EconStor >
Christian-Albrechts-Universität Kiel (CAU) >
Department of Economics, Universität Kiel  >
Economics Working Papers, Department of Economics, CAU Kiel >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/65678
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorJang, Tae-Seoken_US
dc.contributor.authorSacht, Stephenen_US
dc.date.accessioned2012-10-26en_US
dc.date.accessioned2012-10-31T13:16:58Z-
dc.date.available2012-10-31T13:16:58Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/65678-
dc.description.abstractIn this paper we empirically examine a heterogeneous bounded rationality version of a hybrid New-Keynesian model. The model is estimated via the simulated method of moments using Euro Area data from 1975Q1 to 2009Q4. It is generally assumed that agents' beliefs display waves of optimism and pessimism - so called animal spirits - on future movements of the output and inflation gap. Our main empirical findings show that a bounded rationality model with cognitive limitation provides a reasonable fit to auto- and cross-covariances of the data. This result is mainly driven by a high degree of intrinsic persistence in the output and inflation gap due to the impact of animal spirits on economic dynamics. Further, over the whole time interval the agents had expected moderate deviations of the future output gap from its steady state value with low uncertainty. Finally, we find strong evidence for an autoregressive expectation formation process regarding the inflation gap.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 2012-12en_US
dc.subject.jelC53en_US
dc.subject.jelD83en_US
dc.subject.jelE12en_US
dc.subject.jelE32en_US
dc.subject.ddc330en_US
dc.subject.keywordAnimal Spiritsen_US
dc.subject.keywordBounded Rationalityen_US
dc.subject.keywordDiscrete Choice Theoryen_US
dc.subject.keywordEuro Areaen_US
dc.subject.keywordNew-Keynesian Modelen_US
dc.subject.keywordSimulated Method of Momentsen_US
dc.subject.stwNeukeynesianische Makroökonomiken_US
dc.subject.stwBeschränkte Rationalitäten_US
dc.subject.stwSunspoten_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwTheorieen_US
dc.subject.stwEurozoneen_US
dc.titleIdentification of animal spirits in a bounded rationality model: An application to the euro areaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn728650630en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cauewp:201212-
Appears in Collections:Economics Working Papers, Department of Economics, CAU Kiel

Files in This Item:
File Description SizeFormat
728650630.pdf458.72 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.