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Title:Dealing with financial instability under a DSGE modeling approach with banking intermediation : a forecastability analysis versus TVP-VARs Author(s):BEKIROS, Stelios D.
; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2015Type:Working PaperSeries/Number:EUI ECO; 2015/04Abstract:Recently there has been an increasing awareness on the role that the banking sector can play in macroeconomic activity, especially within the context of the DSGE literature. In this work, we present a DSGE model with ...
; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2015Type:Working PaperSeries/Number:EUI ECO; 2015/04Abstract:Recently there has been an increasing awareness on the role that the banking sector can play in macroeconomic activity, especially within the context of the DSGE literature. In this work, we present a DSGE model with ...
Title:Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2015Citation:
- Studies in nonlinear dynamics & econometrics, 2015, Vol. 19, No. 2, pp. 107–136
Type:ArticleAbstract:Although policymakers and practitioners are particularly interested in dynamic stochastic general equilibrium (DSGE) models, these are typically too stylized to be applied directly to the data and often yield weak prediction ...
; PACCAGNINI, AlessiaDate:2015Citation:
Title:Oil price forecastability and economic uncertainty Author(s):BEKIROS, Stelios D.; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
- Economics letters, 2015, Vol. 132, pp. 125–128
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model ...
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
Title:Macroprudential policy and forecasting using hybrid DSGE models with financial frictions and state space Markov-Switching TVP-VARs Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2015Citation:
- Macroeconomic dynamics, 2015, Vol. 19, No. 07, pp. 1565-1592
Type:ArticleAbstract:We focus on the interaction of frictions both at the firm level and in the banking sector in order to examine the transmission mechanism of the shocks and to reflect on the response of the monetary policy to increases in ...
; PACCAGNINI, AlessiaDate:2015Citation:
Title:Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs Author(s):BEKIROS, Stelios D.; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2016Citation:
- Journal of financial stability, 2016, Vol. 26, pp. 216-227
Type:ArticleAbstract: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 ...
; CARDANI, Roberta; PACCAGNINI, Alessia; VILLA, StefaniaDate:2016Citation:
Title:Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2016Citation:
- Journal of forecasting, 2016, Vol. 35, No. 7, pp. 613-632
Type:ArticleAbstract:Micro-founded dynamic stochastic general equilibrium (DSGE) models appear to be particularly suited to evaluating the consequences of alternative macroeconomic policies. Recently, increasing efforts have been undertaken ...
; PACCAGNINI, AlessiaDate:2016Citation:
Title:On the predictability of time-varying VAR and DSGE models Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2013Citation:
- Empirical Economics, 2013, Vol. 45, No. 1, pp. 635-664
Type:ArticleAbstract:Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with ...
; PACCAGNINI, AlessiaDate:2013Citation:
Title:Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2014Citation:
- Computational Statistics and Data Analysis, 2014, Vol. 71, pp. 298-323
Type:ArticleAbstract:Advanced Bayesian methods are employed in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized ...
; PACCAGNINI, AlessiaDate:2014Citation: