Time-Varying Parameter Four-Equation DSGE Model-Reference-Cited by-同舟云学术

Time-Varying Parameter Four-Equation DSGE Model

Published:2024-05-06 Issue: Volume: Page:
ISSN:1081-1826
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Gupta Rangan¹,Sun Xiaojin²

Affiliation:

1. Department of Economics , 56410 University of Pretoria , Pretoria , South Africa

2. Department of Economics and Finance , University of Texas at El Paso , El Paso , TX , USA

Abstract

Abstract We build the time-varying parameter feature into the (Sims, E., J. C. Wu, and J. Zhang. 2023. “The Four-Equation New Keynesian Model.” The Review of Economics and Statistics 105 (4): 931–47) four-equation Dynamic Stochastic General Equilibrium (DSGE) model in this paper. We find that both parameters and impulse responses of the variables in the four-equation DSGE model exhibit significant variation over time. Allowing model parameters to vary over time also improves the model’s forecasting performance.

Publisher

Walter de Gruyter GmbH

Link

https://www.degruyter.com/document/doi/10.1515/snde-2023-0010/pdf

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