Are Deep Parameters Policy-Invariant?

Yuta Saito

MPRA Paper from University Library of Munich, Germany

Abstract: To see the variance of the intertemporal elasticity of substitution, we do an experiment described by the following steps. First, we calibrate several models with heterogeneous agents and generate aggregate time series data. Then, we estimate the elasticity in the New Keynesian Model using the data from former models. Finally, we check and compare the estimated parameters. Our main finding is that there is some possiblity of misestimating the parameter due to the differences of fiscal policy regimes and heterogeneous agents.

Keywords: Policy-Variance; Heterogenous Agent Model (search for similar items in EconPapers)
JEL-codes: E0 (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-ger and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:66236

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