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Surprising comparative properties of monetary models: Results from a new model database

John Taylor and Volker Wieland

No 66, IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)

Abstract: In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, Evans (2005), Smets and Wouters (2007) and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.

JEL-codes: C52 E30 E52 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (55)

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Related works:
Journal Article: Surprising Comparative Properties of Monetary Models: Results from a New Model Database (2012) Downloads
Working Paper: Surprising comparative properties of monetary models: Results from a new model database (2010) Downloads
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