Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152909
Authors: 
Del Negro, Marco
Schorfheide, Frank
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 475
Abstract: 
This paper proposes a novel method for conducting policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models and applies it to a New Keynesian DSGE model along the lines of Christiano, Eichenbaum, and Evans (JPE 2005 and Smets and Wouters (JEEA 2003). Specifically, we are studying the effects of coefficient changes in interest-rate feedback rules on the volatility of output growth, inflation, and nominal rates. The paper illustrates the sensitivity of the results to assumptions on the policy invariance of model misspecifications.
Subjects: 
Bayesian Analysis
DSGE Models
Model Misspecification
JEL: 
C32
Document Type: 
Working Paper

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