Arbeitspapier
Bayesian estimation of a DSGE model with inventories
This paper introduces inventories in an otherwise standard Dynamic Stochastic General Equilibrium Model (DSGE) of the business cycle. Firms accumulate inventories to facilitate sales, but face a cost of doing so in terms of costly storage of intermediate goods. The paper's main contribution is to present a DSGE model with inventories that is estimated using Bayesian methods. Based on US data we show that accounting for inventory dynamics has a significant impact on parameter estimates and impulse responses. Our analysis also reveals that the contribution of structural shocks to variations in the observable variables changes significantly when we allow for inventories. Moreover, we find that inventories enter the Phillips curve as an additional and significant driving variable of inflation and make the inflation process less backward-looking.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 23-2011
- Klassifikation
-
Wirtschaft
Estimation: General
Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
- Thema
-
inventories
Bayesian estimation
DSGE model
business cycles
Konjunkturtheorie
Dynamisches Gleichgewicht
Lagerzyklus
Bayes-Statistik
Schätzung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Foerster, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, Faculty of Business Administration and Economics
- (wo)
-
Marburg
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
- 10.03.2025, 10:42 UTC
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Foerster, Marcel
- Philipps-University Marburg, Faculty of Business Administration and Economics
Entstanden
- 2011
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