Arbeitspapier
Shocks and Frictions in US Business Cycles: a Bayesian DSGE Approach
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Finally, using the estimated model we address a number of key issues in business cycle analysis: What are the sources of business cycle fluctuations? Can the model explain the cross-correlation between output and inflation? What are the effects of productivity on hours worked? What are the sources of the “Great Moderation”?
- Language
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Englisch
- Bibliographic citation
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Series: NBB Working Paper ; No. 109
- Classification
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Wirtschaft
- Subject
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DSGE models
monetary policy
Konjunktur
Geldpolitik
Schock
Allgemeines Gleichgewicht
Zeitreihenanalyse
USA
- Event
-
Geistige Schöpfung
- (who)
-
Smets, Frank
Wouters, Raf
- Event
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Veröffentlichung
- (who)
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National Bank of Belgium
- (where)
-
Brussels
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Smets, Frank
- Wouters, Raf
- National Bank of Belgium
Time of origin
- 2007
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