Federal Reserve Bank of New York Staff Reports Correlated Disturbances and U . S . Business Cycles
Federal Reserve Bank of New York Staff Reports Correlated Disturbances and U . S . Business Cycles
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纽约联邦储备银行工作人员报告相关干扰和美国。
DOI：
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Ricardo Reis
中科院分区：
文献类型：
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作者：
Vasco Cúrdia;Ricardo Reis
动态随机一般均衡（DSGE）模型用于研究经济周期，通常假设外生扰动是独立的一阶自回归。本文放宽了这种严格和任意的限制，允许干扰，有丰富的同期和动态的相关结构。我们的第一个贡献是一个新的贝叶斯计量经济学方法，使用共轭条件，允许可行的和快速的估计DSGE模型与相关的干扰。我们的第二个贡献是对美国商业周期的重新审视。我们发现，允许相关的干扰解决了一些冲突的估计DSGE模型和向量自回归模型，模型中的一个关键缺失的成分是反周期的财政政策。根据我们的估计，政府支出和技术干扰在商业周期中发挥的作用比以前所认为的要大，而加价的变化则不那么重要。
The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous and dynamic correlation structure. Our first contribution is a new Bayesian econometric method that uses conjugate conditionals to allow for feasible and quick estimation of DSGE models with correlated disturbances. Our second contribution is a reexamination of U.S. business cycles. We find that allowing for correlated disturbances resolves some conflicts between estimates from DSGE models and those from vector autoregressions and that a key missing ingredient in the models is countercyclical fiscal policy. According to our estimates, government spending and technology disturbances play a larger role in the business cycle than previously ascribed, while changes in markups are less important.