dc.contributor.author | BEKIROS, Stelios D. | |
dc.contributor.author | CARDANI, Roberta | |
dc.contributor.author | PACCAGNINI, Alessia | |
dc.contributor.author | VILLA, Stefania | |
dc.date.accessioned | 2017-01-10T09:28:45Z | |
dc.date.available | 2017-01-10T09:28:45Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Journal of financial stability, 2016, Vol. 26, pp. 216-227 | |
dc.identifier.issn | 1572-3089 | |
dc.identifier.issn | 1878-0962 | |
dc.identifier.uri | https://hdl.handle.net/1814/44652 | |
dc.description | Available online 22 July 2016 | |
dc.description.abstract | In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing awareness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of the structural parameters shows that time-variation should be crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities of the economy, we propose a novel time-varying parameter (TVP) state-space estimation method for VAR processes both for homoskedastic and heteroskedastic error structures. We conduct an exhaustive empirical exercise to compare the out-of-sample predictive performance of the estimated DSGE model with that of standard ARs, VARs, Bayesian VARs and TVP-VARs. We find that the TVP-VAR provides the best forecasting performance for the series of GDP and net worth of financial intermediaries for all steps-ahead, while the DSGE model outperforms the other specifications in forecasting inflation and the federal funds rate at shorter horizons. | en |
dc.language.iso | en | en |
dc.publisher | Elsevier | en |
dc.relation.ispartof | Journal of financial stability | |
dc.subject | C11 | en |
dc.subject | C13 | en |
dc.subject | C32 | en |
dc.subject | E37 | en |
dc.subject | Financial frictions | en |
dc.subject | DSGE | en |
dc.subject | Time-varying coefficients | en |
dc.subject | Extended Kalman filter | en |
dc.subject | Banking sector | en |
dc.title | Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs | en |
dc.type | Article | en |
dc.identifier.doi | 10.1016/j.jfs.2016.07.006 | |
dc.identifier.volume | 26 | |
dc.identifier.startpage | 216 | |
dc.identifier.endpage | 227 | |
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