| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19693 |
| 来源ID | Working Paper 19693 |
| Assessing DSGE Model Nonlinearities | |
| S. Borağan Aruoba; Luigi Bocola; Frank Schorfheide | |
| 发表日期 | 2013-12-05 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional heteroskedasticity. We estimate a DSGE model with asymmetric wage/price adjustment costs and use predictive checks to assess its ability to account for nonlinearities. While it is able to match the nonlinear inflation and wage dynamics, thanks to the estimated downward wage/price rigidities, these do not spill over to output growth or the interest rate. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w19693 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577368 |
| 推荐引用方式 GB/T 7714 | S. Borağan Aruoba,Luigi Bocola,Frank Schorfheide. Assessing DSGE Model Nonlinearities. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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