Learning in a Medium-Scale DSGE Model with Expectations Based on Small Forecasting Models

• 成果类型: Article
• 署名作者: Slobodyan, Sergey; Wouters, Raf
• 署名单位: Charles University Prague; Czech Academy of Sciences; Economics Institute of the Czech Academy of Sciences; Universite Catholique Louvain; European Central Bank; National Bank of Belgium
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.4.2.65
• 发表日期: 2012
• 页码: 65-101
• 关键词: convergence; shocks; POLICY

摘要

This paper evaluates the empirical performance of a medium-scale DSGE model with agents forming expectations using small forecasting models updated by the Kalman filter. The adaptive learning model fits the data better than the rational expectations (RE) model. Beliefs about the inflation persistence explain the observed decline in the mean and the volatility of inflation as well as Phillips curve flattening. Learning about inflation results in lower estimates for the persistence of the exogenous shocks that drive price and wage dynamics in the RE version of the model. Expectations based on small forecasting models are closely related to the survey evidence on inflation expectations. (JEL C53, D83, D84, E13, E17, E31)