| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4155 |
| DP4155 Price Discrimination in Markets for Experts' Services | |
| Rudolf Kerschbamer; Uwe Dulleck | |
| 发表日期 | 2003-12-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. We provide an application of our method by estimating the parameters of a three equation model of the monetary transmission mechanism using data from 1970:Q1 to 1999:Q4. We estimate a vector autoregression and find that the parameters of this VAR are unstable. However, using our proposed identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimates of the recoverable structure and we demonstrate that these parameters are invariant to changes in policy. Since the recoverable structure includes future expectations as explanatory variables our parameter estimates are not subject to the Lucas Critique of Econometric Policy Evaluation. |
| 主题 | International Macroeconomics |
| 关键词 | Fed Monetary transmission Identification Structural breaks Recoverable structure |
| URL | https://cepr.org/publications/dp4155 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533126 |
| 推荐引用方式 GB/T 7714 | Rudolf Kerschbamer,Uwe Dulleck. DP4155 Price Discrimination in Markets for Experts' Services. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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