Monetary policy analysis with potentially misspecified models:
Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores polic...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Series: | Working paper series / National Bureau of Economic Research
13099 |
| Online Access: | Volltext |
| Summary: | Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores policy analysis approaches that are either based on a generalized shock structure for the DSGE model or the explicit modelling of deviations from cross-equation restrictions. Using post-1982 U.S. data we first quantify the degree of misspecification in a state-of-the-art DSGE model and then document the performance of different interest-rate feedback rules. We find that many of the policy prescriptions derived from the benchmark DSGE model are robust to the various treatments of misspecifications considered in this paper, but that quantitatively the cost of deviating from such prescriptions varies substantially. |
| Physical Description: | 54 S. graph. Darst. 22 cm |
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| spelling | Del Negro, Marco Verfasser (DE-588)130334855 aut Monetary policy analysis with potentially misspecified models Marco Del Negro ; Frank Schorfheide Cambridge, Mass. National Bureau of Economic Research 2007 54 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13099 Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores policy analysis approaches that are either based on a generalized shock structure for the DSGE model or the explicit modelling of deviations from cross-equation restrictions. Using post-1982 U.S. data we first quantify the degree of misspecification in a state-of-the-art DSGE model and then document the performance of different interest-rate feedback rules. We find that many of the policy prescriptions derived from the benchmark DSGE model are robust to the various treatments of misspecifications considered in this paper, but that quantitatively the cost of deviating from such prescriptions varies substantially. Schorfheide, Frank Verfasser (DE-588)130374822 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13099 (DE-604)BV002801238 13099 http://papers.nber.org/papers/w13099.pdf kostenfrei Volltext |
| spellingShingle | Del Negro, Marco Schorfheide, Frank Monetary policy analysis with potentially misspecified models |
| title | Monetary policy analysis with potentially misspecified models |
| title_auth | Monetary policy analysis with potentially misspecified models |
| title_exact_search | Monetary policy analysis with potentially misspecified models |
| title_exact_search_txtP | Monetary policy analysis with potentially misspecified models |
| title_full | Monetary policy analysis with potentially misspecified models Marco Del Negro ; Frank Schorfheide |
| title_fullStr | Monetary policy analysis with potentially misspecified models Marco Del Negro ; Frank Schorfheide |
| title_full_unstemmed | Monetary policy analysis with potentially misspecified models Marco Del Negro ; Frank Schorfheide |
| title_short | Monetary policy analysis with potentially misspecified models |
| title_sort | monetary policy analysis with potentially misspecified models |
| url | http://papers.nber.org/papers/w13099.pdf |
| volume_link | (DE-604)BV002801238 |
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