Bayesian Estimation of a DSGE Model with Asset Prices

Keywords

Dynamic stochastic general equilibrium, Econometrics, Economics, Bayesian probability, Bayes estimator

References

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• DYNARE: A program for the simulation of rational expectation modelsMichel Juillard — 2001
• An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35Frank Smets, Raf Wouters — 2002
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• Computing the risky steady state of DSGE modelsOliver de Groot — 2013
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• Measures of per Capita Hours and Their Implications for the Technology‐Hours DebateNeville Francis, Valerie Ramey — 2009
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• Shocks and Frictions in Us Business Cycles: A Bayesian DSGE ApproachFrank Smets, Rafael Wouters — 2007
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Cited by

• Cyclical Asset Returns in the Consumption and Investment Goods SectorBurkhard Heer, Alfred Maußner, Bernd Suessmuth — 2017
• Risky Linear ApproximationsAlexander Meyer‐Gohde — 2014
• Uncertainty Shocks, Asset Supply and Pricing over the Business CycleFrancesco Bianchi, Cosmin Ilut, Martin Schneider — 2018
• Wage Rigidity: A Quantitative Solution to Several Asset Pricing PuzzlesJack Favilukis, Xiaoji Lin — 2016
• Financial Markets and the Macroeconomy.Harald Uhlig — 2011
• The Macroeconomic Impact of Structural Reforms in Product and Labour Markets: Trade-Offs and ComplementaritiesDimitris Papageorgiou, Evagelia Vourvachaki — 2015
• Boggem: A Dynamic Stochastic General Equilibrium Model for Policy SimulationsDimitris Papageorgiou — 2014
• Time-Varying Volatility, Financial Intermediation and Monetary PolicySandra Eickmeier, Norbert Metiu, Esteban Prieto — 2016
• Macroeconomic effects of structural reforms and fiscal consolidations: Trade-offs and complementaritiesDimitris Papageorgiou, Evangelia Vourvachaki — 2017
• Application of the Bayesian DSGE model to the international tourism sector: evidence from Thailand's economic cycle.Satawat Wannapan, Chukiat Chaiboonsri, Songsak Sriboonchitta — 2018
• The driving forces of the current Greek great depressionGeorge Economides, Dimitris Papageorgiou, Apostolis Philippopoulos — 2017
• Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around ItPierlauro Lopez, David López‐Salido, Francisco Vazquez‐Grande — 2022
• Monetary-Fiscal Policy Interaction and Fiscal Inflation: A Tale of Three CountriesMartin Kliem, Alexander Kriwoluzky, Samad Sarferaz — 2015
• Time-varying volatility, financial intermediation and monetary policySandra Eickmeier, Norbert Metiu, Esteban Prieto — 2016
• The Greek Great Depression: A General Equilibrium Study of its DriversGeorge Economides, Dimitris Papageorgiou, Apostolis Philippopoulos — 2017
• Monetary Policy and the Term Structure of Interest RatesM. Kliem, Alexander Meyer-Gohde — 2013
• IWH Discussion PapersAndrea Gauselmann, Felix Noth — 2015

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