Monetary policy analysis with potentially misspecified models

Marco Del Negro and Frank Schorfheide

No 2005-26, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: The 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). We first quantify the degree of model misspecification and then illustrate its implications for the performance of different interest rate feedback rules. We find that many of the prescriptions derived from the DSGE model are robust to model misspecification.

Date: 2005
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Citations: View citations in EconPapers (19)

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Related works:
Journal Article: Monetary Policy Analysis with Potentially Misspecified Models (2009)
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)
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