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RBA Glossary definition for DSGE model
DSGE model – Dynamic Stochastic General Equilibrium model
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Introduction
1 Jun 2015
RDP
2015-04
At the other end of the spectrum are microfounded dynamic stochastic general equilibrium (DSGE) models, which are mostly used for scenario analysis. ... In its pure or hybrid variants, it is also a central element of DSGE models used by most central
https://www.rba.gov.au/publications/rdp/2015/2015-04/introduction.html
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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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The FRB/US Model
10 Dec 2014
RDP
2014-02
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 ... More important, Coenen et al (2012,
https://www.rba.gov.au/publications/rdp/2014/2014-02/model.html
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Future Directions in Financial Stability Analysis: Learning from Others, Learning from the Past
9 Oct 2014
Speech
Speech by Luci Ellis to the Paul Woolley Centre for the Study of Capital Market Dysfunctionality Conference, Sydney
https://www.rba.gov.au/speeches/2014/sp-so-091014.html
Exchange Rate Movements and Economic Activity
20 Mar 2014
Bulletin
– March 2014
This article discusses estimates of the effect of movements in the real exchange rate on economic activity and inflation in Australia. The range of estimates suggests that a temporary 10 per cent depreciation of the exchange rate increases the level
https://www.rba.gov.au/publications/bulletin/2014/mar/5.html
Appendix B: Log-linearised Equations of the DSGE Model
31 Dec 2013
RDP
2013-06
RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies Appendix B: Log-linearised Equations of the DSGE Model. ... I make two changes, namely eliminating the nominal exchange rate from the Taylor rule (and hence the
https://www.rba.gov.au/publications/rdp/2013/2013-06/appendix-b.html
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Estimating the Models
31 Dec 2013
RDP
2013-07
RDP 2013-07: An Empirical BVAR-DSGE Model of the Australian Economy 3. ... There are 10 observable variables in the DSGE model, but 12 structural shocks.
https://www.rba.gov.au/publications/rdp/2013/2013-07/estimating-models.html
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Research Discussion Papers – 2013
31 Dec 2013
RDP
Alexandre Dmitriev and Ivan Roberts. RDP 2013-07 An Empirical BVAR-DSGE Model of the Australian Economy. ... Sean Langcake and Tim Robinson. RDP 2013-06 Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies.
https://www.rba.gov.au/publications/rdp/2013/
Motivation
31 Dec 2013
RDP
2013-14
Download the Paper 863. KB. One approach used to study the effects of a resource price shock is to integrate a natural resource sector within a small open economy DSGE model. ... Similar abstractions are also common in DSGE models developed by central
https://www.rba.gov.au/publications/rdp/2013/2013-14/motivation.html
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Estimation
31 Dec 2013
RDP
2013-09
where the state vector. collects the model's theoretical variables and the vector. ... This is somewhat earlier than the starting date for most Australian DSGE models, which typically use data spanning the period after the adoption of a floating exchange
https://www.rba.gov.au/publications/rdp/2013/2013-09/estimation.html
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