Shocks and Frictions in US Business Cycle: A Bayesian DSGE Approach
Shocks and Frictions in US Business Cycle: A Bayesian DSGE Approach
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美国经济周期中的冲击和摩擦：贝叶斯 DSGE 方法
DOI：
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发表时间：
2020
期刊：
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通讯作者：
A. Mansur
中科院分区：
文献类型：
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作者：
A. Mansur
本文旨在复制和扩展Smets和Wouters（2007），他们使用贝叶斯DSGE方法研究美国商业周期中的冲击和摩擦。本研究的新奇在于将扩展的泰勒规则应用于货币政策，其中货币政策也以充分就业为目标。SW模型似乎能够很好地拟合美国宏观经济数据。当货币政策泰勒规则中的产出缺口被失业率取代时，工资上涨冲击在决定通货膨胀和利率方面变得更加持久。生产率冲击在推动产出方面也变得更强。然而，也出现了一些意想不到的结果，如工作时间对风险溢价冲击的负向反应和通货膨胀对需求冲击的负向反应
This paper aims to replicate and extend Smets and Wouters (2007) who study the shocks and frictions in the US business cycle using a Bayesian DSGE methodology. The novelty of this research is by applying the extended Taylor rule for monetary policy in which the monetary policy also targets full employment. The SW model seems able to fit the US macroeconomic data very well. When the output gap in the Monetary policy Taylor rule is replaced with the unemployment rate, wage mark up shock becomes more persistent in determining inflation and interest rate. Productivity shock also becomes stronger in driving output. However, some unexpected results also come up, e.g. the negative responses of hours worked to a risk premium shock and inflation to the demand shocks