Some observations in the high-frequency versions of a standard new-keynesian model
Reiner Franke and
No 2010,01, Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics
In a small-scale New-Keynesian model with a hybrid Phillips curve and IS equation, the paper is concerned with an arbitrary frequency of the agents’ synchronized decision making. It investigates the validity of a fundamental methodological precept according to which no substantive prediction or explanation of a well-defined macroeconomic period model should depend on the real time length of the period. While this principle is basically satisfied as the period goes to zero, the impulse-response functions of the high-frequency versions can qualitatively as well as quantitatively be fairly dissimilar from their quarterly counterpart. The result proves to be robust under variations of the degree of price stickiness. The main conclusion is that DSGE modelling may be more sensitive to its choice of the agents’ decision interval.
Keywords: Hybrid New-Keynesian model; high-frequency modelling; impulse-response functions; Foley's methodological precept (search for similar items in EconPapers)
JEL-codes: C63 E31 E32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Journal Article: SOME OBSERVATIONS ON THE HIGH-FREQUENCY VERSIONS OF A STANDARD NEW-KEYNESIAN MODEL (2014)
Working Paper: Some observations in the high-frequency versions of a standard New-Keynesian model (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:zbw:cauewp:201001
Access Statistics for this paper
More papers in Economics Working Papers from Christian-Albrechts-University of Kiel, Department of Economics Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().