Confrontando un modelo DSGE con los datos

In this document we try to answer a key question in macroeconomic modeling. How much does a stochastic model of general equilibrium reproduce the data? To answer this question we use three metrics. First, we compare the statistical moments of the model with the data. Second, we perform a simulation...

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Autores:
Villca, Alfredo
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/15674
Acceso en línea:
http://hdl.handle.net/10784/15674
Palabra clave:
Business cyles
Business cycle simulation
SVAR model
Bayesian analysis
Ciclos económicos
simulación de ciclos económicos
modelo SVAR
análisis bayesiano
Rights
License
Acceso abierto
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees2020-02-05T21:03:20Z2019-12-012020-02-05T21:03:20Zhttp://hdl.handle.net/10784/15674E32E37C32C11In this document we try to answer a key question in macroeconomic modeling. How much does a stochastic model of general equilibrium reproduce the data? To answer this question we use three metrics. First, we compare the statistical moments of the model with the data. Second, we perform a simulation of the cycles. Third, we compare the impulse-response of the DSGE model with those of an SVAR model. Additionally, the model is estimated using Bayesian methods. Taking into account data from the United States, on a quarterly frequency (1950-2019), the model replicates the behavior of the data relatively well, although certain differences in magnitudes are observed.En este documento intentamos responder a una cuestión clave en la modelación macroeconómica ¿Qué tanto reproduce un modelo estocástico de equilibrio general los datos? Para responder esta pregunta usamos tres tipos de técnicas. Primero, comparamos los momentos estadísticos del modelo con los datos. Segundo, efectuamos una simulación de los ciclos. Tercero, comparamos las impulso-respuesta del modelo DSGE con las de un modelo SVAR. Adicionalmente, se estima el modelo usando métodos bayesianos. Tomando en cuenta datos de Estados Unidos durante 1950-2019, el modelo replica relativamente bien el comportamiento de los datos, aunque se observan ciertas diferencias en cuanto a las magnitudes.spaUniversidad EAFITEscuela de Economía y FinanzasConfrontando un modelo DSGE con los datosworkingPaperinfo:eu-repo/semantics/workingPaperDocumento de trabajo de investigacióndrafthttp://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_8042Acceso abiertohttp://purl.org/coar/access_right/c_abf2Business cylesBusiness cycle simulationSVAR modelBayesian analysisCiclos económicossimulación de ciclos económicosmodelo SVARanálisis bayesianoavillca@eafit.edu.coVillca, AlfredoLICENSElicense.txtlicense.txttext/plain; charset=utf-82556https://repository.eafit.edu.co/bitstreams/5e4c06d1-0085-4235-a2c3-0869e30e4439/download76025f86b095439b7ac65b367055d40cMD51ORIGINALWP-2020-07_Alfredo Villca.pdfWP-2020-07_Alfredo Villca.pdfapplication/pdf1711913https://repository.eafit.edu.co/bitstreams/ad431dfe-b590-4a33-b917-49af71ffd976/downloadb85449836b1223a39b9fe3154f2c97cfMD5210784/15674oai:repository.eafit.edu.co:10784/156742024-03-05 14:06:15.094open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.spa.fl_str_mv Confrontando un modelo DSGE con los datos
title Confrontando un modelo DSGE con los datos
spellingShingle Confrontando un modelo DSGE con los datos
Business cyles
Business cycle simulation
SVAR model
Bayesian analysis
Ciclos económicos
simulación de ciclos económicos
modelo SVAR
análisis bayesiano
title_short Confrontando un modelo DSGE con los datos
title_full Confrontando un modelo DSGE con los datos
title_fullStr Confrontando un modelo DSGE con los datos
title_full_unstemmed Confrontando un modelo DSGE con los datos
title_sort Confrontando un modelo DSGE con los datos
dc.creator.fl_str_mv Villca, Alfredo
dc.contributor.eafitauthor.none.fl_str_mv avillca@eafit.edu.co
dc.contributor.author.none.fl_str_mv Villca, Alfredo
dc.subject.keyword.eng.fl_str_mv Business cyles
Business cycle simulation
SVAR model
Bayesian analysis
topic Business cyles
Business cycle simulation
SVAR model
Bayesian analysis
Ciclos económicos
simulación de ciclos económicos
modelo SVAR
análisis bayesiano
dc.subject.keyword.spa.fl_str_mv Ciclos económicos
simulación de ciclos económicos
modelo SVAR
análisis bayesiano
description In this document we try to answer a key question in macroeconomic modeling. How much does a stochastic model of general equilibrium reproduce the data? To answer this question we use three metrics. First, we compare the statistical moments of the model with the data. Second, we perform a simulation of the cycles. Third, we compare the impulse-response of the DSGE model with those of an SVAR model. Additionally, the model is estimated using Bayesian methods. Taking into account data from the United States, on a quarterly frequency (1950-2019), the model replicates the behavior of the data relatively well, although certain differences in magnitudes are observed.
publishDate 2019
dc.date.issued.none.fl_str_mv 2019-12-01
dc.date.available.none.fl_str_mv 2020-02-05T21:03:20Z
dc.date.accessioned.none.fl_str_mv 2020-02-05T21:03:20Z
dc.type.eng.fl_str_mv workingPaper
info:eu-repo/semantics/workingPaper
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_8042
dc.type.local.spa.fl_str_mv Documento de trabajo de investigación
dc.type.hasVersion.eng.fl_str_mv draft
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/15674
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dc.language.iso.eng.fl_str_mv spa
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rights_invalid_str_mv Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.publisher.department.spa.fl_str_mv Escuela de Economía y Finanzas
institution Universidad EAFIT
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