Drautzburg, Thorsten
A narrative approach to a fiscal DSGE model / Thorsten Drautzburg .-- , 2020
Disponible también en formato electrónico.
Resumen.
Bibliografía.
Structural DSGE models are used for analyzing both policy and the sources ofbusiness cycles. Conclusions based on full structural models are, however, poten-tially affected by misspecification. A competing method is to use partially identi-fied SVARs based on narrative shocks. This paper asks whether both approachesagree. Specifically, I use narrative data in a DSGE-SVAR that partially identify pol-icy shocks in the VAR and assess the fit of the DSGE model relative to this nar-rative benchmark. In developing this narrative DSGE-SVAR, I develop a tractableBayesian approach to proxy VARs and show that such an approach is valid formodels with a certain class of Taylor rules. Estimating a DSGE-SVAR based on astandard DSGE model with fiscal rules and narrative data, I find that the DSGEmodel identification is at odds with the narrative information as measured by themarginal likelihood. I trace this discrepancy to differences in impulse responses,identified historical shocks and policy rules. The results indicate monetary ac-commodation of fiscal shocks
POLITICA FISCAL
POLITICA MONETARIA
MODELOS ECONOMETRICOS
Quantitative economics : journal of the Econometric Society 1759-7323 [print]v. 11, n. 2, May 2020, p. 801-837
A narrative approach to a fiscal DSGE model / Thorsten Drautzburg .-- , 2020
Disponible también en formato electrónico.
Resumen.
Bibliografía.
Structural DSGE models are used for analyzing both policy and the sources ofbusiness cycles. Conclusions based on full structural models are, however, poten-tially affected by misspecification. A competing method is to use partially identi-fied SVARs based on narrative shocks. This paper asks whether both approachesagree. Specifically, I use narrative data in a DSGE-SVAR that partially identify pol-icy shocks in the VAR and assess the fit of the DSGE model relative to this nar-rative benchmark. In developing this narrative DSGE-SVAR, I develop a tractableBayesian approach to proxy VARs and show that such an approach is valid formodels with a certain class of Taylor rules. Estimating a DSGE-SVAR based on astandard DSGE model with fiscal rules and narrative data, I find that the DSGEmodel identification is at odds with the narrative information as measured by themarginal likelihood. I trace this discrepancy to differences in impulse responses,identified historical shocks and policy rules. The results indicate monetary ac-commodation of fiscal shocks
POLITICA FISCAL
POLITICA MONETARIA
MODELOS ECONOMETRICOS
Quantitative economics : journal of the Econometric Society 1759-7323 [print]v. 11, n. 2, May 2020, p. 801-837