Replication data for: Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach

Principal Investigator(s):  View help for Principal Investigator(s) Frank Smets; Rafael Wouters

Version:  View help for Version V1

Name File Type Size Last Modified
BVAR_statistics_usmodel_data.m text/plain 11.1 KB 12/07/2019 07:30:AM
LICENSE.txt text/plain 14.6 KB 12/07/2019 07:30:AM
mgnldnsty_fcast.m text/plain 3.3 KB 12/07/2019 07:30:AM
readme.doc application/msword 36.5 KB 12/07/2019 07:30:AM
readme.pdf application/pdf 4.6 KB 12/07/2019 07:30:AM
sims_fcast.m text/plain 472 bytes 12/07/2019 07:30:AM
usmodel.mod text/plain 12 KB 12/07/2019 07:30:AM
usmodel_data.mat application/octet-stream 13.1 KB 12/07/2019 07:30:AM
usmodel_data.xls application/vnd.ms-excel 191 KB 12/07/2019 07:30:AM
usmodel_hist_dsge_f19_7_143_mode.mat application/octet-stream 8.2 KB 12/07/2019 07:30:AM

Project Citation: 

Smets, Frank, and Wouters, Rafael. Replication data for: Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. Nashville, TN: American Economic Association [publisher], 2007. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116269V1

Project Description

Summary:  View help for Summary 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"? (JEL D58, E23, E31, E32)

Scope of Project

JEL Classification:  View help for JEL Classification
      D58 Computable and Other Applied General Equilibrium Models
      E23 Macroeconomics: Production
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles


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V1 [2019-12-07]

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