Arbeitspapier
Estimating time-varying DSGE models using minimum distance methods
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium (DSGE) parameters. We find that many parameters change substantially, particularly those defining nominal rigidities, habits and investment adjustment costs. In contrast to the 'Great Moderation' literature our monetary policy parameter estimates suggest that authorities tried to deliver a low and stable inflation from 1975 onwards, however, the severe adverse supply shocks in the 70s could have caused these policies to fail.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 768
- Klassifikation
-
Wirtschaft
Monetary Policy
Policy Objectives; Policy Designs and Consistency; Policy Coordination
General Outlook and Conditions
Semiparametric and Nonparametric Methods: General
Methodological Issues: General
- Thema
-
DSGE
Structural change
Kernel estimation
Time-varying VAR
Monetary policy shocks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Giraitis, Liudas
Kapetanios, George
Theodoridis, Konstantinos
Yates, Tony
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Giraitis, Liudas
- Kapetanios, George
- Theodoridis, Konstantinos
- Yates, Tony
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2015
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