Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Oreste Tristani and Gianni Amisano

No 6373, CEPR Discussion Papers from Centre for Economic Policy Research

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: Dsge models; Inflation persistence; Second order approximations; Sequential monte carlo; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 C15 E31 E32 E52 (search for similar items in EconPapers)
Date: 2007-06
New Economics Papers: this item is included in nep-cba, nep-dge, nep-eec and nep-mac
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Citations: View citations in EconPapers (14)

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Related works:
Journal Article: Euro area inflation persistence in an estimated nonlinear DSGE model (2010)
Working Paper: Euro area inflation persistence in an estimated nonlinear dsge model (2010)
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)
Working Paper: Euro area inflation persistence in an estimated nonlinear DSGE model (2007)
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