{"title":"Time-Varying Parameter Four-Equation DSGE Model","authors":"Rangan Gupta, Xiaojin Sun","doi":"10.1515/snde-2023-0010","DOIUrl":null,"url":null,"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.” <jats:italic>The Review of Economics and Statistics</jats:italic> 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.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"108 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Nonlinear Dynamics & Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/snde-2023-0010","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.
Sims, E., J. C. Wu, and J. Zhang.2023."四方程新凯恩斯主义模型"。The Review of Economics and Statistics 105 (4)：931-47) 的四方程动态随机一般均衡（DSGE）模型。我们发现，四方程 DSGE 模型中变量的参数和脉冲响应都会随时间发生显著变化。允许模型参数随时间变化还能提高模型的预测性能。
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