by Summary:
The easiest way to understand DSGE macro models are that they are just arbitrage-free pricing models. If one understands how arbitrage-free pricing models are used in fixed income analysis, one can immediately grasp what a DSGE model can -- and cannot -- do.I owe this observation to Warren Mosler, who noted this in a conversation. Beyond that, I am unsure who has also noted this. Since option-pricing models are one class of models within the Dyamic Stochastic General Equilibrium family, the observation should not be controversial -- but the implications of the "just" in the sentence would presumably be.... Bond Economics"DSGE Models Are Just Arbitrage-Free Pricing Models"Brian Romanchuk
Topics:
Mike Norman considers the following as important:
This could be interesting, too:
The easiest way to understand DSGE macro models are that they are just arbitrage-free pricing models. If one understands how arbitrage-free pricing models are used in fixed income analysis, one can immediately grasp what a DSGE model can -- and cannot -- do.I owe this observation to Warren Mosler, who noted this in a conversation. Beyond that, I am unsure who has also noted this. Since option-pricing models are one class of models within the Dyamic Stochastic General Equilibrium family, the observation should not be controversial -- but the implications of the "just" in the sentence would presumably be.... Bond Economics"DSGE Models Are Just Arbitrage-Free Pricing Models"Brian Romanchuk
Topics:
Mike Norman considers the following as important:
This could be interesting, too:
Robert Vienneau writes Austrian Capital Theory And Triple-Switching In The Corn-Tractor Model
Mike Norman writes The Accursed Tariffs — NeilW
Mike Norman writes IRS has agreed to share migrants’ tax information with ICE
Mike Norman writes Trump’s “Liberation Day”: Another PR Gag, or Global Reorientation Turning Point? — Simplicius
The easiest way to understand DSGE macro models are that they are just arbitrage-free pricing models. If one understands how arbitrage-free pricing models are used in fixed income analysis, one can immediately grasp what a DSGE model can -- and cannot -- do.Bond EconomicsI owe this observation to Warren Mosler, who noted this in a conversation. Beyond that, I am unsure who has also noted this. Since option-pricing models are one class of models within the Dyamic Stochastic General Equilibrium family, the observation should not be controversial -- but the implications of the "just" in the sentence would presumably be....
"DSGE Models Are Just Arbitrage-Free Pricing Models"
Brian Romanchuk