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应对宏观经济模型的误设AI 解读

We estimate a Markov-switching mixture of two familiar macroeconomic models: A richly parameterized DSGE model and a corresponding BVAR model. We show that the Markov-switching mixture model dominates both individual models and improves the fit considerably. Our estimation indicates that the DSGE model plays an important role only in the late 1970s and the early 1980s. We show how to use the mixture model as a data filter for estimation of the DSGE model when the BVAR model…

宏观经济波动的来源：状态转换 DSGE 方法AI 解读

We examine the sources of macroeconomic fluctuations by estimating a variety of richly parameterized DSGE models within a unified framework that incorporates regime switching both in shock variances and in the inflation target. We propose an efficient methodology for estimating regime-switching DSGE models. Our counterfactual exercises show that changes in the inflation target are not the main driving force of high inflation in the 1970s. The model that best fits the U.S.…

购买力平价偏离半衰期的不确定性量化AI 解读

Abstract We propose a Bayesian framework in which the uncertainty about the half‐life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half‐life under the recent float intended to capture widely held views among economists. We derive the posterior probability distribution of the half‐life under this consensus prior and confirm the presence of substantial uncertainty…

脉冲响应的误差带AI 解读

We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about…

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