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|c 5.00 USD
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|z 9781463904210
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|a 1018-5941
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|a Kryshko, Maxym.
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|a Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model /
|c Maxym Kryshko.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2011.
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| 300 |
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|a 1 online resource (60 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U.S.data on real output, inflation, nominal interest rates, measures of inverse money velocity, and a large panel of informational series, we compare the data-rich DSGE model with the regular - few observables, perfect measurement - DSGE model in terms of deep parameter estimates, propagation of monetary policy and technology shocks and sources of business cycle fluctuations. We document that the data-rich DSGE model generates a higher implied duration of Calvo price contracts and a lower slope of the New Keynesian Phillips curve. To reduce the computational costs of the likelihood-based estimation, we employed a novel speedup as in Jungbacker and Koopman (2008) and achieved the time savings of 60 percent.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2011/219
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2011/219/001.2011.issue-219-en.xml
|z IMF e-Library
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