Identification Versus Misspecification in New Keynesian Monetary Policy Models

Malin Adolfson, Stefan Laséen (), Jesper Lindé and Marco Ratto
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Malin Adolfson: Research Department, Central Bank of Sweden

No 362, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: 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 bene.t 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.

Keywords: Bayesian estimation; Monte-Carlo methods; Maximum Likelihood Estimation; DSGE Model; Closed economy; Open economy (search for similar items in EconPapers)
JEL-codes: C13 C51 E30 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2018-11-01
New Economics Papers: this item is included in nep-dge, nep-mac, nep-mon and nep-ore
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https://www.riksbank.se/globalassets/media/rapport ... ry-policy-models.pdf Full text (application/pdf)

Related works:
Journal Article: Identification versus misspecification in New Keynesian monetary policy models (2019)
Working Paper: Identification Versus Misspecification in New Keynesian Monetary Policy Models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0362

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