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Uncertainty and Irreversible Investment : A Bayesian approach of DSGE models

Author

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  • Jean-Francois Piferini

    (Département d'économie et de gestion université PARIS 8)

Abstract

Dynamic stochastic general equilibrium models have begun to dominate the field of macroeconomic theory and policy making. In this paper, I present the first estimation results of investment expenditure for the french economy, applying the bayesian estimation approach of DSGE models. first, I will present the forward looking DSGE model. The DSGE model is defined and first order conditions are identified. The second section sketches the bayesian estimation methodology (solving the model with linear approximations). Then, I describe results on a quarterly french dataset. The model provides an good description of the dynamics of the series.

Suggested Citation

  • Jean-Francois Piferini, 2006. "Uncertainty and Irreversible Investment : A Bayesian approach of DSGE models," Computing in Economics and Finance 2006 460, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:460
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    More about this item

    Keywords

    investment; uncertainty;

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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