| 000 | 01981nab a2200265 c 4500 | ||
|---|---|---|---|
| 999 |
_c142356 _d142356 |
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| 003 | ES-MaIEF | ||
| 005 | 20200818112103.0 | ||
| 007 | ta | ||
| 008 | 200818t2020 us ||||| |||| 00| 0|eng d | ||
| 040 |
_aES-MaIEF _bspa _cES-MaIEF |
||
| 041 | _aeng | ||
| 100 | 1 |
_968127 _aDrautzburg, Thorsten |
|
| 245 | 2 |
_aA narrative approach to a fiscal DSGE model _c Thorsten Drautzburg |
|
| 260 | _c2020 | ||
| 500 | _aDisponible también en formato electrónico. | ||
| 500 | _aResumen. | ||
| 504 | _aBibliografía. | ||
| 520 | _aStructural 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 | ||
| 650 | 4 |
_948067 _aPOLITICA FISCAL |
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| 650 | 4 |
_948062 _aPOLITICA MONETARIA |
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| 650 | 4 |
_947776 _aMODELOS ECONOMETRICOS |
|
| 773 | 0 |
_9162504 _oOP 2132/2020/2 _tQuantitative economics : journal of the Econometric Society _w(IEF)134784 _x 1759-7323 [print] _gv. 11, n. 2, May 2020, p. 801-837 |
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| 856 | _uhttps://onlinelibrary.wiley.com/doi/epdf/10.3982/QE1083 | ||
| 942 | _cART | ||