EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING

• 成果类型: Article
• 署名作者: Strachan, Rodney W.; van Dijk, Herman K.
• 署名单位: Australian National University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Vrije Universiteit Amsterdam
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2012.00737.x
• 发表日期: 2013
• 页码: 385-402
• 关键词: vector autoregressions; time-series; regression; GROWTH; forecasts; inference; TRENDS; priors

摘要

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is evaluated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date, and a range of lags and deterministic processes. We find support for a number of features implied by the economic model, and the evidence suggests a break in the entire model structure around 1984, after which technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment-specific technology shocks than neutral technology shocks.