Understanding DSGE Filters in Forecasting and Policy Analysis

Author/Editor: Michal Andrle
Publication Date: May 08, 2013
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Summary: This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.
Series: Working Paper No. 13/98
Subject(s): Business cycles | Monetary policy | Economic models | Economic forecasting

Publication Date: May 08, 2013
ISBN/ISSN: 9781484301357/1018-5941 Format: Paper
Stock No: WPIEA2013098 Pages: 23
US$18.00 (Academic Rate:
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