Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)

Arbeitspapier

This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 320

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
• Subject: Bayesian analysis ; DSGE models ; model comparisons ; prior elicitation ; nominal rigidities ; Allgemeines Gleichgewicht ; Dynamisches Gleichgewicht ; Bayes-Statistik ; Mathematik ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Del Negro, Marco ; Schorfheide, Frank
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/60902
• Last update: 10.03.2025, 11:42 AM CET