CAMA Centre for Applied Macroeconomic Analysis Zero Lower Bound and Parameter Bias in an Estimated DSGE Model CAMA Working Paper 60 / 2013 September 2013
CAMA Centre for Applied Macroeconomic Analysis Zero Lower Bound and Parameter Bias in an Estimated DSGE Model CAMA Working Paper 60 / 2013 September 2013
复制标题
CAMA 应用宏观经济分析中心 DSGE 估计模型中的零下界和参数偏差 CAMA 工作论文 60 / 2013 2013 年 9 月
DOI：
--
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Y. Hirose
中科院分区：
文献类型：
--
作者：
Y. Hirose
本文研究了动态随机一般均衡（DSGE）模型中参数估计如何以及在多大程度上可能出现偏差，该模型忽略了名义利率的零下限约束。我们的实验表明，标准粘性价格 DSGE 模型中的大多数参数估计都没有偏差，尽管在货币政策参数和稳态实际利率的估计中发现了一些偏差。然而，在我们的基线实验中，这些偏差非常小，以至于估计的脉冲响应函数与真实的脉冲响应函数非常相似。然而，随着达到零下限的概率增加，参数估计的偏差变得更大，因此可能导致估计的脉冲响应与真实的脉冲响应之间存在显着差异。 |澳大利亚国立大学
This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE model are not biased although some biases are detected in the estimates of the monetary policy parameters and the steady-state real interest rate. Nevertheless, in our baseline experiment, these biases are so small that the estimated impulse response functions are quite similar to the true impulse response functions. However, as the probability of hitting the zero lower bound increases, the biases in the parameter estimates become larger and can therefore lead to substantial differences between the estimated and true impulse responses. | T H E A U S T R A L I A N N A T I O N A L U N I V E R S I T Y