Gupta, RanganSun, Xiaojin2024-10-032024-10-032025-04Dufrénot, 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-2023-0018.1558-3708 (online)1081-1826 (print)10.1515/snde-2023-0010http://hdl.handle.net/2263/98487We 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© 2024 Walter de Gruyter GmbH, Berlin/Boston.Four-equation DSGETime-varying parameter (TVP)ForecastingDynamic stochastic general equilibrium (DSGE)SDG-08: Decent work and economic growthPreprint Article