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31 posts on "DSGE"

July 13, 2018

The New York Fed DSGE Model Forecast–July 2018



This post presents an update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe very briefly our forecast and its change since March 2018. As usual, we wish to remind our readers that the DSGE model forecast is not an official New York Fed forecast, but only an input to the Research staff’s overall forecasting process. For more information about the model and variables discussed here, see our DSGE model Q & A.

Continue reading "The New York Fed DSGE Model Forecast–July 2018" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting, Macroecon | Permalink | Comments (0)

May 30, 2018

Good News, Leverage, and Sudden Stops



LSE_Good News, Leverage, and Sudden Stops


One of the major debates in open economy macroeconomics is the extent to which capital inflows are beneficial for growth. In principle, these flows allow countries to increase their consumption and investment spending beyond their income by enabling them to tap into foreign saving. Periods of such borrowing, however, are associated with large trade deficits, external debt accumulation, and, in some cases, overheating when these economies operate beyond their potential output level for an extended period of time. The relevant question in this context is whether the rate at which a country is taking on external debt has useful predictive information about financial crises.

Continue reading "Good News, Leverage, and Sudden Stops" »

May 09, 2018

Forecasts of the Lost Recovery



The years following the Great Recession were challenging for forecasters for a variety of reasons, including an unprecedented policy environment. This post, based on our recently released working paper, documents the real-time forecasting performance of the New York Fed dynamic stochastic general equilibrium (DSGE) model in the wake of the Great Recession. We show that the model’s predictive accuracy was on par with that of private forecasters and proved to be quite a bit better, at least in terms of GDP growth, than that of the median forecasts from the Federal Open Market Committee’s (FOMC) Summary of Economic Projections (SEP).

Continue reading "Forecasts of the Lost Recovery" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting | Permalink | Comments (0)

March 09, 2018

The New York Fed DSGE Model Forecast–March 2018



This post presents a quarterly update of the economic forecast generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe our forecast very briefly and highlight its change since November 2017.

Continue reading "The New York Fed DSGE Model Forecast–March 2018" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting | Permalink | Comments (0)

February 07, 2018

A DSGE Perspective on Safety, Liquidity, and Low Interest Rates



Third of three posts
LSE_A DSGE Perspective on Safety, Liquidity, and Low Interest Rates

The preceding two posts in this series documented that interest rates on safe and liquid assets, such as U.S. Treasury securities, have declined significantly in the past twenty years. Of course, short-term interest rates in the United States are under the control of the Federal Reserve, at least in nominal terms. So it is legitimate to ask, To what extent is this decline driven by the Federal Reserve’s interest rate policy? This post addresses this question by coupling the results presented in the previous post with those obtained from an estimated dynamic stochastic general equilibrium (DSGE) model.

Continue reading "A DSGE Perspective on Safety, Liquidity, and Low Interest Rates" »

Posted by Blog Author at 7:00 AM in DSGE, Liquidity, Macroecon, Monetary Policy | Permalink | Comments (0)

November 28, 2017

The New York Fed DSGE Model Forecast–November 2017



This post presents our quarterly update of the economic forecast generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe very briefly our forecast and its change since August 2017.

Continue reading "The New York Fed DSGE Model Forecast–November 2017" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting, Monetary Policy | Permalink | Comments (0)

September 08, 2017

The New York Fed DSGE Model Forecast—August 2017



This post presents our quarterly update of the economic forecasts generated by the Federal Reserve Bank of New York’s dynamic stochastic general equilibrium (DSGE) model. We describe very briefly our forecast and its change since May 2017.

Continue reading "The New York Fed DSGE Model Forecast—August 2017" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting, Macroecon, Monetary Policy | Permalink | Comments (0)

May 08, 2017

Forecasting with Julia



A little more than a year ago, in this post, we announced DSGE.jl—a package for working with dynamic stochastic general equilibrium (DSGE) models using Julia, the open-source computing language. At that time, DSGE.jl contained only the code required to specify, solve, and estimate such models using Bayesian methods. Now, we have extended the package to provide the additional code needed to produce economic forecasts, counterfactual simulations, and inference on unobservable variables, such as the natural rate of interest or the output gap. The old, pre-Julia version of the code, which was written in MATLAB and is posted here on Github, a public repository hosting service, also performed some of these functions, but not quite as fast.

Continue reading "Forecasting with Julia" »

Posted by Blog Author at 7:00 AM in DSGE, Forecasting | Permalink | Comments (1)

April 10, 2017

Financial Crises and the Desirability of Macroprudential Policy



LSE_Financial Crises and the Desirability of Macroprudential Policy

The global financial crisis has put financial stability risks—and the potential role of macroprudential policies in addressing them—at the forefront of policy debates. The challenge for macroeconomists is to develop new models that are consistent with the data while being able to capture the highly nonlinear nature of crisis episodes. In this post, we evaluate the impact of a macroprudential policy that has the government tilt incentives for banks to encourage them to build up their equity positions. The government has a role since individual banks do not internalize the systemic benefit of having more bank equity. Our model allows for an evaluation of the tradeoff between the size of such incentives and the probability of a future financial crisis.

Continue reading "Financial Crises and the Desirability of Macroprudential Policy" »

Posted by Blog Author at 7:00 AM in Banks, Credit, DSGE, Financial Intermediation, Great Recession | Permalink | Comments (0)

November 21, 2016

The FRBNY DSGE Model Forecast—November 2016



This post presents the latest update of the economic forecasts generated by the Federal Reserve Bank of New York’s (FRBNY) dynamic stochastic general equilibrium (DSGE) model. We introduced this model in a series of blog posts in September 2014 and have since published forecasts twice a year. Here we describe our current forecast and highlight how it has changed since May 2016.

Continue reading "The FRBNY DSGE Model Forecast—November 2016" »

Posted by Blog Author at 7:00 AM in DSGE, Expectations, Forecasting, Macroecon, Monetary Policy | Permalink | Comments (2)
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Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

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