02117cas a2200241 a 4500 AALejournalIMF011302 230101c9999 xx r poo 0 0eng d 5.00 USD 9781463904210 1018-5941 BD-DhAAL BD-DhAAL Kryshko, Maxym. Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model / Maxym Kryshko. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (60 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2011/219 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/219/001.2011.issue-219-en.xml IMF e-Library