A New Procedure for Generating the Stochastic Simulations in Frb/Us

Posted: 12 Mar 2019

See all articles by Manuel Gonzalez-Astudillo

Manuel Gonzalez-Astudillo

Board of Governors of the Federal Reserve System

Diego Vilan

Board of Governors of the Federal Reserve System

Date Written: 2019-03-07

Abstract

This note summarizes a new procedure for generating stochastic simulations in FRB/US, a large-scale estimated general equilibrium macroeconomic model of the U.S. economy, which has been in use at the Federal Reserve Board since 1996. In the first part of this note, we contrast some features of the original stochastic simulations procedure with those of the data. In the second part, we offer an alternative to the original procedure that fits the data better along core dimensions of interest.

Suggested Citation

Gonzalez-Astudillo, Manuel and Vilan, Diego, A New Procedure for Generating the Stochastic Simulations in Frb/Us (2019-03-07). FED Notes No. 2019-03-07. Available at SSRN: https://ssrn.com/abstract=3349207 or http://dx.doi.org/10.17016/2380-7172.2314

Manuel Gonzalez-Astudillo (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Diego Vilan

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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