IMF-使用DSGE模型中的冲击分解评估历史事件（英）

Evaluating Historical Episodes using Shock Decompositions in the DSGE Model Zamid Aligishiev, Michael Ben-Gad, and Joseph Pearlman WP/25/51IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 MAR * Authors would like to thank Thorsten Drautzburg and Harald Uhlig for comments and advice on an earlier draft. © 2025 International Monetary Fund WP/25/51IMF Working Paper Western Hemisphere Department Evaluating Historical Episodes using Shock Decompositions in the DSGE Model Prepared by Zamid Aligishiev, Michael Ben-Gad, and Joseph Pearlman* Authorized for distribution by Gustavo Adler March 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: We present alternative methods for calculating and interpreting the influence of exogenous shocks on historical episodes within the context of DSGE models. We show analytically why different methods for calculating shock decompositions can generate conflicting interpretations of the same historical episodes. We illustrate this point using an extended version of Drautzburg and Uhlig’s (2015) model of the U.S. economy, focusing on the periods 1964–1966, 1979–1987, 2006–2009, 2016–2020 and 2020–2023. We argue that the best method for analyzing particular episodes is one which isolates the influence of the shocks during the period under consideration and where the initial conditions represent the system’s distance from balanced growth path at the beginning of the episode. RECOMMENDED CITATION: Aligishiev, Z., M. Ben-Gad, and J. Pearlman. 2025. Evaluating Historical Episodes using Shock Decompositions in the DSGE Model. Working Paper WP/25/51. International MonetaryFund, Washington D.C. JEL Classification Numbers: E32, E65 Keywords: DSGE model; Shock Decomposition; Financial Frictions; FiscalPolicy Author’s E-Mail Address: ZAligishiev@imf.org, MBengad@city.ac.uk, Joseph.Pearlman.1@city.ac.uk WORKING PAPERS Evaluating Historical Episodes using Shock Decompositions in the DSGE Model Prepared by Zamid Aligishiev, Michael Ben-Gad, and Joseph Pearlman1 1 Authors would like to thank Thorsten Drautzburg and Harald Uhlig for comments and advice on an earlier draft. 1IntroductionDynamic Stochastic General Equilibrium (DSGE) models estimated using Bayesian techniquesare now a standard framework for analyzing the behavior and evolution of macroeconomies. Inreduced form these are state space models where the evolution of each variable over the entiresample period can be represented as the combined effects of the different exogenous shocks