Monetary Policy Analysis with Potentially Misspecified Models

• 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: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.4.1415
• 发表日期: 2009
• 页码: 1415-1450
• 关键词: inflation persistence; KEYNESIAN MODELS; DSGE models; uncertainty; fit; fluctuations; rules; time; prices; shocks

摘要

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)