Monetary policy analysis with potentially misspecified models

Marco Del Negro () and Frank Schorfheide ()

No 475, Working Paper Series from European Central Bank

Abstract: This paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE 2005) and Smets and Wouters (JEEA 2003). Specifically, we are studying the effects of coefficient changes in interest-rate feedback rules on the volatility of output growth, inflation, and nominal rates. The paper illustrates the sensitivity of the results to assumptions on the policy invariance of model misspecifications.

Keywords: Bayesian Analysis; DSGE Models; Model Misspecification. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm, nep-mac and nep-mon
Date: 2005-04
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Related works:
Working Paper: Monetary policy analysis with potentially misspecified models (2005)
Working Paper: Monetary Policy Analysis with Potentially Misspecified Models (2007)
Working Paper: Monetary policy analysis with potentially misspecified models (2005)
Working Paper: Monetary policy analysis with potentially misspecified models (2008)
Journal Article: Monetary Policy Analysis with Potentially Misspecified Models (2009)
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