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Monetary policy analysis with potentially misspecified models

Marco Del Negro () and Frank Schorfheide ()

No 06-4, Working Papers from Federal Reserve Bank of Philadelphia

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 (JPE2005) and Smets and Wouters (JEEA2003). 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.

Keywords: Monetary; policy (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
Date: 2005
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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
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