方法对比
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| 动态随机一般均衡（DSGE）模型× | 结构向量自回归 (SVAR)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2007 | 1980 |
| 提出者≠ | Smets & Wouters; An & Schorfheide (Bayesian DSGE estimation) | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| 类型≠ | Micro-founded macroeconomic general equilibrium model | Multivariate time series model |
| 开创性文献≠ | Smets, F. & Wouters, R. (2007). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review, 97(3), 586–606. DOI ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| 别名 | DSGE, dynamic stochastic general equilibrium, micro-founded macroeconomic model, Dinamik Stokastik Genel Denge Modeli (DSGE) | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| 相关 | 5 | 5 |
| 摘要≠ | A DSGE model is a micro-founded macroeconomic general equilibrium model that combines the optimising decisions of households, firms, and government under rational expectations. Popularised for empirical policy work by Smets and Wouters (2007) and given its Bayesian estimation framework by An and Schorfheide (2007), it is the standard tool for central-bank policy analysis, fiscal-shock simulation, and the study of business-cycle fluctuations. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. |
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