Estimating macroeconomic models with optimizing agents: habit formation and real wage rigidity
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| Sprache: | English |
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2005
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 168 S. graph. Darst. |
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| 245 | 1 | 0 | |a Estimating macroeconomic models with optimizing agents |b habit formation and real wage rigidity |c vorgelegt von Kai Philipp Christoffel |
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Datensatz im Suchindex
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| adam_text | Table of Contents
List of Original Working Papers ii
List of Figures vii
List of Tables ix
List of Abbreviations x
1 Introduction 1
1.1 Optimizing Agents in Incomplete Markets 2
1.2 Estimating Dynamic Stochastic General Equilibrium Models ... 5
References 12
2 Habit Formation and RuIe of Thumb Consumers in a small Estimated
Euro Area Model 15
2.1 Introduction 15
2.2 Modelling the Demand Side: the Permanent Income Hypothesis
and Habit Formation in Consumption 17
2.2.1 Consumption Block of the Model 20
2.2.2 Overlapping Wage Contracts 25
2.2.3 Taylor Rule 28
2.2.4 Non Consumption Components of Income 28
2.3 Estimation Technique 28
2.4 Estimation Results 32
2.4.1 Estimating a Reduced System 32
2.4.2 Rule of thumb Consumers and Habit Formation 36
2.4.3 A small Monetary Policy Model for the Euro Area .... 37
2.4.4 Shocks and Structural Propagation 38
2.5 Conclusions 42
2.6 Appendix 45
References 48
iv
Table of Contents v
3 Habit Formation in Consumption: Comparing Estimation Results for
the U.S. and the Euro Area 52
3.1 Introduction 52
3.2 The Model 55
3.3 Estimation Technique 62
3.4 Estimation Results for the Consumption Specification 67
3.4.1 The U.S. Data Set and Estimation Results of the Reduced
System 69
3.4.2 The Euro Area Data Set and Estimation Results of the
Reduced System 73
3.4.3 Consumption Dynamics in the U.S. and the Euro Area . . 76
3.5 Conclusions 78
3.6 Appendix 80
3.6.1 Principles of Indirect Inference 80
3.6.2 The Data Sets 82
References 86
4 Avoiding Cross Equation Effects of Misspecification: A partial Esti¬
mation Approach to DSGE Models 89
4.1 Introduction 89
4.2 The Estimation Strategy 91
4.2.1 Partial Indirect Inference on a Statistical Model 95
4.2.2 Partial Estimation in a Structural Setting 98
4.2.3 Structural Model and Auxiliary Model: The Standard Case 100
4.2.4 Structural Model and Auxiliary Model: Unobservable Vari¬
ables 102
4.3 Estimation Technique 104
4.3.1 Indirect Inference Estimator 104
4.3.2 Maximum Likelihood Estimation 106
4.4 The Monte Carlo Experiment 108
4.4.1 A basic New Keynesian DSGE Model 108
4.4.2 Comparison of Estimation Properties for the Structural
Model 110
4.5 Conclusion 115
Table of Contents vi
4.6 Appendix 118
References 120
5 The Role of Real Wage Rigidity and Labor Market Frictions for Un¬
employment and Inflation Dynamics 124
5.1 Introduction 124
5.2 Price and Wage Rigidities 127
5.3 The Business Cycle Model with Labor Market Matching 131
5.3.1 The Household Problem 132
5.3.2 The Job Matching 133
5.3.3 The Wage Setting 137
5.3.4 Final Good Firms and Price Setting 143
5.3.5 Monetary Policy 144
5.4 The Calibrated Model Results 145
5.4.1 The Impact of Wage Rigidity 145
5.4.2 The Impact of Labor Market Fundamentals 149
5.5 Conclusions 152
5.6 Appendix 154
References 160
List of Figures
2.1 Impulse Response Function of Consumption to a Shock in Income 19
2.2 Auto and Cross Correlation Functions Consumption Specifica¬
tion and VAR 35
2.3 Auto and Cross Correlation Functions, Full Model and VAR ... 39
2.4 Response to Monetary Policy Shock 40
2.5 Sensitivity of Consumption Dynamics to Degree of Habit Formation 41
2.6 Sensitivity of Consumption Dynamics to Degree of Autocorrela¬
tion of Income Shock 42
2.7 Euro Area Data 47
3.1 Auto and Crosscorrelation Functions US 72
3.2 Auto and Crosscorrelation Functions Europe (Hp Filter) 75
3.3 United States Data 83
3.4 Euro Area Data 84
4.1 Density Function of Partial Maximum Likelihood 118
5.1 Quarterly Real Wage Growth from 1960 to 2003 in Germany ... 129
5.2 Inflation vs. Wage Persistence: Cross Country Evidence 130
5.3 Inflation Persistence vs. Natural Unemployment: Cross Country
Evidence 131
5.4 Variance Decomposition of German CPI Inflation 155
5.5 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model in an Efficient Bargaining Regime 156
5.6 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model in a Right to Manage Bargaining Regime .... 157
5.7 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model with Decreased Workers Bargaining Power . . 158
vii
List of Figures viii
