The purpose of the present research is to investigate the effective channels of the monetary transmission mechanism in Iran. To do so, we devised a New Keynesian Dynamic Stochastic General Equilibrium Model. In our model, the different types of nominal rigidities are introduced beside all the related structural equations, which are extracted and linearized around a steady state point. Furthermo...

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...

In the 1970s, 1980s, and early 1990s, models used for monetary policy analysis combined the assumption of nominal rigidity with a simple structure that linked the quantity of money to aggregate spending. While the theoretical foundations of these models were weak, the approach proved remarkably useful in addressing a wide range of monetary policy topics.1 Today, the standard approach in monetar...

In this paper, I argue that applied monetary policy analysis is hard. In particular, all of our models are grossly deficient relative to the ideal, and this cannot be corrected in the medium term. This view has important implications for answering the Simsian question of whether any given change in policy analysis methods is progress or regress. As an application of these ideas, I assess the po...

Purpose This paper aims to analyse the stabilizing macroeconomic effects of economic policies during COVID-19 crisis in Spain. Design/methodology/approach The contribution structural shocks that explain behaviour main aggregates 2020 are estimated, and simulated using a dynamic stochastic general equilibrium (DSGE) model estimated for Spanish economy. Findings results highlight importance suppl...

This paper considers tests of the effectiveness of a policy intervention, defined as a change in the parameters of a policy rule, in the context of a macroeconometric dynamic stochastic general equilibrium (DSGE) model. We consider two types of intervention, first the standard case of a parameter change that does not alter the steady state, and second one that does alter the steady state, e.g. ...

In these notes, we discuss a dynamic stochastic general equilibrium (DSGE) economy with complete markets. This model serves as a useful benchmark and point of departure for many questions in macroeconomics. It also serves as a simple first pass at a positive model of business cycles or asset pricing in closedand open-economy contexts. You should familiarize yourself with all the salient feature...

Recent literature points out that key variables such as aggregate productivity and in‡ation display long memory dynamics. We study the implications of this high degree of persistence on the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. We …rst show that long memory data can produce substantial bias in the deep parameter estimates when a standard Kalman Filter-MLE procedure...

Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation* This paper develops a novel approach for estimating latent state variables of Dynamic Stochastic General Equilibrium (DSGE) models that are solved using a second-order accurate approximation. I apply the Kalman filter to a statespace representation of the second-order solution based on the ‘pruning’ ...

We derive generalization error bounds for traditional time-series forecasting models. Our results hold for many standard forecasting tools including autoregressive models, moving average models, and, more generally, linear state-space models. These non-asymptotic bounds need only weak assumptions on the data-generating process, yet allow forecasters to select among competing models and to guara...