Higher-order statistics for DSGE models

Mutschler, Willi

doi:10.1016/j.ecosta.2016.10.005

Cited by 7 publications

(4 citation statements)

References 51 publications

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“…From the literature, the third-order approximation method is standard in solving DSGE models with stochastic volatility or uncertainty (Fernandez-Villaverde et al. , 2011; Born and Peifer, 2014; Mutschler, 2018; Zhang et al. , 2021).…”

Section: Methodsmentioning

confidence: 99%

“…Specifically, the DSGE model used in this study is solved using the third-order approximation to the policy functions around the steady states. From the literature, the third-order approximation method is standard in solving DSGE models with stochastic volatility or uncertainty (Fernandez-Villaverde et al, 2011;Born and Peifer, 2014;Mutschler, 2018;Zhang et al, 2021). Fernandez-Villaverde et al (2011) demonstrate that stochastic volatility or uncertainty shocks, which are second-moments do not play a role under the first-order approximation.…”

Section: Methodsmentioning

confidence: 99%

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The macroeconomic effect of COVID-induced economic policy uncertainty in Nigeria: a DSGE approach

Adeiza

Oye

Alege

2022

AJEMS

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PurposeThis study examined the macroeconomic effects of COVID-19-induced economic policy uncertainty (EPU) in Nigeria. The study considered the effects of three related shocks: EPU, COVID-19 and correlated economic policy uncertainty and COVID-19 shock.Design/methodology/approachFirst, the study presented VAR evidence that fiscal and monetary policy uncertainty depresses real output. Thereafter, a nonlinear DSGE model with second-moment fiscal and monetary policy shocks was solved using the third-order Taylor approximation method.FindingsThe authors found that EPU shock is negligible and expansionary. By contrast, COVID-19 shocks have strong contractionary effects on the economy. The combined shocks capturing the COVID-19-induced EPU shock were ultimately recessionary after an initial expansionary effect. The implication is that the COVID-19 pandemic-induced EPU adversely impacted macroeconomic outcomes in Nigeria in a non-trivial manner.Practical implicationsThe result shows the importance of policies to cushion the effect of uncertain fiscal and monetary policy path in the aftermath of COVID-19.Originality/valueThe originality of the paper lies in examining the impact of COVID-19 induced EPU in the context of a developing economy using the DSGE methodology.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

The macroeconomic effect of COVID-induced economic policy uncertainty in Nigeria: a DSGE approach

Adeiza

Oye

Alege

2022

AJEMS

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“…This might have an adverse effect on domestic output (Azariadis, 2018;Keating & Kanyama, 2015;Mankiw & Reis, 2018). Second, the aforesaid global turmoil can equally alter the setting of interest rate monetary transmission mechanism which can have adverse effects on the real economy (Moran & Queralto, 2018;Mutschler, 2018).…”

Section: Introductionmentioning

confidence: 99%

Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence

Shobande

Shodipe

2021

Journal of Central Banking Theory and Practice

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In this paper, we examine the ability of Fisher effect to describe the subjective behaviour of monetary policy responses for nations constrained by global factors. We developed and estimated a simple DSGE model for appraising the consequence of an integrated financial market predictor on national monetary policy response in Africa’s largest economies – Nigeria and South Africa. The paper integrated the theoretical intuition of the famous Fisher effect on the New Keynesian DSGE model with global predictors to describe national monetary policy response as it influence domestic financial variables and macroeconomic fundamentals. Simulations show that the existence of global factors threatens the abilities of national monetary policy to predict financial variables and macroeconomic fundamentals in their economies.

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“…The high data rate is ensured by the use of novel high data rate modulation called M‐OAM (Orthogonal Amplitude Modulation). The good quality of service is guaranteed by the exploitation of higher order statistics (HOS) instead of the use of the correlation that exploited at the receiver for the demodulation …”

Section: Introductionmentioning

confidence: 99%

Higher order statistics applied to IR‐UWB system based on M‐OAM

Maatougui

Sakkila

Menhaj

et al. 2017

Int J Communication

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In this paper, an original communication system based on the ultra-wideband technology and dedicated to intelligent transport systems is proposed. The ultra-wideband presents a promising option for short-range wireless communication system due to the transmission of very short pulses with low energy. To ensure reliability, safety, and security in the road, the proposed system must provide high data rate and good quality of service. The high data rate is ensured by the use of new modulation Orthogonal Amplitude Modulations. The quality of transmission is improved by the implementation of higher order statistic method at the receiver to eliminate the Gaussian noise and perform more precise decoding. Therefore, good performances in terms of bit error rate are guaranteed. KEYWORDSFPGA plateform, high data rate, high order statistics, M-OAM modulations, UWB system Int J Commun Syst. 2017;30:e3337.wileyonlinelibrary.com/journal/dac

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Higher-order statistics for DSGE models

Cited by 7 publications

References 51 publications

The macroeconomic effect of COVID-induced economic policy uncertainty in Nigeria: a DSGE approach

The macroeconomic effect of COVID-induced economic policy uncertainty in Nigeria: a DSGE approach

Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence

Higher order statistics applied to IR‐UWB system based on M‐OAM

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