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  1. Implementing macroprudential policy in NiGEM
    Author: Carreras, Oriol; Davis, E. Philip; Hurst, Ian; Liadze, Iana; Piggott, Rebecca; Warren, James
    Published: March 2018
    Publisher:  National Institute of Economic and Social Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 538
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NIESR discussion paper ; no. 490 (26 March 2018)
    Subjects: Macroprudential policy; house prices; credit; systemic risk; macroeconomic modelling
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  2. Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models
    Author: Holtemöller, Oliver; Schult, Christoph
    Published: [10. September 2018]
    Publisher:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale)

    business cycles, economic forecasting, expectation formation, financial frictions, macroeconomic modelling In this paper, we document the forecasting performance of estimated basic dynamic stochastic general equilibrium (DSGE) models and compare this... more

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    eBook
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 13 (2018,15)
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    business cycles, economic forecasting, expectation formation, financial frictions, macroeconomic modelling In this paper, we document the forecasting performance of estimated basic dynamic stochastic general equilibrium (DSGE) models and compare this to extended versions which consider alternative expectation formation assumptions and financial frictions. We also show how standard model features, such as price and wage rigidities, contribute to forecasting performance. It turns out that neither alternative expectation formation behaviour nor financial frictions can systematically increase the forecasting performance of basic DSGE models. Financial frictions improve forecasts only during periods of financial crises. However, traditional price and wage rigidities systematically help to increase the forecasting performance.

     
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    Volltext (kostenfrei)
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/182001
    Series: IWH discussion papers ; 2018, no. 15 (September 2018)
    Subjects: business cycles; economic forecasting; expectation formation; financial frictions; macroeconomic modelling
    Scope: 1 Online-Ressource (III, 32 Seiten, 1,76 MB), Diagramme