Robust Predictions for DSGE Models with Incomplete Information
نویسندگان
چکیده
We provide predictions for DSGE models with incomplete information that are robust across structures. Our approach maps an incomplete-information model into a full-information economy time-varying expectation wedges and provides conditions ensure the rationalizable by some structure. Using our approach, we quantify potential importance of as source business cycle fluctuations in otherwise frictionless model. uncovers central role firm-specific demand shocks supporting aggregate confidence fluctuations. Only if firms face unobserved local can account significant portion US cycle. (JEL D82, D83, E13, E31, E32)
منابع مشابه
Relaxed Abduction: Robust Information Interpretation for Incomplete Models
This paper introduces relaxed abduction, a novel non-standard reasoning task for description logics. Although abductive reasoning over description logic knowledge bases has been applied successfully to various information interpretation tasks, it typically fails to provide adequate (or even any) results when confronted with spurious information or incomplete models. Relaxed abduction addresses ...
متن کاملForecasting with DSGE Models
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area-Wide Model (NAWM) that has been designed f...
متن کاملPredictive Likelihood Comparisons with DSGE and DSGE-VAR Models
In this paper we treat the issue of forecasting with DSGE and DSGE-VAR models, with particular attention to Bayesian estimation of the predictive distribution and its mean and covariance. As a novel contribution to the forecasting literature, which extends beyond (log-linearized) DSGE models and DSGE-VARs, we show how the value of the h-step-ahead marginal and joint predictive likelihood for a ...
متن کاملCredit Risk Models with Incomplete Information
Incomplete information is at the heart of information-based credit risk models. In this paper, we rigorously define incomplete information with the notion of “delayed filtrations”. We characterize two distinct types of delayed information, continuous and discrete: the first generated by a time change of filtrations and the second by finitely many marked point processes. This notion unifies the ...
متن کاملModels for Incomplete and Probabilistic Information
This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Pennsylvania's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or r...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: American Economic Journal: Macroeconomics
سال: 2023
ISSN: ['1945-7707', '1945-7715']
DOI: https://doi.org/10.1257/mac.20200053