Business cycle implications of internal consumption habit for new Keynesian models
Business cycle implications of internal consumption habit for new Keynesian models
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内部消费习惯对新凯恩斯主义模型的经济周期影响
DOI：
10.1111/jmcb.12115
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
M.
中科院分区：
文献类型：
--
作者：
Kano;Takashi;and Nason;James;M.
本文研究了新凯恩斯动态随机一般均衡（NKDSGE）模型中内部消费习惯的含义。贝叶斯蒙特卡罗方法来评估NKDSGE模型拟合。模拟实验表明，内部消费习惯往往提高NKDSGE模型的能力，以匹配的产出和消费增长的频谱。尽管如此，NKDSGE模型与内部消费习惯的拟合容易受到名义刚性来源、永久性生产率冲击所确定的频谱、货币政策规则的选择以及用于评估的频率的影响。这些漏洞表明NKDSGE模型的规范是脆弱的。
We study the implications of internal consumption habit for New Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that internal consumption habit often improves the ability of NKDSGE models to match the spectra of output and consumption growth. Nonetheless, the fit of NKDSGE models with internal consumption habit is susceptible to the sources of nominal rigidity, to spectra identified by permanent productivity shocks, to the choice of monetary policy rule, and to the frequencies used for evaluation. These vulnerabilities indicate that the specification of NKDSGE models is fragile.