Arbeitspapier
Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach
This paper analyses the empirical performance of a New Keynesian stickyprice model with delayed effects of monetary impulses on inflation and output for the German pre-EMU economy. The model is augmented with rule-ofthumb behaviour in consumption and price setting. Using recently developed Bayesian estimation techniques, endogenous persistence is found to play a dominant role in consumption whereas forward-looking behaviour is greater for inflation. The model’s dynamics following a monetary shock and a preference shock are comparable to those of an identified VAR model.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 621
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Model Construction and Estimation
- Subject
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Bayesian estimation
DSGE-Model
identified VAR
predetermined expectations
Allgemeines Gleichgewicht
Stochastisches Wachstumsmodell
Preisrigidität
VAR-Modell
Wahrscheinlichkeitsrechnung
Theorie
Deutschland
- Event
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Geistige Schöpfung
- (who)
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Welz, Peter
- Event
-
Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Welz, Peter
- European Central Bank (ECB)
Time of origin
- 2006
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