Development of a Fiscal-Centric DSGE Model in Aid of Policy Evaluation

Lawrence Dacuycuy and Fernando Aldaba

No 202405, Department of Economics, Ateneo de Manila University, Working Paper Series from Department of Economics, Ateneo de Manila University

Abstract: This paper presents an estimable dynamic stochastic general equilibrium (DSGE) model whose major purpose is to deal with the empirics of fiscal policy in the Philippines. We estimated structural parameters using Bayesian methods, some of which have not been estimated for the Philippines. Based on macroeconomic data, which span the period from the second quarter of 2002 to the third quarter of 2021, explicit characterizations of model dynamics due to unanticipated shocks were achieved. The model also showed how informative smoothed shocks are in describing outcomes during the three previous administrations. Finally, the model generated a select number of fiscal multipliers under different scenarios involving monetary accommodation and fiscal stabilization.

Keywords: DSGE; Fiscal policy; Philippines; fiscal rules (search for similar items in EconPapers)
JEL-codes: C11 E32 E62 H54 (search for similar items in EconPapers)
Pages: 82 pages
Date: 2024-03
New Economics Papers: this item is included in nep-dge and nep-sea
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