Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
用贝叶斯方法估计了一个包含多种摩擦和冲击的DSGE模型，用美国七组宏观数据检验其预测能力，并分析了商业周期波动的来源、产出与通胀的相关性、生产率对工时的影响以及“大缓和”的成因。
Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macroeconomic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Finally, using the estimated model, we address a number of key issues in business cycle analysis: What are the sources of business cycle fluctuations? Can the model explain the cross correlation between output and inflation? What are the effects of productivity on hours worked? What are the sources of the “Great Moderation”?