The Chicago Fed DSGE Model

42 Pages Posted: 29 Aug 2012

See all articles by Scott A. Brave

Scott A. Brave

Federal Reserve Bank of Chicago

Jeffrey R. Campbell

University of Notre Dame; Tilburg University

Jonas D. M. Fisher

Federal Reserve Bank of Chicago - Economic Research Department

Alejandro Justiniano

Federal Reserve Bank of Chicago

Date Written: August 16, 2012

Abstract

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the Federal Reserve Bank of Chicago. This article describes its specification and estimation, its dynamic characteristics and how it is used to forecast the US economy. In many respects the model resembles other medium scale New Keynesian frameworks, but there are several features which distinguish it: the monetary policy rule includes forward guidance, productivity is driven by neutral and investment specific technical change, multiple price indices identify inflation and there is a financial accelerator mechanism.

Keywords: New Keynesian model, DSGE, forecasting, policy analysis

JEL Classification: E1, E2, E3, E4, E5

Suggested Citation

Brave, Scott A. and Campbell, Jeffrey R. and Fisher, Jonas D. M. and Justiniano, Alejandro, The Chicago Fed DSGE Model (August 16, 2012). FRB of Chicago Working Paper No. 2012-02, Available at SSRN: https://ssrn.com/abstract=2137076 or http://dx.doi.org/10.2139/ssrn.2137076

Scott A. Brave

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

Jeffrey R. Campbell

University of Notre Dame ( email )

United States

Tilburg University ( email )

Tilburg, 5000 LE
Netherlands

Jonas D. M. Fisher (Contact Author)

Federal Reserve Bank of Chicago - Economic Research Department ( email )

230 South LaSalle Street
Chicago, IL 60604-1413
United States

Alejandro Justiniano

Federal Reserve Bank of Chicago ( email )

230 South LaSalle Street
Chicago, IL 60604
United States

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