Arbeitspapier
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
We evaluate the Smets-Wouters model of the US dynamically using indirect inference with a VAR representation of the main US data series. We find that the New Keynesian SW model is badly rejected by the data's dynamic properties and in particular cannot match the variability of the data. An alternative (New Classical) version of the model with flexible wages and prices and a one-period information lag fares no better. A weighted model (mostly NC but part NK) is able to match the data variability, though it too is rejected overall. Allowing for structural breaks in monetary regime we find a model from 1984 onwards fits fairly well dynamically; this has a high NK weight, suggesting much greater nominal stickiness during the great moderation.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2008/32
- Classification
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Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
- Subject
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bootstrap
US model
DSGE
VAR
New Keynesian
New Classical
indirect inference
Wald statistic
regime change
structural break
great moderation
Wirtschaftswachstum
Messung
Konjunktur
Dynamisches Gleichgewicht
VAR-Modell
USA
- Event
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Geistige Schöpfung
- (who)
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Vo Phuong Mai Le
Minford, Patrick
Wickens, Michael
- Event
-
Veröffentlichung
- (who)
-
Cardiff University, Cardiff Business School
- (where)
-
Cardiff
- (when)
-
2010
- Handle
- 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
- Vo Phuong Mai Le
- Minford, Patrick
- Wickens, Michael
- Cardiff University, Cardiff Business School
Time of origin
- 2010
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