Monetary Policy Analysis with Potentially Misspecified Models
Marco Del Negro and Frank Schorfheide
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| Article Citation |
Del Negro, Marco, and Frank Schorfheide. 2009. "Monetary Policy Analysis with Potentially Misspecified Models." American Economic Review, 99(4): 1415–50.
DOI:10.1257/aer.99.4.1415
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| Abstract |
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)
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| Article Full-Text Access |
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| Additional Materials |
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| Authors |
Del Negro, Marco (Federal Reserve Bank of New York)
Schorfheide, Frank (U PA)
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| JEL Classifications |
C51: Model Construction and Estimation
E13: General Aggregative Models: Neoclassical
E43: Determination of Interest Rates; Term Structure of Interest Rates
E52: Monetary Policy
E58: Central Banks and Their Policies
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