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Estimated DSGE Models

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This RePEc Biblio topic is edited by Marco Del Negro (pde35). It was first published on 2018-01-10 10:04:35 and last updated on 2018-01-12 20:28:03.

Introduction by the editor

This bibliography includes some (but not all!) of the seminal contributions in the Estimated DSGE literature. It comprises the first attempts (Altug) in the late 80s, the papers that established the methodology and the "canonical" medium scale DSGE model (Schorfheide, Christiano, Eichenbaum, and Evans), the "breakthrough" (Smets and Wouters). It continues with more recent developments, from DSGEs with stochastic volatility (Justiniano and Primiceri), to estimation of non linear models (Fernandez-Villaverde and Rubio-Ramirez, Gust et al.), regime switching DSGE (Bianchi), and analysis of misspecification in DSGE models (Del Negro and Schorfheide). Caveat: the bibliography is highly subjective, and constrained by the fact that I can have at most 20 entries. I may have left out what you may think are important contributions. If so, let me know!

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Most relevant research

  1. Frank Smets & Rafael Wouters, 2007, "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, volume 97, issue 3, pages 586-606, June, DOI: 10.1257/aer.97.3.586.
  2. Frank Smets & Raf Wouters, 2003, "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, volume 1, issue 5, pages 1123-1175, September.
  3. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007, "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, volume 25, pages 123-143, April.
  4. Frank Schorfheide, 2000, "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 15, issue 6, pages 645-670.
  5. Edward P. Herbst & Frank Schorfheide, 2016, "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, number 10612, edition 1, December.
  6. Thomas A. Lubik & Frank Schorfheide, 2004, "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, volume 94, issue 1, pages 190-217, March.
  7. Alejandro Justiniano & Giorgio E. Primiceri, 2008, "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, volume 98, issue 3, pages 604-641, June.
  8. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010, "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, volume 57, issue 2, pages 132-145, March.
  9. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005, "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, volume 113, issue 1, pages 1-45, February, DOI: 10.1086/426038.
  10. Otrok, Christopher, 2001, "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, volume 47, issue 1, pages 61-92, February.
  11. Marco Del Negro & Frank Schorfheide, 2004, "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 45, issue 2, pages 643-673, May.
  12. Justiniano, Alejandro & Preston, Bruce, 2010, "Can structural small open-economy models account for the influence of foreign disturbances?," Journal of International Economics, Elsevier, volume 81, issue 1, pages 61-74, May.
  13. Altug, Sumru, 1989, "Time-to-Build and Aggregate Fluctuations: Some New Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 30, issue 4, pages 889-920, November.
  14. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007, "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, volume 74, issue 4, pages 1059-1087.
  15. Christopher Gust & Edward Herbst & David López-Salido & Matthew E. Smith, 2017, "The Empirical Implications of the Interest-Rate Lower Bound," American Economic Review, American Economic Association, volume 107, issue 7, pages 1971-2006, July.
  16. Francesco Bianchi, 2013, "Regime Switches, Agents' Beliefs, and Post-World War II U.S. Macroeconomic Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, volume 80, issue 2, pages 463-490.