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Dynamic Stochastic General Equilibrium Models (DSGE): An Introduction

Author

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  • Guillermo Escudé

    (Central Bank of Argentina)

Abstract

Dynamic and Stochastic General Equilibrium (DSGE) models have become a frequent choice of modeling methodology for complex dynamic and stochastic phenomena in different branches of economics. They are increasingly used by decision-makers to analyze various policy decisions or to generate rigorous forecasts. This paper seeks to provide a first approximation to this fascinating field within the mathematical modeling of human endeavor. It synthesizes how DSGE models are constructed and also illustrates how they are solved and how their parameters are calibrated or econometrically estimated, using software especially designed for such a purpose.

Suggested Citation

  • Guillermo Escudé, 2010. "Dynamic Stochastic General Equilibrium Models (DSGE): An Introduction," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(59), pages 25-79, July - Se.
    • Handle: RePEc:bcr:ensayo:v:1:y:2010:i:59:p:25-79
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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/59_Escude.pdf
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    More about this item

    Keywords

    DSGE models; bayesian estimation;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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