Template-Type: ReDIF-Paper 1.0
Title: Estimation of DSGE Models With the Effective Lower Bound
Author-Name: Gregor Boehl, Felix Strobel
Author-Email: gboehl@uni-bonn.de
Classification-JEL:  C11, C63, E31, E32, E44
Keywords: Effective Lower Bound, Bayesian Estimation, Great Recession, Business Cycles



Abstract: We propose a set of tools for the efficient and robust Bayesian estimation of
medium- and large-scale DSGE models while accounting for the effective lower bound  on 
nominal interest rates. We combine a novel nonlinear recursive filter with a computationally 
efficient piece-wise linear solution method and a state-of-the-art MCMC sampler. The filter 
allows for fast likelihood approximations, in particular of models with large state spaces. 
Using artificial data, we demonstrate that our methods accurately capture the true model 
parameters even with very long lower bound episodes. We apply our approach to analyze 
post-2008 US business cycle properties.


Note: 
Length: 54
Creation-Date: 2022-06
Revision-Date: 
File-URL: https://www.crctr224.de/research/discussion-papers/archive/dp356
File-Format: application/pdf
Handle: RePEc:bon:boncrc:CRCTR224_2022_356