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DSGE Models in Macroeconomics

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models.

DSGE Models in Macroeconomics

This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analyzing a variety of issues in empirical macroeconomics. The research articles make contributions in several key areas in DSGE modeling and estimation. In particular, papers cover the modeling and role of expectations, the study of optimal monetary policy in two-country models, and the problem of non-invertibility. Other interesting areas of inquiry include the analysis of parameter identification in new open economy macroeconomic models and the modeling of trend inflation shocks. The second part of the volume is devoted to articles that offer innovations in econometric methodology. These papers advance new techniques for addressing major inferential problems and include discussion and applications of Laplace-type, frequency domain, empirical likelihood and method of moments estimators.

Policy Evaluation with Computable General Equilibrium Models

This book applies CGE modelling to some of the most urgent international economic policy problems, including the Kyoto Protocol, pension reform, and income taxation, and also analyses the methodological issues that arise.

Policy Evaluation with Computable General Equilibrium Models

Computable General Equilibrium (CGE) modelling is a relatively new field in economics, however, it is rapidly becoming one of the most useful tools for policy evaluation. This book applies CGE modelling to some of the most urgent international economic policy problems, including the Kyoto Protocol, pension reform, and income taxation, and also analyses the methodological issues that arise.

Solving Dynamic General Equilibrium Models Using a Second order Approximation to the Policy Function

This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models.

Solving Dynamic General Equilibrium Models Using a Second order Approximation to the Policy Function

This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In other words, these coefficients must be the same in the stochastic and the deterministic versions of the model. Thus, up to second order, the presence of uncertainty affects only the constant term of the decision rules. In addition, the paper presents a set of MATLAB programs designed to compute the coefficients of the second-order approximation. The validity and applicability of the proposed method is illustrated by solving the dynamics of a number of model economies.

RHOMOLO

This paper presents and applies a spatial general equilibrium model RHOMOLO to assess the impact of regional policy in the EU. The presented simulation results highlight strengths of the approach taken in RHOMOLO in handling investments in ...

RHOMOLO

European integration changes the prospects of regional economies within the Member States of the European Union in many ways. Cohesion policy is the EU's instrument to influence and complement the efforts at the national level to ensure that the gains of economic integration reach everyone, and there are no regions left behind. This paper presents and applies a spatial general equilibrium model RHOMOLO to assess the impact of regional policy in the EU. The presented simulation results highlight strengths of the approach taken in RHOMOLO in handling investments in R & D, infrastructure and spillovers of investments in the innovation capacity of the regions, both of which cannot be captured by models in which the spatial structure is not present.

RHOMOLO

This paper describes some of the features of a new dynamic general equilibrium framework (RHOMOLO) being developed at the European Commission (JRC-IPTS, together with DG REGIO) for evaluating EU Cohesion Policy.

RHOMOLO

This paper describes some of the features of a new dynamic general equilibrium framework (RHOMOLO) being developed at the European Commission (JRC-IPTS, together with DG REGIO) for evaluating EU Cohesion Policy. The design of the model reflects the objectives of Cohesion Policy, and a broader understanding of impact analysis which goes beyond pure economic effects and also considers environmental and social indicators. The model has both regional and sectoral dimensions - regionally, the aim is for complete NUTS2 (NUTS1 for Germany) coverage of the EU27, while the potential sector coverage is 23 - all of which leads to very large modelling dimensions and presents challenges in terms of data availability. The model is constructed using the concept of Dynamic Spatial Computable General Equilibrium (DSCGE), which ensures Walrasian equilibrium in a sequence of model solutions over time, and also incorporates elements of New Economic Geography (NEG) in the way it captures the forces of economic agglomeration and dispersion.

Modelling the Costs of Environmental Policy

In this book, Rob Dellink shows how emissions and emission reduction policies for five different environmental issues can be included in a forward-looking computable general equilibrium model, building emissions into production and ...

Modelling the Costs of Environmental Policy

'Extending economic models to include environmental emissions and environmental policy is now commonplace. Yet, the linking is often ad hoc and based on peculiar assumptions. In this book, Rob Dellink shows how emissions and emission reduction policies for five different environmental issues can be included in a forward-looking computable general equilibrium model, building emissions into production and consumption functions. At the technical level the book is superb and stands out for its exact specification of how this is done.' - Richard S.J. Tol, Hamburg University, Germany, Free University Amsterdam, The Netherlands and Carnegie Mellon University, US This important new book enhances our understanding of the dynamic interactions between economic activity, economic growth, pollution abatement and environmental policy. It addresses one main policy problem: how can the direct and indirect costs of environmental policy for multiple pollutants be properly assessed in an applied model?

The New Generation of Computable General Equilibrium Models

This book covers some important topics in the construction of computable general equilibrium (CGE) models and examines use of these models for the analysis of economic policies, their properties, and their implications.

The New Generation of Computable General Equilibrium Models

This book covers some important topics in the construction of computable general equilibrium (CGE) models and examines use of these models for the analysis of economic policies, their properties, and their implications. Readers will find explanation and discussion of the theoretical structure and practical application of several model typologies, including dynamic, stochastic, micro-macro, and simulation models, as well as different closure rules and policy experiments. The presentation of applications to various country and problem-specific case studies serves to provide an informed and clearly articulated summary of the state of the art and the most important methodological advancements in the field of policy modeling within the framework of general equilibrium analysis. The book is an outcome of a recent workshop of the Italian Development Economists Association attended by a group of leading practitioners involved in the generation of CGE models and research on modeling the economy and policy making. It will be of interest to researchers, professional economists, graduate students, and knowledgeable policy makers.

Evaluating and Estimating a DSGE Model for the United Kingdom

We build a small open economy dynamic stochastic general equilibrium model, featuring many types of nominal and real frictions that have become standard in the literature.

Evaluating and Estimating a DSGE Model for the United Kingdom