| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4835 |
| DP4835 The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates | |
| Mark Taylor; Richard Clarida; LUCIO SARNO; Giorgio Valente | |
| 发表日期 | 2005-01-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions. Let delta denote the extent to which the restrictions are being relaxed. We document how the in- and out-of-sample fit of the resulting specification (DSGE-VAR) changes as a function of delta. Furthermore, we learn about the precise nature of the misspecification by comparing the DSGE model?s impulse responses to structural shocks with those of the best-fitting DSGE-VAR. We find that the degree of misspecification in large-scale DSGE models is no longer so large to prevent their use in day-to-day policy analysis, yet it is not small enough that it cannot be ignored. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian analysis Dsge models Model evaluation Vector autoregression |
| URL | https://cepr.org/publications/dp4835 |
| 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/533744 |
| 推荐引用方式 GB/T 7714 | Mark Taylor,Richard Clarida,LUCIO SARNO,et al. DP4835 The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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