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Development of a Fiscal-Centric DSGE Model in Aid of Policy Evaluation

Author

Listed:
  • Lawrence B. Dacuycuy

    (De La Salle University)

  • Fernando T. Aldaba

    (Ateneo de Manila University)

Abstract

This paper presents an estimable dynamic stochastic general equilibrium (DSGE) model whose major purpose is to deal with the empirics of fiscal policy in the Philippines. We estimated structural parameters using Bayesian methods, some of which have not been estimated for the Philippines. Based on macroeconomic data, which span the period from the second quarter of 2002 to the third quarter of 2021, explicit characterizations of model dynamics due to unanticipated shocks were achieved. The model also showed how informative smoothed shocks are in describing outcomes during the three previous administrations. Finally, the model generated a select number of fiscal multipliers under different scenarios involving monetary accommodation and fiscal stabilization.

Suggested Citation

  • Lawrence B. Dacuycuy & Fernando T. Aldaba, 2024. "Development of a Fiscal-Centric DSGE Model in Aid of Policy Evaluation," Department of Economics, Ateneo de Manila University, Working Paper Series 202405, Department of Economics, Ateneo de Manila University.
    • Handle: RePEc:agy:dpaper:202405
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    References listed on IDEAS

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    More about this item

    Keywords

    DSGE; Fiscal policy; Philippines; fiscal rules;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures

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