Assessing DSGE model nonlinearities

S. Boragan Aruoba, Luigi Bocola and Frank Schorfheide

No 13-47, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional heteroskedasticity. We estimate a DSGE model with asymmetric wage/price adjustment costs and use predictive checks to assess its ability to account for nonlinearities. While it is able to match the nonlinear inflation and wage dynamics, thanks to the estimated downward wage/price rigidities, these do not spill over to output growth or the interest rate.

Keywords: Wages; Prices; Inflation (Finance); Nonlinear theories; time series analysis (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.philadelphiafed.org/-/media/frbp/asset ... ers/2013/wp13-47.pdf (application/pdf)

Related works:
Journal Article: Assessing DSGE model nonlinearities (2017)
Working Paper: Assessing DSGE Model Nonlinearities (2013)
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:fip:fedpwp:13-47

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by Beth Paul ().