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題名：建構中大型DSGE-VAR模型--臺灣中長期經濟成長率預測
書刊名：中央銀行季刊
作者：蔡宜展／姚睿／秦國軒／林世揚
作者(外文)：Tsai, Yi-chan／Yau, Ruey／Chin, Kuo-hsuan／Lin, Shih-yang
出版日期：2022
卷期：44:2
頁次：頁27-70
主題關鍵詞：貝氏估計；DSGE模型；預測；向量自我迴歸模型；Bayesian analysis；DSGE models；Forecasting；Vector autoregressions
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:6
  • 點閱點閱:5
期刊論文
1.Adolfson, Malin、Laséen, Stefan、Lindé, Jesper、Villani, Mattias(2007)。Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through。Journal of International Economics，72(2)，481-511。  new window
2.Litterman, Robert B.(1986)。Forecasting with Bayesian vector autoregressions-Five years of experience。Journal of Business and Economic Statistics，4(1)，25-38。  new window
3.Del Negro, Macro、Schorfheide, Frank(2004)。Priors from General Equilibrium Models for VARs。International Economic Review，45(2)，643-673。  new window
4.張永隆(20100300)。最適貨幣政策之制定--考量存貨投資的小型開放經濟新興凱因斯DSGE模型。中央銀行季刊，32(1)，3-24。new window  延伸查詢new window
5.Kollmann, Robert(2001)。The exchange rate in a dynamic-optimizing business cycle model with nominal rigidities: A quantitative investigation。Journal of International Economics，55(2)，243-262。  new window
6.Giacomini, Raffaella、White, Halbert(2006)。Tests of Conditional Predictive Ability。Econometrica，74(6)，1545-1578。  new window
7.Iacoviello, Matteo、Neri, Stefano(2010)。Housing Market Spillovers: Evidence from an Estimated DSGE Model。American Economic Journal: Macroeconomics，2(2)，125-164。  new window
8.Harvey, David、Leybourne, Stephen J.、Newbold, Paul(1997)。Testing the Equality of Prediction Mean Squared Errors。International Journal of Forecasting，13(2)，281-291。  new window
9.McCallum, Bennett T.、Nelson, Edward(1999)。Nominal Income Targeting in an Open-Economy Optimizing Model。Journal of Monetary Economics，43(3)，553-578。  new window
10.Elliott, Graham、Timmermann, Allan(2008)。Economic Forecasting。Journal of Economic Literature，46(1)，3-56。  new window
11.Del Negro, Marco、Schorfheide, Frank、Smets, Frank、Wouters, Rafael(2007)。On the fit of new Keynesian models。Journal of Business & Economic Statistics，25(2)，123-143。  new window
12.Inoue, Atsushi、Jin, Lu、Rossi, Barbara(2017)。Rolling window selection for out-of-sample forecasting with time-varying parameters。Journal of Econometrics，196(1)，55-67。  new window
13.Rossi, Barbara、Inoue, Atsushi(2012)。Out-of-sample forecast tests robust to the choice of window size。Journal of Business & Economic Statistics，30(3)，432-453。  new window
14.Smets, Frank、Wouters, Raf(2003)。An estimated dynamic stochastic general equilibrium model of the euro area。Journal of the European economic association，1(5)，1123-1175。  new window
15.Hyndman, Rob J.、Khandakar, Yeasmin(2008)。Automatic Time Series Forecasting: The Forecast Package for R。Journal of Statistical Software，27(3)，1-22。  new window
16.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society，48(1)，1-48。  new window
17.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics，13(3)，253-263。  new window
18.Dib, Ali(2011)。Monetary Policy in Estimated Models of Small Open and Closed Economies。Open Economies Review，22(5)，769-796。  new window
19.Guerrieri, Luca、Iacoviello, Matteo(2017)。Collateral Constraints and Macroeconomic Asymmetries。Journal of Monetary Economics，90，28-49。  new window
20.Calvo, Guillermo A.(1983)。Staggered prices in a utility-maximizing framework。Journal of Monetary Economics，12(3)，383-398。  new window
21.Chen, Nan-Kuang、Wang, Hung-Jen(2007)。The Procyclical Leverage Effect of Collateral Value on Bank Loans-Evidence from the Transaction Data of Taiwan。Economic Inquiry，45(2)，395-406。  new window
22.Iacoviello, Matteo(2005)。House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle。American Economic Review，95(3)，739-764。  new window
23.Kollmann, Robert(2002)。Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles。Journal of Monetary Economics，49(5)，989-1015。  new window
