Arbeitspapier
Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs
In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of the structural parameters shows that time-variation should be crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities of the economy, we propose a novel time-varying parameter (TVP) state-space estimation method for VAR processes both for homoskedastic and heteroskedastic error structures. We conduct an exhaustive empirical exercise to compare the out-of-sample predictive performance of the estimated DSGE model with that of standard ARs, VARs, Bayesian VARs and TVP-VARs. We find that the TVP-VAR provides the best forecasting performance for the series of GDP and net worth of financial intermediaries for all steps-ahead, while the DSGE model outperforms the other specifications in forecasting inflation and the federal funds rate at shorter horizons.
- Sprache
-
Englisch
- Erschienen in
-
Series: UCD Centre for Economic Research Working Paper Series ; No. WP16/11
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Financial frictions
DSGE
Time-varying coefficients
Extended Kalman filter
Banking sector
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bekiros, Stelios
Cardani, Roberta
Paccagnini, Alessia
Villa, Stefania
- Ereignis
-
Veröffentlichung
- (wer)
-
University College Dublin, UCD School of Economics
- (wo)
-
Dublin
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bekiros, Stelios
- Cardani, Roberta
- Paccagnini, Alessia
- Villa, Stefania
- University College Dublin, UCD School of Economics
Entstanden
- 2016
Ähnliche Objekte (12)
Forecasting with DSGE Models
Forecasting with DSGE models
Inference for VARs identified with sign restrictions
Financial intermediation with risk aversion
Predictive likelihood comparisons with DSGE and DSGE-VAR models
Forecasting economic activity with mixed frequency Bayesian VARs
Forecasting economic and financial variables with global VARs
Combining Forecast Densities from VARs with Uncertain Instabilities
Forecasting government bond yields with large Bayesian VARs
Forecasting economic and financial variables with global VARs
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Forecasting with DSGE Models
Forecasting with DSGE models
Inference for VARs identified with sign restrictions
Financial intermediation with risk aversion
Predictive likelihood comparisons with DSGE and DSGE-VAR models
Forecasting economic activity with mixed frequency Bayesian VARs
Forecasting economic and financial variables with global VARs
Combining Forecast Densities from VARs with Uncertain Instabilities
Forecasting government bond yields with large Bayesian VARs
Forecasting economic and financial variables with global VARs
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Inference in VARs with Conditional Heteroskedasticity of Unknown Form
Forecasting with DSGE Models
Forecasting with DSGE models
Inference for VARs identified with sign restrictions
Financial intermediation with risk aversion
Predictive likelihood comparisons with DSGE and DSGE-VAR models
Forecasting economic activity with mixed frequency Bayesian VARs
Forecasting economic and financial variables with global VARs
Combining Forecast Densities from VARs with Uncertain Instabilities
Forecasting government bond yields with large Bayesian VARs
Forecasting economic and financial variables with global VARs
Inference in VARs with Conditional Heteroskedasticity of Unknown Form