Does evidence challenge the DSGE model?

Authors

  • Tanya Araújo ISEG, University of Lisbon and UECE, R. Miguel Lupi 20, 1249-078 Lisboa, Portugal
  • Sofia Terlica Banco de Portugal
  • Samuel Eleutério Instituto Superior Técnico, University of Lisbon Av. Rovisco Pais 1049-001 Lisboa
  • Francisco Louçã ISEG, University of Lisbon and UECE, R. Miguel Lupi 20, 1249-078 Lisboa, Portugal

DOI:

https://doi.org/10.37335/ijek.v2i2.18

Keywords:

Market Crises, Stochastic Geometry, Efficient Market Hypothesis, General Equilibrium, Financial Markets

Abstract

DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the persistence of or the return to equilibrium after a shock, or the absence of dynamics. Our analysis of complex financial markets, using historical data of S&P500, suggests otherwise that financial regimes endogenously change and that equilibrium is an artifact.

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Published

2014-12-31

How to Cite

Araújo, T., Terlica, S., Eleutério, S., & Louçã, F. . (2014). Does evidence challenge the DSGE model?. International Journal of Entrepreneurial Knowledge, 2(2). https://doi.org/10.37335/ijek.v2i2.18

Issue

Vol. 2 No. 2 (2014): International Journal of Entrepreneurial Knowledge

Section

Research

License

International Journal of Entrepreneurial Knowledge (ISSN 2336-2960) is published by the Center for International Scientific Research of VŠO and VŠPP in cooperation with the following partners:

  • University College of Business in Prague, Czech Republic
  • University of Entrepreneurship and Law, Prague, Czech Republic
  • School of Business and Administration of the Polytechnic Institute of Setúbal, Portugal
  • Faculty of Operation and Economics of Transport and Communications, University of Zilina, Slovakia
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