Empirical and policy performance of a forward-looking monetary model
Empirical and policy performance of a forward-looking monetary model
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前瞻性货币模型的实证和政策表现
DOI：
10.1002/jae.1131
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
N. Williams
中科院分区：
文献类型：
--
作者：
A. Onatski;N. Williams
在本文中，我们考虑了一个完全指定的动态一般均衡模型的含义，由Smets和Wouters（2003）。这是一个相对较大规模的前瞻性模型，已被证明与数据拟合良好。我们表明，系统地考虑先前的不确定性可能会导致显着不同的参数估计。然而，该模型的许多定性特征在我们发现的替代估计下仍然相似。然后，我们制定和分析模型中的最优策略规则，专注于一个简单的损失函数，这是常用的，是独立的估计。我们确定我们的估计以及Smets和Wouters的最佳均衡动态，并发现它们意味着很大程度上类似的行为。然后，我们分析简单的政策规则，发现这些规则执行相对较好，是强大的，我们不同的参数估计。总的来说，我们的研究结果表明，该模型在捕获数据的某些方面的能力方面可能相对稳健。然而，在根据结构性估计进行推断时应谨慎行事，因为这些估计似乎只是微弱的识别。版权所有© 2009约翰威利父子有限公司。
In this paper we consider the implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003). This is a relatively large-scale forward-looking model, which was shown to provide a good fit to the data. We show that systematically accounting for prior uncertainty may lead to substantially different parameter estimates. However many of the qualitative features of the model remain similar under the alternative estimates that we find. We then formulate and analyze optimal policy rules in the model, focusing on a simple loss function which is commonly used and is independent of the estimates. We determine the optimal equilibrium dynamics for our estimates as well as those of Smets and Wouters, and find that they imply largely similar behavior. We then analyze simple policy rules, finding that these rules perform relatively well and are robust to our different sets of parameter estimates. Overall, our results suggest that the model may be relatively robust in its ability to capture certain aspects of the data. However some caution should be exercised in basing inference on the structural estimates, as these seem to be only weakly identified. Copyright © 2009 John Wiley & Sons, Ltd.