Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56895
Authors: 
Sienknecht, Sebastian
Year of Publication: 
2010
Series/Report no.: 
Jena economic research papers 2010,057
Abstract: 
This paper estimates a dynamic stochastic general equilibrium (DSGE) model for the European Monetary Union by using Bayesian techniques. A salient feature of the model is an extension of the typically postulated quadratic cost structure for the monopolistic choice of price variables. As shown in Sienknecht (2010a), the enlargement of the original formulation by Rotemberg (1983) and Hairault and Portier (1993) leads to structurally more sophisticated inflation schedules than in the staggering environment by Calvo (1983) with rule-of-thumb setters. In particular, a desired lagged inflation term always arises toghether with a two-period-ahead expectational expression. The two terms are directly linked by a novel structural parameter. We confront the relationships obtained by Sienknecht (2010a) against European data and compare their data description performance against the widespread extension of the Calvo setting with rule-of-thumb behavior.
Subjects: 
Bayesian
simulation
indexation
model
comparison
JEL: 
C11
C15
E31
E32
Document Type: 
Working Paper

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