SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS

J 2016

SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS

SLANICAY, Martin, Jan ČAPEK a Miroslav HLOUŠEK

Základní údaje

Originální název

SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS

Autoři

SLANICAY, Martin (203 Česká republika, domácí), Jan ČAPEK (203 Česká republika, garant, domácí) a Miroslav HLOUŠEK (203 Česká republika, domácí)

Vydání

Economic Annals, 2016, 0013-3264

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Srbsko

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/16:00091356

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.2298/EKA1610079S

Klíčová slova anglicky

DSGE model;fscal policy;structural parameters;rational expectations;learning algorithm;real-time data;zero lower bound

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 27. 2. 2018 11:12, Mgr. Martin Slanicay, Ph.D.

Anotace

V originále

We review some of the problematic issues in DSGE models, which are currently much discussed in the economics profession. All of these issues are concerned with the DSGE models’ (in)ability to match aspects of macroeconomic variables’ observed behaviour. The optimizing agents framework implies that Ricardian equivalence typically holds, which is clearly at odds with the empirical evidence. A distinguishing feature of DSGE models is the assumption that structural parameters are invariant to policy changes. We argue that not all of them can be considered independent from economic policy. It is typical for DSGE models that agents form rational expectations, which can be considered unrealistic. The typical procedure for estimating a DSGE model is to use revised data. As some empirical studies suggest, a model’s behaviour may be different if real-time data are considered. It is also usually assumed that the monetary authority uses the interest rate as a tool of monetary policy. Nowadays, nominal interest rates are close to zero in many economies and cannot be lowered further.

Návaznosti

MUNI/A/1049/2015, interní kód MU

Název: Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod

Investor: Masarykova univerzita, Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

427-1.pdf

Požádat o autorskou verzi souboru

Citovat

SLANICAY, Martin, Jan ČAPEK a Miroslav HLOUŠEK. SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS. Economic Annals. 2016, LXI, č. 210, s. 79-100. ISSN 0013-3264. Dostupné z: https://dx.doi.org/10.2298/EKA1610079S.

@article{1358183,
   author = {Slanicay, Martin and Čapek, Jan and Hloušek, Miroslav},
   article_number = {210},
   doi = {http://dx.doi.org/10.2298/EKA1610079S},
   keywords = {DSGE model;fscal policy;structural parameters;rational expectations;learning algorithm;real-time data;zero lower bound},
   language = {eng},
   issn = {0013-3264},
   journal = {Economic Annals},
   title = {SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS},
   url = {http://www.ekof.bg.ac.rs/wp-content/uploads/2016/10/427-1.pdf},
   volume = {LXI},
   year = {2016}
}

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AU  - Slanicay, Martin - Čapek, Jan - Hloušek, Miroslav
PY  - 2016
TI  - SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS
JF  - Economic Annals
VL  - LXI
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SN  - 00133264
KW  - DSGE model;fscal policy;structural parameters;rational expectations;learning algorithm;real-time data;zero lower bound
UR  - http://www.ekof.bg.ac.rs/wp-content/uploads/2016/10/427-1.pdf
N2  - We review some of the problematic issues in DSGE models, which are currently much discussed in the economics profession. All of these issues are concerned with the DSGE models’ (in)ability to match aspects of macroeconomic variables’ observed behaviour. The optimizing agents framework implies that Ricardian equivalence typically holds, which is clearly at odds with the empirical evidence. A distinguishing feature of DSGE models is the assumption that structural parameters are invariant to policy changes. We argue that not all of them can be considered independent from economic policy. It is typical for DSGE models that agents form rational expectations, which can be considered unrealistic. The typical procedure for estimating a DSGE model is to use revised data. As some empirical studies suggest, a model’s behaviour may be different if real-time data are considered. It is also usually assumed that the monetary authority uses the interest rate as a tool of monetary policy. Nowadays, nominal interest rates are close to zero in many economies and cannot be lowered further.
ER  -

SLANICAY, Martin, Jan ČAPEK a Miroslav HLOUŠEK. SOME NOTES ON PROBLEMATIC ISSUES IN DSGE MODELS. \textit{Economic Annals}. 2016, LXI, č.~210, s.~79-100. ISSN~0013-3264. Dostupné z: https://dx.doi.org/10.2298/EKA1610079S.

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