EconPapers    
Economics at your fingertips  
 

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. JEL Classification: C32

Keywords: Bayesian analysis; DSGE models; model misspecification (search for similar items in EconPapers)
Date: 2005-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp475.pdf (application/pdf)

Related works:
Journal Article: Monetary Policy Analysis with Potentially Misspecified Models (2009) Downloads
Working Paper: Monetary policy analysis with potentially misspecified models (2008) Downloads
Working Paper: Monetary Policy Analysis with Potentially Misspecified Models (2007) Downloads
Working Paper: Monetary policy analysis with potentially misspecified models (2005) Downloads
Working Paper: Monetary policy analysis with potentially misspecified models (2005) Downloads
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: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2005475

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2019-08-13
Handle: RePEc:ecb:ecbwps:2005475