Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
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DOI：
10.2139/ssrn.1687574
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发表时间：
2007-02
期刊：
影响因子：
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通讯作者：
F. Smets;R. Wouters
中科院分区：
文献类型：
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作者：
F. Smets;R. Wouters
使用贝叶斯似然方法，我们使用7个宏观经济时间序列估计了美国经济的动态随机一般均衡模型。该模型包含了多种类型的实际和名义摩擦以及7种结构性冲击。结果表明，该模型在样本外预测方面能够与贝叶斯向量自回归模型相媲美。我们调查了各种摩擦的相对经验重要性。最后，使用估计的模型，我们解决了商业周期分析中的一些关键问题：商业周期波动的来源是什么？该模型能解释产出和通胀之间的相互关联吗？生产率对工作时间有什么影响？“大缓和”的根源何在？
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Finally, using the estimated model we address a number of key issues in business cycle analysis: What are the sources of business cycle fluctuations? Can the model explain the cross-correlation between output and inflation? What are the effects of productivity on hours worked? What are the sources of the “Great Moderation”?