5.8 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model with Lower Job Destruction 159
List of Tables
2.1 Estimation Results Euro Area: Consumption Specification (Hodrick
Prescott Filter versus Linear Detrending) 34
2.2 Estimation Results Euro Area: Inflation specification 38
2.3 Variable Description of Model 45
2.4 Estimation Results Euro Area: Full Model 46
3.1 Parameters of the Consumption Specification 68
3.2 Sources and Definitions of Quarterly Data 68
3.3 Comparison of Estimation Results for U.S. data 70
3.4 Estimation Results Euro Area: Linear Detrending versus Hodrick
Prescott Filter 76
3.5 Comparison of Estimation Results for U.S. and Euro Area .... 77
3.6 Variables of the Consumption Specification 85
4.1 Misspecified Auxiliary Model in Large Samples: VARMA with
VAR as Auxiliary Model, samplesize = 950,400 path simulations. 98
4.2 Misspecified Auxiliary Model in Medium Samples: VARMA with
VAR as Auxiliary Model, samplesize = 150,400 path simulations. 99
4.3 Chosen Values of Structural Parameters in Simulation Exercise . 113
4.4 DSGE Model with Unobservable Variables using a VAR as Aux¬
iliary Model, samplesize = 150,400 path simulations 114
4.5 DSGE Model with Unobservable Variables using a VAR as Aux¬
iliary Model, samplesize = 950, 400 path simulations 114
4.6 Partial versus Full Estimation of VARMA Model, samplesize =
950, 400 path simulations 119
5.1 Estimated Persistence ; in Wages and Inflation 149
5.2 Calibration for Benchmark Model without Wage Rigidity (5 = 0). 154
ix
|
| adam_txt |
Table of Contents
List of Original Working Papers ii
List of Figures vii
List of Tables ix
List of Abbreviations x
1 Introduction 1
1.1 Optimizing Agents in Incomplete Markets 2
1.2 Estimating Dynamic Stochastic General Equilibrium Models . 5
References 12
2 Habit Formation and RuIe of Thumb Consumers in a small Estimated
Euro Area Model 15
2.1 Introduction 15
2.2 Modelling the Demand Side: the Permanent Income Hypothesis
and Habit Formation in Consumption 17
2.2.1 Consumption Block of the Model 20
2.2.2 Overlapping Wage Contracts 25
2.2.3 Taylor Rule 28
2.2.4 Non Consumption Components of Income 28
2.3 Estimation Technique 28
2.4 Estimation Results 32
2.4.1 Estimating a Reduced System 32
2.4.2 Rule of thumb Consumers and Habit Formation 36
2.4.3 A small Monetary Policy Model for the Euro Area . 37
2.4.4 Shocks and Structural Propagation 38
2.5 Conclusions 42
2.6 Appendix 45
References 48
iv
Table of Contents v
3 Habit Formation in Consumption: Comparing Estimation Results for
the U.S. and the Euro Area 52
3.1 Introduction 52
3.2 The Model 55
3.3 Estimation Technique 62
3.4 Estimation Results for the Consumption Specification 67
3.4.1 The U.S. Data Set and Estimation Results of the Reduced
System 69
3.4.2 The Euro Area Data Set and Estimation Results of the
Reduced System 73
3.4.3 Consumption Dynamics in the U.S. and the Euro Area . . 76
3.5 Conclusions 78
3.6 Appendix 80
3.6.1 Principles of Indirect Inference 80
3.6.2 The Data Sets 82
References 86
4 Avoiding Cross Equation Effects of Misspecification: A partial Esti¬
mation Approach to DSGE Models 89
4.1 Introduction 89
4.2 The Estimation Strategy 91
4.2.1 Partial Indirect Inference on a Statistical Model 95
4.2.2 Partial Estimation in a Structural Setting 98
4.2.3 Structural Model and Auxiliary Model: The Standard Case 100
4.2.4 Structural Model and Auxiliary Model: Unobservable Vari¬
ables 102
4.3 Estimation Technique 104
4.3.1 Indirect Inference Estimator 104
4.3.2 Maximum Likelihood Estimation 106
4.4 The Monte Carlo Experiment 108
4.4.1 A basic New Keynesian DSGE Model 108
4.4.2 Comparison of Estimation Properties for the Structural
Model 110
4.5 Conclusion 115
Table of Contents vi
4.6 Appendix 118
References 120
5 The Role of Real Wage Rigidity and Labor Market Frictions for Un¬
employment and Inflation Dynamics 124
5.1 Introduction 124
5.2 Price and Wage Rigidities 127
5.3 The Business Cycle Model with Labor Market Matching 131
5.3.1 The Household Problem 132
5.3.2 The Job Matching 133
5.3.3 The Wage Setting 137
5.3.4 Final Good Firms and Price Setting 143
5.3.5 Monetary Policy 144
5.4 The Calibrated Model Results 145
5.4.1 The Impact of Wage Rigidity 145
5.4.2 The Impact of Labor Market Fundamentals 149
5.5 Conclusions 152
5.6 Appendix 154
References 160
List of Figures
2.1 Impulse Response Function of Consumption to a Shock in Income 19
2.2 Auto and Cross Correlation Functions Consumption Specifica¬
tion and VAR 35
2.3 Auto and Cross Correlation Functions, Full Model and VAR . 39
2.4 Response to Monetary Policy Shock 40
2.5 Sensitivity of Consumption Dynamics to Degree of Habit Formation 41
2.6 Sensitivity of Consumption Dynamics to Degree of Autocorrela¬
tion of Income Shock 42
2.7 Euro Area Data 47
