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Dynare: Reference Manual Version 4
Adjemian Stéphane,Bastani Houtan,Juillard Michel,Mihoubi Ferhat,Perendia George,Ratto Marco,Villlemot Sébastien +6 more
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TLDR
Dynare as discussed by the authors is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models.Abstract:
Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. The models solved by Dynare include those relying on the rational expectations hypothesis, wherein agents form their expectations about the future in a way consistent with the model. But Dynare is also able to handle models where expectations are formed differently: on one extreme, models where agents perfectly anticipate the future; on the other extreme, models where agents have limited rationality or imperfect knowledge of the state of the economy and, hence, form their expectations through a learning process. Dynare offers a user-friendly and intuitive way of describing these models. It is able to perform simulations of the model given a calibration of the model parameters and is also able to estimate these parameters given a dataset. Dynare is a free software, which means that it can be downloaded free of charge, that its source code is freely available, and that it can be used for both non-profit and for-profit purposes.read more
Citations
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Uncertainty Shocks in a Model of Effective Demand
TL;DR: This paper examined the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general equilibrium model and found that increased uncertainty about the future may indeed have played a significant role in worsening the Great Recession, which is consistent with statements by policymakers, economists and the financial press.
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Uncertainty Shocks in a Model of Effective Demand
Susanto Basu,Brent Bundick +1 more
TL;DR: The authors examined the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general-equilibrium model and found that increased uncertainty about the future may indeed have played a signicant role in worsening the Great Recession.
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OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily
Luca Guerrieri,Matteo Iacoviello +1 more
TL;DR: The toolkit as mentioned in this paper adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints, such as a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates.
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Inflation Dynamics During the Financial Crisis
TL;DR: The authors analyzed the effect of changes in firms' financial conditions on their price-setting behavior during the "Great Recession" that surrounded the financial crisis, finding that firms with weak balance sheets increased prices significantly relative to industry averages, whereas firms with strong balance sheets lowered prices.
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Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve
TL;DR: The authors review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips curve, paying particular attention to the issue of weak identi cies and weak identici cies.
References
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Handbook of Mathematical Functions
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General methods for monitoring convergence of iterative simulations
Stephen P. Brooks,Andrew Gelman +1 more
TL;DR: This work generalizes the method proposed by Gelman and Rubin (1992a) for monitoring the convergence of iterative simulations by comparing between and within variances of multiple chains, in order to obtain a family of tests for convergence.
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An estimated dynamic stochastic general equilibrium model of the euro area
Frank Smets,Raf Wouters +1 more
TL;DR: In this paper, a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area was developed and estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment, and the nominal interest rate.
An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35
Frank Smets,Raf Wouters +1 more
TL;DR: In this article, a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area was developed and estimated with Bayesian techniques using seven key macroeconomic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate.
Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
TL;DR: In this paper, spectral analysis methods from spectral analysis are used to evaluate numerical accuracy formally and construct diagnostics for convergence in the normal linear model with informative priors, and in the Tobit-censored regression model.
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Shocks and frictions in US business cycles: A Bayesian DSGE approach
Frank Smets,Rafael Wouters +1 more