Time-varying parameter four-equation DSGE model

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dc.contributor.author Gupta, Rangan
dc.contributor.author Sun, Xiaojin
dc.date.accessioned 2024-10-03T11:20:27Z
dc.date.available 2024-10-03T11:20:27Z
dc.date.issued 2024-05
dc.description.abstract We build the time-varying parameter feature into the (Sims, E., J. C. Wu, and J. Zhang. 2023. “The Four-Equation New Keynesian Model.” The Review of Economics and Statistics 105 (4): 931–47) four-equation Dynamic Stochastic General Equilibrium (DSGE) model in this paper. We find that both parameters and impulse responses of the variables in the four-equation DSGE model exhibit significant variation over time. Allowing model parameters to vary over time also improves the model’s forecasting performance. en_US
dc.description.department Economics en_US
dc.description.librarian hj2024 en_US
dc.description.sdg SDG-08:Decent work and economic growth en_US
dc.description.uri https://www.degruyter.com/journal/key/snde/html en_US
dc.identifier.citation Gupta, R. & Sun, X.J. 2024, 'Time-Varying Parameter Four-Equation DSGE Model', Studies in Nonlinear Dynamics and Econometrics, doi : 10.1515/snde-2023-0010. en_US
dc.identifier.issn 1558-3708 (online)
dc.identifier.issn 1081-1826 (print)
dc.identifier.other 10.1515/snde-2023-0010
dc.identifier.uri http://hdl.handle.net/2263/98487
dc.language.iso en en_US
dc.publisher De Gruyter en_US
dc.rights © 2024 Walter de Gruyter GmbH, Berlin/Boston. en_US
dc.subject Four-equation DSGE en_US
dc.subject Time-varying parameter (TVP) en_US
dc.subject Forecasting en_US
dc.subject Dynamic stochastic general equilibrium (DSGE) en_US
dc.subject SDG-08: Decent work and economic growth en_US
dc.title Time-varying parameter four-equation DSGE model en_US
dc.type Preprint Article en_US


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