Arbeitspapier
Surprising comparative properties of monetary models: Results from a new model database
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, Evans (2005), Smets and Wouters (2007) and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.
- Language
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Englisch
- Bibliographic citation
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Series: IMFS Working Paper Series ; No. 66
- Classification
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Wirtschaft
Model Evaluation, Validation, and Selection
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Monetary Policy
- Event
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Geistige Schöpfung
- (who)
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Taylor, John B.
Wieland, Volker
- Event
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Veröffentlichung
- (who)
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Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (where)
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Frankfurt a. M.
- (when)
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2012
- Handle
- URN
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urn:nbn:de:hebis:30:3-278724
- Last update
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10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Taylor, John B.
- Wieland, Volker
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Time of origin
- 2012
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