Identification versus misspecification in New Keynesian monetary policy models

Arbeitspapier

In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and argue that it is problems with model misspecification that may benefit the most from moving from a classical to a Bayesian framework. We also argue that lack of identification should neither be ignored nor be assumed to affect all DSGE models. Fortunately, identification problems can be readily assessed on a case-by-case basis, by applying recently developed pre-tests of identification.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Sveriges Riksbank Working Paper Series ; No. 362

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Model Construction and Estimation ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
• Subject: Bayesian estimation ; Monte-Carlo methods ; Maximum Likelihood Estimation ; DSGE Model ; Closed economy ; Open economy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Adolfson, Malin ; Laséen, Stefan ; Lindé, Jesper ; Ratto, Marco
• Event: Veröffentlichung
• (who): Sveriges Riksbank
• (where): Stockholm
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/215440
• Last update: 10.03.2025, 11:42 AM CET