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dc.contributor.authorTaylor, John B.en_US
dc.contributor.authorWieland, Volkeren_US
dc.date.accessioned2009-12-16en_US
dc.date.accessioned2010-12-15T09:22:35Z-
dc.date.available2010-12-15T09:22:35Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-72706-
dc.identifier.urihttp://hdl.handle.net/10419/43252-
dc.description.abstractIn this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and Wouters (2007) model, and the Taylor (1993a) model. Although the three models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, the optimal monetary policy responses to other sources of economic fluctuations are widely different in the different models. We show that simple optimal policy rules that respond to the growth rate of output and smooth the interest rate are not robust. In contrast, policy rules with no interest rate smoothing and no response to the growth rate, as distinct from the level, of output are more robust. Robustness can be improved further by optimizing rules with respect to the average loss across the three models.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/21en_US
dc.subject.jelC52en_US
dc.subject.jelE30en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordMonetary Modelsen_US
dc.subject.keywordMacroeconomic Modellingen_US
dc.subject.keywordMonetary Policy Rulesen_US
dc.subject.keywordRobustnessen_US
dc.subject.keywordModel Comparisonen_US
dc.subject.keywordDSGE Modelsen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwMessungen_US
dc.subject.stwWissenschaftliche Methodeen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwBewertungen_US
dc.subject.stwUSAen_US
dc.titleSurprising comparative properties of monetary models: Results from a new data baseen_US
dc.typeWorking Paperen_US
dc.identifier.ppn615080537en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200921-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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