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Euro area inflation persistence in an estimated nonlinear

Gianni Amisano and Oreste Tristani

No 347, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We estimate the approximate nonlinear solution of a small DSGE model using Bayesian methods. Our results, based on euro area data, suggest that this approch delivers sharper inference compared to the estimation of the linearised solution. The nonlinear model can also account for richer economic dynamics. The impulse responses of inflation to structural shocks may vary depending on initial conditions: they are much more persistent when inflation is significantly above its long run equilibrium level

Keywords: DSGE models; policy rules; inflation persistence; second order approximations (search for similar items in EconPapers)
JEL-codes: C11 E52 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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