Monetary Policy Analysis with Potentially Misspecified Models

Marco Del Negro and Frank Schorfheide

American Economic Review, 2009, vol. 99, issue 4, 1415-50

Abstract: Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs, and treatment of the deviations from the cross-equation restrictions. Using post-1982 US data, we study the robustness of the policy prescriptions from a state-of-the-art DSGE model with respect to two approaches to model misspecification pursued in the recent literature: (i) adding shocks to the DSGE model and/or generalizing the processes followed by these shocks; and (ii) explicit modeling of deviations from cross-equation restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)

JEL-codes: C51 E13 E43 E52 E58 (search for similar items in EconPapers)
Date: 2009
Note: DOI: 10.1257/aer.99.4.1415
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Citations: View citations in EconPapers (77)

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Related works:
Working Paper: Monetary policy analysis with potentially misspecified models (2008)
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 (2005)
Working Paper: Monetary policy analysis with potentially misspecified models (2005)
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