| Finance and Economics Discussion Series: Practical Tools for Policy Analysis in Dsge Models with Missing Channels Contributor(s): Caldara, Dario (Author), United States Federal Reserve Board (Created by), Et Al (Created by) |
|
 |
ISBN: 1288699441 ISBN-13: 9781288699445 Publisher: Bibliogov OUR PRICE: $16.86 Product Type: Paperback - Other Formats Published: February 2013 |
| Additional Information |
| BISAC Categories: - Political Science |
| Physical Information: 0.11" H x 7.44" W x 9.69" (0.24 lbs) 52 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors, that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by matching impulse responses of the augmented DSGE model to those generated by an auxiliary model. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy and housing sectors. |
