EconPapers    
Economics at your fingertips  
 

DSGE Models Used by Policymakers: A Survey

Takeshi Yagihashi ()

Discussion papers from Policy Research Institute, Ministry of Finance Japan

Abstract: The paper conducts a comprehensive survey on the current state of the dynamic stochastic general equilibrium (DSGE) models developed by policy institutions, including central banks, government agencies, and international organizations around the world. Our main sample consists of 84 models developed by 58 institutions, and many of them were developed or updated after the 2008 financial crisis. We first document the evolution of macroeconomic models used for policy purpose, and then provide summary statistics on the models by type of institution, region, and number of authors of the publication. We find that there is a steady increase in the development of DSGE models by policy institutions. While central banks have been the main users of DSGE models, more government agencies in Europe have been actively developing their own DSGE models in the years following the 2008 Global Financial Crisis. We also find that some institutions have multiple DSGE models serving different purposes. Next, we narrow our focus to a subset of 42 models that are owned and actively used by policy institutions, and conduct a model comparison based on five key model features. Although the models share common basic structures, there are large variations in parameter values and modelling strategies, some of which do not necessarily reflect the findings of the empirical literature. Finally, we create a score card for each model depending on whether the model incorporated recent empirical findings on the five model features. Two models have a score of 4 out of 5, and the overall average is 2.21. In conclusion, there is a greater need for future DSGE policy models to adopt more recent findings in the empirical literature.

Keywords: DSGE model; financial friction; intertemporal elasticity of substitution; non-Ricardian household (search for similar items in EconPapers)
Pages: 52 pages
Date: 2020-10
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.mof.go.jp/pri/research/discussion_paper/ron333.pdf First version, 2016 (application/pdf)

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:mof:wpaper:ron333

Access Statistics for this paper

More papers in Discussion papers from Policy Research Institute, Ministry of Finance Japan Contact information at EDIRC.
Bibliographic data for series maintained by Policy Research Institute ().

 
Page updated 2021-01-17
Handle: RePEc:mof:wpaper:ron333