{"title":"时变参数四方程 DSGE 模型","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":"{\"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}","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
摘要
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。
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.
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