Time-varying parameter four-equation DSGE model

Gupta, Rangan; Sun, Xiaojin

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