Testing for indeterminacy: An application to US monetary policy

• 成果类型: Article
• 署名作者: Lubik, TA; Schorfheide, F
• 署名单位: Johns Hopkins University; University of Pennsylvania
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/000282804322970760
• 发表日期: 2004
• 页码: 190-217
• 关键词: rational-expectations models; Sunspot equilibria; business cycles; consumption; STABILITY; DYNAMICS; rules

摘要

This paper considers a prototypical New Keynesian model, in which the equilibrium is undetermined if monetary policy is passive. The likelihood-based estimation of dynamic equilibrium models is extended to allow for indeterminacies and sunspot fluctuations. We construct posterior weights for the determinacy and indeterminacy region of the parameter space and estimates for the propagation of fundamental and sunspot shocks. According to the estimated model, U.S. monetary policy post-1982 is consistent with determinacy, whereas the pre-Volcker policy is not. We find that before 1979 indeterminacy substantially altered the propagation of shocks.