Inflation Dynamics in a Small Open Economy
Inflation Dynamics in a Small Open Economy
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小型开放经济中的通货膨胀动态
DOI：
10.1111/sjoe.12194
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
A. Swensen
中科院分区：
文献类型：
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作者：
Pål Boug;Å. Cappelen;A. Swensen
我们评估了一个小型开放经济体中通货膨胀动态的前瞻性模型的实证表现。使用基于可能性的检验程序，我们发现确切的公式与挪威的数据不一致。此外，模型中的一些参数没有很好地识别。我们还发现，不精确的配方不拒绝统计使用基于最小距离方法的测试。然而，置信区域也揭示了该模型的识别问题。相反，我们发现了一个明确的回溯模型，其价格设定是基于不完全竞争的，这是一个在样本中优于另一个前瞻性模型的模型。在最近的金融危机期间和之后，回顾模型的预测也比替代的前瞻模型好。
We evaluate the empirical performance of forward‐looking models for inflation dynamics in a small open economy. Using likelihood‐based testing procedures, we find that the exact formulation is at odds with Norwegian data. Moreover, some of the parameters in the model are not well identified. We also find that the inexact formulation is not rejected statistically using a test based on a minimum distance method. However, confidence regions also reveal an identification problem with this model. Instead, we find a well‐specified backward‐looking model with imperfect competition underlying the price setting, which is a model that outperforms an alternative forward‐looking model in‐sample. The backward‐looking model also forecasts somewhat better than the alternative forward‐looking model, during and after the recent financial crisis.