Replication data for: Monetary Policy Analysis with Potentially Misspecified Models
Principal Investigator(s): View help for Principal Investigator(s) Marco Del Negro; Frank Schorfheide
Version: View help for Version V1
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20051010-R4.tar.gz | application/gzip | 1.9 MB | 10/12/2019 05:46:AM |
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 05:46:AM |
Project Citation:
Del Negro, Marco, and Schorfheide, Frank. Replication data for: Monetary Policy Analysis with Potentially Misspecified Models. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113320V1
Project Description
Summary:
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Policy analysis with potentially misspecified dynamic stochastic general equilibrium
(DSGE) models faces two challenges: estimation of parameters that
are relevant for policy trade-offs, and treatment of the deviations from the
cross-equation restrictions. Using post-1982 US data, we study the robustness
of the policy prescriptions from a state-of-the-art DSGE model with respect to
two approaches to model misspecification pursued in the recent literature: (i)
adding shocks to the DSGE model and/or generalizing the processes followed
by these shocks; and (ii) explicit modeling of deviations from cross-equation
restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)
Scope of Project
JEL Classification:
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C51 Model Construction and Estimation
E13 General Aggregative Models: Neoclassical
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E58 Central Banks and Their Policies
C51 Model Construction and Estimation
E13 General Aggregative Models: Neoclassical
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
E58 Central Banks and Their Policies
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