SURPRISING COMPARATIVE PROPERTIES OF MONETARY MODELS: RESULTS FROM A NEW MODEL DATABASE

• 成果类型: Article
• 署名作者: Taylor, John B.; Wieland, Volker
• 署名单位: Stanford University; Goethe University Frankfurt
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00220
• 发表日期: 2012-08
• 页码: 800-816
• 关键词: economy dsge model; euro area; Policy Evaluation; rules; performance; FRAMEWORK; prices; quest

摘要

In this paper, we investigate the comparative properties of empirically estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, and Evans (2005), Smets and Wouters (2007), and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.