PRACTICAL TOOLS FOR POLICY ANALYSIS IN DSGE MODELS WITH MISSING SHOCKS
提出一种方法，用少量因子代理DSGE模型中缺失的部门，通过匹配脉冲响应或贝叶斯技术估计因子结构，从而分析缺失部门冲击的传播，适用于追踪石油冲击或住房需求冲击的影响。
SUMMARY In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by either matching impulse responses of the augmented DSGE model to those generated by an auxiliary model or by using Bayesian techniques. We apply this methodology to track the effects of oil shocks and housing demand shocks in models without energy or housing sectors. Copyright © 2014 John Wiley & Sons, Ltd.