Indeterminacy and Forecastability
Indeterminacy and Forecastability
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不确定性和可预测性
DOI：
10.1017/s1365100510001008
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Yasuo Hirose
中科院分区：
文献类型：
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作者：
Ippei Fujiwara;Yasuo Hirose
我们估计一个两国开放经济版本的新凯恩斯主义动态随机一般均衡模型为美国和欧元区，使用贝叶斯技术，允许确定性和不确定性的均衡。实证分析表明，由于欧元区的被动货币政策，即使美国的政策足够积极，全球均衡也是不确定的。我们表明，不确定性下的脉冲响应表现出不同的动力学下的确定性和太阳黑子冲击影响欧元经济在很大程度上，而太阳黑子到美国的传输是有限的。
We estimate a two-country open economy version of the New Keynesian dynamic stochastic general equilibrium model for the United States and the Euro area, using Bayesian techniques that allow for both determinacy and indeterminacy of the equilibrium. Empirical analysis shows that the worldwide equilibrium is indeterminate due to a passive monetary policy in the Euro area, even if U.S. policy is aggressive enough. We demonstrate that the impulse responses under indeterminacy exhibit dynamics different from those under determinacy and that sunspot shocks affect the Euro economy to a substantial degree, whereas the transmission of sunspots to the United States is limited.