Estimating the Euler equation for output

• 成果类型: Article
• 署名作者: Fuhrer, JC; Rudebusch, GD
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.10.004
• 发表日期: 2004
• 页码: 1133-1153
• 关键词: Euler equation; monetary policy

摘要

New Keynesian macroeconomic models have generally emphasized that expectations of future output are a key factor in determining current output. The theoretical motivation for such forward-looking behavior relies on a straightforward generalization of the well-known Euler equation for consumption. In this paper, we use maximum likelihood and generalized method of moments (GMM) methods to explore the empirical importance of output expectations. We find little evidence that rational expectations of future output help determine current output, especially after taking into account the small-sample bias in GMM. (C) 2004 Elsevier B.V. All rights reserved.