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Eleuterio, Samuel
- Does Evidence Challenge the Dsge Model?
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Authors
Affiliations
1 ISEG, University of Lisbon and UECE, R. Miguel Lupi 20, 1249-078 Lisboa, PT
2 Banco de Portugal, PT
3 Instituto Superior Tecnico, University of Lisbon Av. Rovisco Pais 1049-001 Lisboa, PT
1 ISEG, University of Lisbon and UECE, R. Miguel Lupi 20, 1249-078 Lisboa, PT
2 Banco de Portugal, PT
3 Instituto Superior Tecnico, University of Lisbon Av. Rovisco Pais 1049-001 Lisboa, PT
Source
International Journal of Entrepreneurial Knowledge, Vol 2, No 2 (2014), Pagination: 15-24Abstract
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 non-linearities 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.Keywords
Market Crises, Stochastic Geometry, Efficient Market Hypothesis, General Equilibrium, Financial Markets.Full Text
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