3.1 Auto and Crosscorrelation Functions US 72
3.2 Auto and Crosscorrelation Functions Europe (Hp Filter) 75
3.3 United States Data 83
3.4 Euro Area Data 84
4.1 Density Function of Partial Maximum Likelihood 118
5.1 Quarterly Real Wage Growth from 1960 to 2003 in Germany . 129
5.2 Inflation vs. Wage Persistence: Cross Country Evidence 130
5.3 Inflation Persistence vs. Natural Unemployment: Cross Country
Evidence 131
5.4 Variance Decomposition of German CPI Inflation 155
5.5 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model in an Efficient Bargaining Regime 156
5.6 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model in a Right to Manage Bargaining Regime . 157
5.7 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model with Decreased Workers' Bargaining Power . . 158
vii
List of Figures viii
5.8 Impulse Response Functions of a Monetary Policy Shock from
Calibrated Model with Lower Job Destruction 159
List of Tables
2.1 Estimation Results Euro Area: Consumption Specification (Hodrick
Prescott Filter versus Linear Detrending) 34
2.2 Estimation Results Euro Area: Inflation specification 38
2.3 Variable Description of Model 45
2.4 Estimation Results Euro Area: Full Model 46
3.1 Parameters of the Consumption Specification 68
3.2 Sources and Definitions of Quarterly Data 68
3.3 Comparison of Estimation Results for U.S. data 70
3.4 Estimation Results Euro Area: Linear Detrending versus Hodrick
Prescott Filter 76
3.5 Comparison of Estimation Results for U.S. and Euro Area . 77
3.6 Variables of the Consumption Specification 85
4.1 Misspecified Auxiliary Model in Large Samples: VARMA with
VAR as Auxiliary Model, samplesize = 950,400 path simulations. 98
4.2 Misspecified Auxiliary Model in Medium Samples: VARMA with
VAR as Auxiliary Model, samplesize = 150,400 path simulations. 99
4.3 Chosen Values of Structural Parameters in Simulation Exercise . 113
4.4 DSGE Model with Unobservable Variables using a VAR as Aux¬
iliary Model, samplesize = 150,400 path simulations 114
4.5 DSGE Model with Unobservable Variables using a VAR as Aux¬
iliary Model, samplesize = 950, 400 path simulations 114
4.6 Partial versus Full Estimation of VARMA Model, samplesize =
950, 400 path simulations 119
5.1 Estimated Persistence ; in Wages and Inflation 149
5.2 Calibration for Benchmark Model without Wage Rigidity (5 = 0). 154
ix |
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| index_date | 2024-07-02T15:18:20Z |
| indexdate | 2024-07-09T20:42:04Z |
| institution | BVB |
| language | English |
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| spelling | Christoffel, Kai 1972- Verfasser (DE-588)13144803X aut Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity vorgelegt von Kai Philipp Christoffel 2005 X, 168 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss. Gleichgewichtsmodell (DE-588)4125214-7 gnd rswk-swf Stochastische dynamische Optimierung (DE-588)4183372-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Gleichgewichtsmodell (DE-588)4125214-7 s Stochastische dynamische Optimierung (DE-588)4183372-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014918122&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Christoffel, Kai 1972- Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity Gleichgewichtsmodell (DE-588)4125214-7 gnd Stochastische dynamische Optimierung (DE-588)4183372-7 gnd |
| subject_GND | (DE-588)4125214-7 (DE-588)4183372-7 (DE-588)4113937-9 |
| title | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity |
| title_auth | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity |
| title_exact_search | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity |
| title_exact_search_txtP | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity |
| title_full | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity vorgelegt von Kai Philipp Christoffel |
| title_fullStr | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity vorgelegt von Kai Philipp Christoffel |
| title_full_unstemmed | Estimating macroeconomic models with optimizing agents habit formation and real wage rigidity vorgelegt von Kai Philipp Christoffel |
| title_short | Estimating macroeconomic models with optimizing agents |
| title_sort | estimating macroeconomic models with optimizing agents habit formation and real wage rigidity |
| title_sub | habit formation and real wage rigidity |
| topic | Gleichgewichtsmodell (DE-588)4125214-7 gnd Stochastische dynamische Optimierung (DE-588)4183372-7 gnd |
| topic_facet | Gleichgewichtsmodell Stochastische dynamische Optimierung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014918122&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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