| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7555 |
| DP7555 Estimated Interest Rate Rules: Do they Determine Determinacy Properties? | |
| Henrik Jensen | |
| 发表日期 | 2009-11-15 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data series. We find that the original New Keynesian SW model is on the margin of acceptance when SW's own estimates of the variances and time-series behaviour of the structural errors are used. However when the structural errors implied jointly by the data and the structural model are used the model is rejected. We also construct an alternative (New Classical) version of the model with flexible wages and prices and a one-period information lag. This too is rejected. But when small proportions of both the labour and product markets are assumed to be imperfectly competitive within otherwise flexible markets the resulting `weighted' model is accepted. |
| 主题 | International Macroeconomics |
| 关键词 | Bootstrap Dsge Grea moderation indirect inference New classical New keynesian Regime change Structural break Us model Var |
| URL | https://cepr.org/publications/dp7555 |
| 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/536391 |
| 推荐引用方式 GB/T 7714 | Henrik Jensen. DP7555 Estimated Interest Rate Rules: Do they Determine Determinacy Properties?. 2009. |
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