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The Resource Assessing DSGE Models with Capital Accumulation and Indeterminacy, Khramov, Vadim

Assessing DSGE Models with Capital Accumulation and Indeterminacy, Khramov, Vadim

Label
Assessing DSGE Models with Capital Accumulation and Indeterminacy
Title
Assessing DSGE Models with Capital Accumulation and Indeterminacy
Statement of responsibility
Khramov, Vadim
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications
Member of
Cataloging source
CEF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Khramov, Vadim
Government publication
international or intergovernmental publication
Index
no index present
LC call number
HB145
LC item number
.K473 2012 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Khramov, Vadim
  • International Monetary Fund
Series statement
IMF Working Paper,
Series volume
WP/12/83
http://library.link/vocab/subjectName
  • Equilibrium (Economics)
  • Stochastic models
  • Equilibrium (Economics)
  • Stochastic models
Label
Assessing DSGE Models with Capital Accumulation and Indeterminacy, Khramov, Vadim
Instantiates
Publication
Note
Available in PDF, ePUB, and Mobi formats on the Internet
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; Assessing DSGE Models with Capital Accumulation and Indeterminacy; Introduction; 1. Model; 1.1. Households; 1.2. Firms; 1.3. Monetary policy rules; 1.4. Dynamics of the model; 2. Model simulations; Tables; Table 1. Simulation results of the model. Theoretical moments; Table 2. Simulation results of the model. Variance decomposition; Table 3. Simulation results of the model. Matrix of correlations; Table 4. Simulation results of the model. Coefficients of autocorrelation; 3. Empirical Approach; 3.1. Data; Figure
  • Figure 1. Dynamics of U.S. output, inflation, nominal interest rate, consumption, and capital (in log deviations from the Hodrick-Prescott filtered trend), 1960:I -2008:I3.2. Estimation approach; Table 5. Sample moments for quarterly postwar U.S. data on output, inflation, nominal interest rates, consumption, and capital; 3.3. Prior Distributions; Table 6. Baseline calibration and prior distributions of the parameters of the model; 4. Estimation Results; Table 7. Priors and posterior estimation results of the model with indeterminacy for the pre-Volcker period (1960:I to 1979:II)
  • Table 8. Priors and posterior estimation results of the model with indeterminacy for the post-1982 period5. Model comparison; Table 9. Bayesian comparison of versions of the model with determinacy and indeterminacy; Table 10. Bayesian comparison of the four versions of the model; Conclusions; References; Appendix 1. Firm's problem; Appendix 2. Log-linearization of the model; Appendix 3. Theoretical IRFs, model with indeterminacy; Appendix 4. Theoretical IRFs, model with determinacy; Appendix 5. Empirical correlation matrices; Appendix 6. Empirical autocorrelations
Control code
1044262011
Dimensions
unknown
Extent
1 online resource (35 pages)
Form of item
online
Isbn
9781475502350
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475586404.001
Specific material designation
remote
System control number
  • imfWPIEA2012083
  • (IMF)WPIEA2012083
  • (OCoLC)1044262011
Label
Assessing DSGE Models with Capital Accumulation and Indeterminacy, Khramov, Vadim
Publication
Note
Available in PDF, ePUB, and Mobi formats on the Internet
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover; Assessing DSGE Models with Capital Accumulation and Indeterminacy; Introduction; 1. Model; 1.1. Households; 1.2. Firms; 1.3. Monetary policy rules; 1.4. Dynamics of the model; 2. Model simulations; Tables; Table 1. Simulation results of the model. Theoretical moments; Table 2. Simulation results of the model. Variance decomposition; Table 3. Simulation results of the model. Matrix of correlations; Table 4. Simulation results of the model. Coefficients of autocorrelation; 3. Empirical Approach; 3.1. Data; Figure
  • Figure 1. Dynamics of U.S. output, inflation, nominal interest rate, consumption, and capital (in log deviations from the Hodrick-Prescott filtered trend), 1960:I -2008:I3.2. Estimation approach; Table 5. Sample moments for quarterly postwar U.S. data on output, inflation, nominal interest rates, consumption, and capital; 3.3. Prior Distributions; Table 6. Baseline calibration and prior distributions of the parameters of the model; 4. Estimation Results; Table 7. Priors and posterior estimation results of the model with indeterminacy for the pre-Volcker period (1960:I to 1979:II)
  • Table 8. Priors and posterior estimation results of the model with indeterminacy for the post-1982 period5. Model comparison; Table 9. Bayesian comparison of versions of the model with determinacy and indeterminacy; Table 10. Bayesian comparison of the four versions of the model; Conclusions; References; Appendix 1. Firm's problem; Appendix 2. Log-linearization of the model; Appendix 3. Theoretical IRFs, model with indeterminacy; Appendix 4. Theoretical IRFs, model with determinacy; Appendix 5. Empirical correlation matrices; Appendix 6. Empirical autocorrelations
Control code
1044262011
Dimensions
unknown
Extent
1 online resource (35 pages)
Form of item
online
Isbn
9781475502350
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475586404.001
Specific material designation
remote
System control number
  • imfWPIEA2012083
  • (IMF)WPIEA2012083
  • (OCoLC)1044262011

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