We estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on United Kingdom data. Our estimates suggest that price stickiness is a more important source of nominal rigidity in the U.K. than wage stickiness. Our estimates of parameters governing investment behavior are only well behaved when post-1979 observations are included, which reflects govern...

We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has since disappeared. Second, we show that within the framework of a dynamic stochastic general equilibrium ...

T his study investigated the effect of international labor migration on Iran’s economy using a neo-classical growth model with the assumption of labor heterogeneity within the framework of dynamic stochastic general equilibrium model. After solving the model, the obtained equations were linearized and different values were assigned to the parameters according to Iran’s economy inform...

After dropping the standard general-equilibrium assumption that preference orders discount future consumption faster than the economy grows and dropping continuity and weakening utility representation, we establish commodity prices and consumptions that approach approximate equilibrium to within any practical tolerance. The Weiza cker-overtaking criterion defines the best-known non-standarddisc...

Tax rates have fluctuated considerably since federal income taxes were introduced in the U.S. in 1913. This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to clear the asset markets. These price adjustmen...

Fully rational agents are allowed to optimize over expectations formation technologies in an environment where it is costly to collect and process information. It is shown in a general equilibrium framework that optimization over expectations by rational and forward oriented agents can lead to endogenous instability. Specifically, we illustrate that resulting equilibria can be both chaotic and ...

This introduces the symposium on dynamic general equilibrium. © 2009 Elsevier Inc. All rights reserved. JEL classification: E10; E20; E30

Within the non-stochastic dynamic general equilibrium model framework this paper examines the implications of alternative fiscal consolidation programs for small open economy. The calibrated model enables realistically quantify the impact of the deficit financing and fiscal consolidation on consumption and saving of households, investment of firms and thereby on the capital stock and real inter...

This paper presents a general approximation method for characterizing timevarying equilibrium portfolios in a two-country dynamic general equilibrium model. The method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple...

This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with emphasis on structural constraints, so that the number of observable variables is equal to the number of exogenous variables. We derived a set of identifiability conditions and suggested a procedure for a thorough analysis of identification at each point in the parameters sp...