Estimating Dynamic Equilibrium Models with Stochastic Volatility

Jesus Fernandez-Villaverde, Pablo Guerron and Juan F Rubio-Ramirez

No 1424, Working Papers from BBVA Bank, Economic Research Department

Abstract: This paper develops a particle …ltering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach. The algorithm, which exploits the structure and profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large-scale models. As an application, we use our algorithm and Bayesian methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of the data.

Keywords: Dynamic equilibrium models; Stochastic volatility; Parameter drifting; Bayesian methods (search for similar items in EconPapers)
JEL-codes: C11 E10 E30 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2014-09
New Economics Papers: this item is included in nep-dge, nep-ger, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.bbvaresearch.com/wp-content/uploads/2014/09/WP14-24_Models.pdf (application/pdf)

Related works:
Journal Article: Estimating dynamic equilibrium models with stochastic volatility (2015)
Working Paper: Estimating Dynamic Equilibrium Models with Stochastic Volatility (2014)
Working Paper: Estimating Dynamic Equilibrium Models with Stochastic Volatility (2013)
Working Paper: Estimating dynamic equilibrium models with stochastic volatility (2013)
Working Paper: Estimating Dynamic Equilibrium Models with Stochastic Volatility (2013)
Working Paper: Estimating Dynamic Equilibrium Models with Stochastic Volatility (2012)
Working Paper: Estimating Dynamic Equilibrium Models with Stochastic Volatility (2012)
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:bbv:wpaper:1424

Access Statistics for this paper

More papers in Working Papers from BBVA Bank, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by OSCAR DE LAS PENAS SANCHEZ-CARO ().