Estimating a DSGE model for Japan in a data-rich environment

Hirokuni Iiboshi, Tatsuyoshi Matsumae, Ryoichi Namba and Shin-Ichi Nishiyama

Journal of the Japanese and International Economies, 2015, vol. 36, issue C, 25-55

Abstract: A dynamic factor model (DFM), widely used in empirical research in macroeconomics, shows that common factors extracted from large panel data sets are key factors behind the fluctuations of primal macroeconomic series. Boivin and Giannoni (2006) and Kryshko (2011) combine a dynamic stochastic general equilibrium (DSGE) model with a DFM as a data-rich DSGE model, in which model variables are regarded as common factors derived from large data sets. Following Smets and Wouters (2003, 2007), we estimate a new Keynesian DSGE model for Japan between 1981Q1 and 1995Q4 in a data-rich environment with 55 macroeconomic indicators using Markov chain Monte Carlo (MCMC) methods. Using a simulation smoother developed by de Jong and Shephard (1995), unlike previous studies, we succeeded in sampling model variables and exogenous shocks used for analyzing sources of business cycles. We found that a data-rich DSGE model with an inappropriate data set or inaccurate specificities reduces efficiency even though the number of indicators is fulfilling.

Keywords: DSGE; Business cycle; Data-rich estimation; Measurement error; MCMC; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 E37 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S088915831500009X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:36:y:2015:i:c:p:25-55

DOI: 10.1016/j.jjie.2015.02.001

Access Statistics for this article

Journal of the Japanese and International Economies is currently edited by Takeo Hoshi

More articles in Journal of the Japanese and International Economies from Elsevier
Bibliographic data for series maintained by Catherine Liu ().