Time-Varying Parameter Four-Equation DSGE Model

Rangan Gupta and Xiaojin Sun

No 202234, Working Papers from University of Pretoria, Department of Economics

Abstract: We build in the time-varying parameter feature into the Sims et al. (2020) four-equation Dynamic Stochastic General Equilibrium (DSGE) model in this paper. We find that both parameters and impulse responses of the variables in the four-equation DSGE model exhibit significant variation over time. Allowing model parameters to vary over time also improves the model's forecasting performance.

Keywords: Four-Equation DSGE; Time-Varying Parameter; Forecasting (search for similar items in EconPapers)
JEL-codes: C52 C53 E32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2022-08
New Economics Papers: this item is included in nep-dge and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:pre:wpaper:202234

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().