24.Smets, Frank、Wouters, Raf(2007)。Shocks and Frictions in US Business Cycles: a Bayesian DSGE Approach。American Economic Review，97(3)，586-606。  new window
25.Teo, Wing-Leong(2009)。Estimated dynamic stochastic general equilibrium model of the Taiwanese economy。Pacific Economic Review，14(2)，194-231。  new window
26.黃俞寧(20130300)。動態隨機一般均衡架構在臺灣貨幣政策制定上之應用。中央銀行季刊，35(1)，3-33。new window  延伸查詢new window
27.Chan, Joshua C.、Koop, Gary、Potter, Simon M.(2013)。A New Model of Trend Inflation。Journal of Business & Economic Statistics，31(1)，94-106。  new window
28.Bekiros, Stelios D.、Paccagnini, Alessia(2014)。Bayesian Forecasting with Small and Medium Scale Factor-Augmented Vector Autoregressive DSGE Models。Computational Statistics & Data Analysis，71(1)，298-323。  new window
29.Edge, Rochelle M.、Gürkaynak, Refet S.(2010)。How Useful Are Estimated DSGE Model Forecasts for Central Bankers?。Brookings Papers on Economic Activity，24(3)，209-244。  new window
30.Ghent, Andra C.(2009)。Comparing DSGE-VAR Forecasting Models: How Big are the Differences?。Journal of Economic Dynamics and Control，33(4)，864-882。  new window
31.Gupta, Rangan、Steinbach, Rudi(2013)。A DSGE-VAR Model for Forecasting Key South African Macroeconomic Variables。Economic Modelling，33(1)，19-33。  new window
32.He, Qing、Liu, Fangge、Qian, Zongxin、Chong, Terence Tai Leung(2017)。Housing Prices and Business Cycle in China: A DSGE Analysis。International Review of Economic & Finance，52，246-256。  new window
33.Ingram, Beth F.、Whiteman, Charles H.(1994)。Supplanting the 'Minnesota' Prior: Forecasting Macroeconomic Time Series Using Real Business Cycle Model Priors。Journal of Monetary Economics，34(3)，497-510。  new window
34.Iacoviello, Matteo、Minetti, Raoul(2006)。International Business Cycles with Domestic and Foreign Lenders。Journal of Monetary Economics，53(8)，2267-2282。  new window
35.Justiniano, Alejandro、Preston, Bruce(2010)。Can Structural Small Open-economy Models Account for the Influence of Foreign Disturbances?。Journal of International Economics，81(1)，61-74。  new window
36.Mian, Atif、Rao, Kamalesh、Sufi, Amir(2013)。Household Balance Sheets, Consumption, and the Economic Slump。The Quarterly Journal of Economics，128(4)，1687-1726。  new window
37.Rubaszek, Michał、Skrzypczyński, Paweł(2008)。On the Forecasting Performance of a Small-Scale DSGE Model。International Journal of Forecasting，24(3)，498-512。  new window
38.王柏元(20210300)。Does Taiwan Need a Macro-prudential Policy? How to Do It? How to Coordinate with Monetary Policy?。經濟論文，49(1)，1-40。new window  new window
39.Teo, Wing Leong(2009)。Can Exchange Rate Rules be Better Than Interest Rate Rules?。Japan and the World Economy，21(3)，301-311。  new window
40.Davis, Morris A.、Heathcote, Jonathan(2005)。Housing and the Business Cycle。International Economic Review，46(3)，751-784。  new window
研究報告
1.管中閔、印永翔、姚睿、黃朝熙、徐之強、陳宜廷(2010)。台灣動態隨機一般均衡模型(DSGE)建立與政策評估。  延伸查詢new window
2.Adjemian, Stéphane、Bastani, Houtan、Juillard, Michel、Mihoubi, Ferhat、Perendia, George、Ratto, Marco、Sébastien, Villemot(2021)。Dynare: Reference Manual。CEPREMAP。  new window
圖書論文
1.Bernanke, Ben S.、Gertler, Mark、Gilchrist, Simon(1999)。The financial accelerator in a quantitative business cycle framework。Handbook of Macroeconomics。Amsterdam：Elsevier Press。  new window
2.Mincer, Jacob、Zarnowitz, Victor(1969)。The Evaluation of Economic Forecasts。Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance。New York：National Bureau of Economic Research。  new window
3.West, Kenneth D.(2006)。Forecast evaluation。Handbook of Economic Forecasting。Amsterdam：Elsevier。  new window
4.Gürkaynak, Refet S.、Kısacıkoğlu, Burçin、Rossi, Barbara(2014)。Do DSGE Models Forecast More Accurately Out-Of-Sample than VAR Models?。VAR Models in Macroeconomics--New Developments and Applications: Essays in Honor of Christopher A. Sims。Emerald Group Publishing Limited。  new window
 
 
 
 
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