Identification versus misspecification in New Keynesian monetary policy models
| Autor: | Jesper Lindé, Malin Adolfson, Marco Ratto, Stefan Laséen |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
Bayes estimator Maximum likelihood 05 social sciences Monetary policy Identification (information) 0502 economics and business New Keynesian economics Econometrics Economics Dynamic stochastic general equilibrium Bayesian framework Open economy 050207 economics Finance 050205 econometrics |
| Zdroj: | European Economic Review. 113:225-246 |
| ISSN: | 0014-2921 |
| DOI: | 10.1016/j.euroecorev.2018.12.010 |
| Popis: | In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and argue that it is problems with model misspecification that may benefit the most from moving from a classical to a Bayesian framework. We also argue that lack of identification should neither be ignored nor be assumed to affect all DSGE models. Fortunately, identification problems can be readily assessed on a case-by-case basis, by applying recently developed pre-tests of identification. |
| Databáze: | OpenAIRE |
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