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dc.contributor.authorTaylor, John B.en
dc.contributor.authorWieland, Volkeren
dc.date.accessioned2009-12-16-
dc.date.accessioned2010-12-15T09:22:35Z-
dc.date.available2010-12-15T09:22:35Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:hebis:30-72706en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2009/21en
dc.subject.jelC52en
dc.subject.jelE30en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordMonetary Modelsen
dc.subject.keywordMacroeconomic Modellingen
dc.subject.keywordMonetary Policy Rulesen
dc.subject.keywordRobustnessen
dc.subject.keywordModel Comparisonen
dc.subject.keywordDSGE Modelsen
dc.subject.stwGeldpolitiken
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwMessungen
dc.subject.stwWissenschaftliche Methodeen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwBewertungen
dc.subject.stwUSAen
dc.titleSurprising comparative properties of monetary models: Results from a new data base-
dc.typeWorking Paperen
dc.identifier.ppn615080537en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200921en

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