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dc.contributor.authorFranke, Reineren_US
dc.contributor.authorJang, Tae-Seoken_US
dc.contributor.authorSacht, Stephenen_US
dc.date.accessioned2012-09-19en_US
dc.date.accessioned2012-09-20T09:23:57Z-
dc.date.available2012-09-20T09:23:57Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/62781-
dc.description.abstractThe paper considers an elementary New-Keynesian three equation model and compares its Bayesian estimation to the results from the method of moments (MM), which seeks to match finite set of the model-generated second moments of inflation, output and the interest rate to their empirical counterparts. It is found that in the Great Inflation (GI) period - though not in the Great Moderation (GM) he two estimations imply a significantly different covariance structure. Regarding the parameters, special emphasis is placed on the degree of backward-looking behaviour in the Phillips curve. While, in line with much of the literature, it plays a minor role in the Bayesian estimations, MM yields values of the price indexation parameter close to or even at its maximal value of unity. For both GI and GM, these results are worth noticing since in (strong or, respectively, weak) contrast to the Bayesian parameters, the covariance matching thus achieved is entirely satisfactory.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Economics Kielen_US
dc.relation.ispartofseriesEconomics Working Paper, Christian-Albrechts-Universität Kiel, Department of Economics 2012-08en_US
dc.subject.jelC52en_US
dc.subject.jelE32en_US
dc.subject.jelE37en_US
dc.subject.ddc330en_US
dc.subject.keywordInflation persistenceen_US
dc.subject.keywordprice indexationen_US
dc.subject.keywordautocovariance profilesen_US
dc.subject.keywordgoodness-of-fiten_US
dc.subject.keywordbootstrappingen_US
dc.titleMoment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726075051en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cauewp:201208-
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

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