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Mr. Maxym Kryshko
When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon Boivin and Giannoni (2006), we relax these two assumptions and estimate a fairly simple monetary DSGE model on a richer data set. Using post-1983 U.S.data on real output, inflation, nominal interest rates, measures of inverse money velocity, and a large panel of informational series, we compare the data-rich DSGE model with the regular - few observables, perfect measurement - DSGE model in terms of deep parameter estimates, propagation of monetary policy and technology shocks and sources of business cycle fluctuations. We document that the data-rich DSGE model generates a higher implied duration of Calvo price contracts and a lower slope of the New Keynesian Phillips curve. To reduce the computational costs of the likelihood-based estimation, we employed a novel speedup as in Jungbacker and Koopman (2008) and achieved the time savings of 60 percent.
Mariana Colacelli and Emilio Fernández Corugedo

, that inflation expectations are not anchored at the Bank of Japan’s two percent target, and that the Phillips curve is relatively flat, in response to two decades of weak price growth in Japan (eg Sugo and Ueda, 2008 , Fueki et al, 2016 , Watanabe and Watanabe, 2018 , and IMF, 2015 ). Two model parameters are used to capture these stylized facts. First, we set the nominal rigidities’ GIMF parameter (i.e. Rotemberg price adjustment cost) such that prices are changed on average every three years, consistent with the estimated DSGE parameters of Sugo and Ueda (2008

Mariana Colacelli and Emilio Fernández Corugedo
Yes, partly. This paper studies the potential role of structural reforms in improving Japan’s outlook using the IMF’s Global Integrated Monetary and Fiscal Model (GIMF) with newly-added demographic features. Implementation of a not-fully-believed path of structural reforms can significantly offset the adverse effect of Japan’s demographic headwinds — a declining and ageing population — on real GDP (by about 15 percent in the next 40 years), but would not boost inflation or contribute substantially to stabilizing public debt. Alternatively, implementation of a fully-credible structural reform program can contribute significantly to stabilizing public debt because of the resulting increase in inflation towards the Bank of Japan’s target, while achieving the same positive long-run effects on real GDP. If no reforms are implemented, severe demographic headwinds are expected to reduce Japan’s real GDP by over 25 percent in the next 40 years.
Mr. Maxym Kryshko

(θ ( g −1) ) , H(θ ( g −1) ) and Q(θ ( g −1) ) 2.2. Draw from p (Г | θ ( g −1) ; X T ): a) Generate unobserved states S T ,( g ) from p ( S T | Г ( g −1) , θ ( g −1) ; X T ) using the Carter-Kohn (1994) forward-backward algorithm; b) Generate state-space parameters Г ( g ) from p (Г | S T ,( g ) , θ ( g −1) ; X T ) by drawing from a complete set of known conditional densities [ R | Λ , Ψ ,Ξ], [ Λ | R , Ψ ; Ξ] and [ Ψ | Λ , R ; Ξ], where Ξ ={ S T ,( g ) , θ ( g −1) , X T }. 2.3. Draw DSGE parameters θ ( g ) from p ( θ | Г ( g ) ; X T