An Estimated DSGE Model for the United Kingdom

DiCecio, Riccardo; Nelson, Edward

doi:10.20955/r.89.215-232

Cited by 25 publications

(23 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our results are in line with Nelson and Nikolov (2004), who also find that contract durations for prices in the U.K. are shorter than in the U.S. DiCecio and Nelson (2007) find an absence of wage…”

Section: General Estimation Results and Posterior Distributions 321supporting

confidence: 92%

Do Central Banks React to House Prices?

Finocchiaro

Heideken

2009

SSRN Journal

View full text Add to dashboard Cite

The substantial fluctuations in house prices recently experienced by many industrialized economies have stimulated a vivid debate on the possible implications for monetary policy. In this paper, we ask whether the U.S. Fed, the Bank of Japan and the Bank of England have reacted to house prices. We study the responses of these central banks by estimating a structural model for each country where credit constrained agents borrow against real estate. The main result is that house price movements did play a separate role in the U.S., U.K.. and Japanese central bank reaction functions.

show abstract

Section: General Estimation Results and Posterior Distributions 321supporting

confidence: 92%

Do Central Banks React to House Prices?

Finocchiaro

Heideken

2009

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…The least persistent is the public investment shock with a half-life of only 3 months. 22 The estimates of fiscal policy parameters are presented in Table ??. The 90 per cent confidence intervals of some of them (response of transfers, consumption and labour taxes to debt and GDP, and the response of capital taxes to debt) include 0 which implies that these were not used systematically in the controlling for debt and GDP.…”

Section: Posterior Estimatesmentioning

confidence: 99%

“…21 It can be shown that for f c = where (s) denotes the elasticity of substitution. 22 The reason behind the low persistence of public, but also private investment, shock is the transfer of nuclear reactors from British Nuclear Fuels Ltd (government investment) to the Nuclear Decommissioning Authority (business investment) in April 2005. This transfer (approximately equal to two-and-a-half quarters expenditure on public investment) is a large one quarter shock which decreases the persistence of the both investment shocks.…”

Section: Posterior Estimatesmentioning

confidence: 99%

Macroeconomic impacts of fiscal policy shocks in the UK: A DSGE analysis

Bhattarai

Trzeciakiewicz

2017

Economic Modelling

View full text Add to dashboard Cite

This paper develops and estimates a new-Keynesian dynamic stochastic general equilibrium (DSGE) model for the analysis of fiscal policy in the UK. We find that government consumption and investment yield the highest GDP multipliers in the short-run, whereas capital income tax and public investment have dominating effect on GDP in the longrun. When nominal interest rate is at the zero lower bound, consumption taxes and public consumption and investment are found to be the most effective fiscal instruments throughout the analysed horizon, and capital and labour income taxes are established to be the least effective. The paper also shows that the effectiveness of fiscal policy decreases in a small open-economy scenario and that nominal rigidities improve effectiveness of public spending and consumption taxes, whereas decrease that of income taxes.

show abstract

“…The method is appealing because of its simplicity, and because it focuses on estimating the parameters on the basis of impulse responses, which directly capture the dynamics that are of primary interest to macroeconomists. Among the recent papers that have used IRF matching estimators we have : Christiano Eichenbaum and Evans (2005), Altig et al (2004), Jordà and Kozicki (2005), Boivin and Giannoni (2006), Uribe and Yue (2006), DiCecio (2005) and DiCecio and Nelson (2006). This paper proposes a new method to improve the efficiency of such estimators and to select the IRFs lag length based on statistical criteria.…”

Section: Introductionmentioning

confidence: 99%

Information criteria for impulse response function matching estimation of DSGE models

Hall

Inoue

Nason

et al. 2012

Journal of Econometrics

View full text Add to dashboard Cite

We propose a new Information Criterion for Impulse Response Function Matching estimators of the structural parameters of macroeconomic models. The main advantage of our procedure is that it allows the researcher to select the impulse responses that are most informative about the deep parameters, therefore reducing the bias and improving the efficiency of the estimates of the model's parameters. We show that our method substantially changes key parameter estimates of representative Dynamic Stochastic General Equilibrium models, thus reconciling their empirical results with the existing literature. Our criterion is general enough to apply to impulse responses estimated by VARs, local projections, as well as simulation methods.J.E.L. Codes: C32, E47, C52, C53.Acknowledgements. We thank Craig Burnside for sharing his codes and for many useful suggestions along the way. We also thank L. Christiano for making the Altig et al. (2004) codes available in his webpage. We gratefully acknowledge comments from

show abstract

An Estimated DSGE Model for the United Kingdom

Cited by 25 publications

References 25 publications

Do Central Banks React to House Prices?

Do Central Banks React to House Prices?

Macroeconomic impacts of fiscal policy shocks in the UK: A DSGE analysis

Information criteria for impulse response function matching estimation of DSGE models

Contact Info

Product

Resources

About