html
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References
10 Jul 2019
RDP
2019-05
Saunders T and P Tulip (2019), ‘A Model of the Australian Housing Markets’, RBA Research Discussion Paper No 2019-01. ... Svensson LEO (2017b), ‘Leaning against the Wind: Costs and Benefits, Effects on Debt, Leaning in DSGE Models, and a Framework
https://www.rba.gov.au/publications/rdp/2019/2019-05/references.html
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Explaining Low Inflation Using Models
20 Jun 2019
Bulletin
– June 2019
The Reserve Bank's inflation forecast models can help assess which factors have contributed most to low inflation over recent years.
https://www.rba.gov.au/publications/bulletin/2019/jun/explaining-low-inflation-using-models.html
Wealth and Consumption
21 Mar 2019
Bulletin
– March 2019
Do households consume more when their wealth increases? Our research identifies a positive and stable relationship between household wealth and consumption, largely reflecting changes in spending on motor vehicles, durable goods and other
https://www.rba.gov.au/publications/bulletin/2019/mar/wealth-and-consumption.html