Evaluating the Role of Firm-Specific Capital in New Keynesian models

Autor:	Joao Madeira
Rok vydání:	2012
Předmět:	jel:E27 jel:E32 jel:E22 jel:E30 jel:E20 jel:E37 New Keynesian models sticky prices DSGE business cycles firm-specific capital Bayesian estimation
Popis:	In this paper I make use of Bayesian methods to estimate a firm-specific capital DSGE model with Calvo price and wage setting. This approach allows me to firmly conclude that firm-specific capital is highly relevant in improving the fit of New Keynesian models to the data as shown by a large increase in the value of the log marginal data density relative to the more conventional rental capital model. The introduction of firm-specific capital also has important implications for business cycle dynamics leading to increased persistence of aggregate variables and helps reduce the discrepancy between macro estimates of the NKPC and the observed frequent price adjustments in the micro data.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::8bde3ef6ae3384ffdcfe2c27d4d1348d http://people.exeter.ac.uk/cc371/RePEc/dpapers/DP1204.pdf Zobrazit plný text záznamu