Time-varying parameter four-equation DSGE model
| 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 | 2025-04 | |
| 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 | Dufrénot, Gilles, Ginn, William, Pourroy, Marc and Sullivan, Adam. "Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions?" Studies in Nonlinear Dynamics & Econometrics, vol. 29, no. 2, 2025, pp. 247-264. https://doi.org/10.1515/snde-2023-0018. | 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 |