## Bayesian Estimation of DSGE Models

*Edward P. Herbst and Frank Schorfheide*

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- book

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.001.0001
- Subject:
- Economics and Finance, Econometrics

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy ... More

## Turning a DSGE Model into a Bayesian Model

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0002
- Subject:
- Economics and Finance, Econometrics

This chapter considers the turning of DSGE models into Bayesian versions by specifying a probability distribution for the innovations of the exogenous shock processes. There exists a wide variety of ... More

## Three Applications

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0006
- Subject:
- Economics and Finance, Econometrics

This chapter modifies the baseline DSGE model in three dimensions. First, it replaces the AR processes for technology growth and government spending by a VAR process, generalizing the law of motion ... More

## Particle Filters

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0008
- Subject:
- Economics and Finance, Econometrics

This chapter explains how the key difficulty that arises when the Bayesian estimation of DSGE models is extended from linear to nonlinear models is the evaluation of the likelihood function, and ... More

## DSGE Modeling

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0001
- Subject:
- Economics and Finance, Econometrics

This chapter discusses how dynamic stochastic general equilibrium (DSGE) models are now widely used by academics to conduct empirical research macroeconomics, as well as by central banks to interpret ... More

## Metropolis-Hastings Algorithms for DSGE Models

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0004
- Subject:
- Economics and Finance, Econometrics

This chapter talks about the most widely used method to generate draws from posterior distributions of a DSGE model: the random walk MH (RWMH) algorithm. The DSGE model likelihood function in ... More

## From Linear to Nonlinear DSGE Models

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0007
- Subject:
- Economics and Finance, Econometrics

This chapter presents computational techniques that can be used to estimate DSGE models that have been solved with nonlinear techniques, such as higher-order perturbation methods or projection ... More

## Sequential Monte Carlo Methods

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0005
- Subject:
- Economics and Finance, Econometrics

This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models. The first paper that ... More

## Combining Particle Filters with SMC Samplers

*Edward P. Herbst and Frank Schorfheide*

### in Bayesian Estimation of DSGE Models

- Published in print:
- 2015
- Published Online:
- October 2017
- ISBN:
- 9780691161082
- eISBN:
- 9781400873739
- Item type:
- chapter

- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691161082.003.0010
- Subject:
- Economics and Finance, Econometrics

This chapter combines the SMC algorithm with the particle filter approximation of the likelihood function to develop an SMC2 algorithm. As with the PFMH algorithm, the goal is to obtain a posterior ... More

## The Role of Monetary Policy in Turkey during the Global Financial Crisis

*Harun Alp and Selim Elekdağ*

### in The Great Recession: Lessons for Central Bankers

- Published in print:
- 2013
- Published Online:
- January 2015
- ISBN:
- 9780262018340
- eISBN:
- 9780262305921
- Item type:
- chapter

- Publisher:
- The MIT Press
- DOI:
- 10.7551/mitpress/9780262018340.003.0003
- Subject:
- Economics and Finance, Financial Economics

Turkey is an interesting case study because it was one of the hardest hit countries by the crisis, with a year-over-year contraction of 15 percent during the first quarter of 2009. At the same time, ... More