We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). find that can work very differently at monthly frequency compared quarterly frequency; is, we document its inversion. That is because aggregating into leads large biases in estimated parameters and, as consequen...

This paper argues that the reason that the DSGE model, which has proved so successful in convincing academic economists of its value, has made relatively few inroads into the undergraduate teaching sphere is that it fails to allow for the development of higher order educational objectives in students. The qualities which make it attractive to academics, such as the purity of its assumptions and...

In this paper we describe a numerical solution of the consumer's life-cycle problem based on value function iteration. The advantage of our approach is that it retains the versatility of the value function iteration approach and achieves a high degree of accuracy without resorting to the very computationally burdensome task of calculating a very "ne grid. There are two innovations, the "rst is ...

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a state of the art dynamic stochastic general equilibrium (DSGE) model considered in Christiano, Trabandt and Walentin (2011). We provide a full-information Bayesian estimation of the model using macro variables and extract three fundamental shocks to the economy through the model: neutral technology ...

the purpose of this paper is to examine the effects of monetary, fiscal and oil revenue shocks on macroeconomic variables in the framework of rule and discretionary monetary policy. to end this, we use a new keynesian dynamic stochastic general equilibrium (dsge) model. given the dominant role of oil in the country, we consider the role of oil shock in the model through different channels. the ...

We study the question of existence and computation of time-consistent Markov policies of quasi-hyperbolic consumers under a stochastic transition technology in a general class of economies with multidimensional action spaces and uncountable state spaces. Under standard complementarity assumptions on preferences, as well as a mild geometric condition on a transition probabilities, we prove exist...

We analyze reinforcement learning under so-called “dynamic reinforcement”. In reinforcement learning, each agent repeatedly interacts with an unknown environment (i.e., other agents), receives a reward, and updates the probabilities of its next action based on its own previous actions and received rewards. Unlike standard reinforcement learning, dynamic reinforcement uses a combination of long ...

Abstract. In this paper, we formulate a general time-inconsistent stochastic linear–quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution within the class of open-loop controls, and derive a sufficient condition...

In this paper, we study the effect of proportional transaction costs on consumptionportfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has multiple investors with stochastic labor income, heterogeneous beliefs, and heterogeneous Epstein-Zin-We...

Staggered price-setting and staggered wage-setting are commonly viewed as similar mechanisms in generating persistent real effects of monetary shocks. In this paper, we distinguish the two mechanisms in a dynamic stochastic general equilibrium framework. We show that, although the dynamic pricesetting and wage-setting equations are alike, a key parameter governing persistence is linked to the u...