How structural are structural parameters?:
This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter d...
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
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| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13166 |
| Links: | http://papers.nber.org/papers/w13166.pdf |
| Zusammenfassung: | This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter drifting and rational expectations of the agents with respect to this drift. We document that there is strong evidence that parameters change within our sample. We illustrate variations in the parameters describing the monetary policy reaction function and in the parameters characterizing the pricing behavior of firms and households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast doubts on the empirical relevance of Calvo models. |
| Beschreibung: | Literaturverz. S. 39 - 43 |
| Umfang: | 44, [6] S. graph. Darst. 22 cm |
Internformat
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| 100 | 1 | |a Fernández-Villaverde, Jesús |e Verfasser |0 (DE-588)131389564 |4 aut | |
| 245 | 1 | 0 | |a How structural are structural parameters? |c Jesús Fernández-Villaverde ; Juan F. Rubio-Ramírez |
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| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13166 | |
| 500 | |a Literaturverz. S. 39 - 43 | ||
| 520 | 8 | |a This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter drifting and rational expectations of the agents with respect to this drift. We document that there is strong evidence that parameters change within our sample. We illustrate variations in the parameters describing the monetary policy reaction function and in the parameters characterizing the pricing behavior of firms and households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast doubts on the empirical relevance of Calvo models. | |
| 700 | 1 | |a Rubio-Ramírez, Juan Francisco |d 1971- |e Verfasser |0 (DE-588)132194554 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
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| 856 | 4 | 1 | |u http://papers.nber.org/papers/w13166.pdf |z kostenfrei |3 Volltext |
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Datensatz im Suchindex
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| author | Fernández-Villaverde, Jesús Rubio-Ramírez, Juan Francisco 1971- |
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| id | DE-604.BV023593075 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:19Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908405 |
| oclc_num | 255742561 |
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| owner_facet | DE-521 |
| physical | 44, [6] S. graph. Darst. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Fernández-Villaverde, Jesús Verfasser (DE-588)131389564 aut How structural are structural parameters? Jesús Fernández-Villaverde ; Juan F. Rubio-Ramírez Cambridge, Mass. National Bureau of Economic Research 2007 44, [6] S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13166 Literaturverz. S. 39 - 43 This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter drifting and rational expectations of the agents with respect to this drift. We document that there is strong evidence that parameters change within our sample. We illustrate variations in the parameters describing the monetary policy reaction function and in the parameters characterizing the pricing behavior of firms and households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast doubts on the empirical relevance of Calvo models. Rubio-Ramírez, Juan Francisco 1971- Verfasser (DE-588)132194554 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13166 (DE-604)BV002801238 13166 http://papers.nber.org/papers/w13166.pdf kostenfrei Volltext |
| spellingShingle | Fernández-Villaverde, Jesús Rubio-Ramírez, Juan Francisco 1971- How structural are structural parameters? |
| title | How structural are structural parameters? |
| title_auth | How structural are structural parameters? |
| title_exact_search | How structural are structural parameters? |
| title_full | How structural are structural parameters? Jesús Fernández-Villaverde ; Juan F. Rubio-Ramírez |
| title_fullStr | How structural are structural parameters? Jesús Fernández-Villaverde ; Juan F. Rubio-Ramírez |
| title_full_unstemmed | How structural are structural parameters? Jesús Fernández-Villaverde ; Juan F. Rubio-Ramírez |
| title_short | How structural are structural parameters? |
| title_sort | how structural are structural parameters |
| url | http://papers.nber.org/papers/w13166.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT fernandezvillaverdejesus howstructuralarestructuralparameters AT rubioramirezjuanfrancisco howstructuralarestructuralparameters |