Informing DSGE Models Through Dynamic Factor Models
研究了结构动态因子模型如何为动态随机一般均衡模型的构建提供可靠信息，通过模拟验证其估计脉冲响应函数的准确性，并重新评估了技术冲击对工时的影响以及货币政策效应。
ABSTRACT Structural dynamic factor models (SDFM) represent a reliable tool to inform the construction of dynamic stochastic general equilibrium (DSGE) models. The reason is that the log‐linear solution of a DSGE model has a factor structure which ensures consistency between the representations of the two models. We assess the usefulness of SDFM for DSGE analysis by means of simulations. Using a standard DSGE model as the data generating process, we show that the factor model always provides accurate estimates of the impulse response functions. As an application, we reassess the literature studying the response of hours to technology shock. An additional application studies the effects of monetary policy.