Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Gianni Amisano and Oreste Tristani ()

No 6373, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.

Keywords: Bayesian estimation; DSGE models; inflation persistence; second order approximations; sequential Monte Carlo (search for similar items in EconPapers)
JEL-codes: C11 C15 E31 E32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec and nep-mac
Date: 2007-06
View list of references View citations in EconPapers

Downloads: (external link)
http://www.cepr.org/pubs/dps/DP6373.asp (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Euro area inflation persistence in an estimated nonlinear DSGE model (2007)
Working Paper: Euro area inflation persistence in an estimated nonlinear DSGE model (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:6373

Ordering information: This working paper can be ordered from
http://www.cepr.org/pubs/dps/DP6373.asp

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers
Address: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG
Series data maintained by ().