Evaluation of DSGE model KOOMA with a sign restricted Structural VAR model
Snellman, Oliver (2019-10-11)
Julkaisusarja:Publications of the Ministry of Finance 2019:62
Julkaisun pysyvä osoite onhttp://urn.fi/URN:ISBN:978-952-367-044-0
The aim of this study is to evaluate the calibration of DSGE model KOOMA of the Ministry of Finance with a SVAR model, which is identified with sign restrictions. I compare impulse response functions from the SVAR model, which are found statistically significant and robust to changes in model specifications, to the equivalent impulse response functions from KOOMA. The findings suggest, that KOOMA generally produce impulse responses with same signs as the SVAR model, but there are some differences in the magnitudes and persistence of the responses.