Bayesian Analysis of DSGE Models

Sungbae An · Frank Schorfheide

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Monetary Policy and Economic Impact Statistical Methods and Bayesian Inference Economic theories and models

Abstract

This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models.We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the nonlinear estimation based on a second-order accurate model solution.These methods are applied to data generated from correctly specified and misspecified linearized DSGE models, and a DSGE model that was solved with a second-order perturbation method.

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References

1982Time to Build and Aggregate Fluctuations 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy 1998Numerical Methods in Economics 1980The Solution of Linear Difference Models under Rational Expectations 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1997An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy 2004Some Evidence on the Importance of Sticky Prices 2001Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy

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