A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan

Japan and the World Economy - Tập 40 - Trang 1-8 - 2016
Hirokuni Iiboshi1
1Tokyo Metropolitan University, Japan

Tài liệu tham khảo

Barnanke, 1999, The financial accelerator in quantitative business cycle framework, vol. 1C, 1341 Consolo, 2009, On the statistical identification of DSGE models, J. Econom., 150, 99, 10.1016/j.jeconom.2009.02.012 Del Negro, 2014, Dynamic prediction pools: an investigation of financial frictions and forecasting performance Del Negro, 2004, Priors From general equilibrium models for VARs, Int. Econ. Rev., 45, 643, 10.1111/j.1468-2354.2004.00139.x Del Negro, 2009, Monetary policy analysis with potentially misspecified models, Am. Econ. Rev., 99, 1415, 10.1257/aer.99.4.1415 Del Negro, 2007, On the fit of new Keynesian models, J. Bus. Econ. Stat., 25, 123, 10.1198/073500107000000016 Geweke, 1999, Using simulation methods for bayesian econometric models: inference, development, and communication, Econom. Rev., 18, 1, 10.1080/07474939908800428 Geweke, 2011, Optimal prediction pools, J. Econom., 164, 130, 10.1016/j.jeconom.2011.02.017 Kaihatsu, 2014, Sources of business fluctuations: finanical or technology shocks?, Rev. Econ. Dyn., 17, 224, 10.1016/j.red.2013.08.001 Kaihatsu, 2014, What caused Japan's Great Stagnation in the 1990? Evidence from an estimated DSGE model., J. Jpn. Int. Econ., 34, 217, 10.1016/j.jjie.2014.08.002 Rubio-Ramirez, 2010, Structural vector autoregressions: theory of identification and algorithms for inference, Rev. Econ. Stud., 77, 665, 10.1111/j.1467-937X.2009.00578.x Sims, 1998, Bayesian methods for dynamic multivariate models, Int. Econ. Rev., 39, 949, 10.2307/2527347 Waggoner, 2012, Confronting model misspecification in macroeconomics, J. Econom., 171, 167, 10.1016/j.jeconom.2012.06.013 Zellner, 1971