Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)

• 成果类型: Article
• 署名作者: Del Negro, Marco; Schorfheide, Frank
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.09.006
• 发表日期: 2008
• 页码: 1191-1208
• 关键词: Bayesian analysis; DSGE models; Model comparisons; Prior elicitation; nominal rigidities

摘要

We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a Subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model. (C) 2008 Elsevier B.V. All rights reserved.