Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/65811 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Cardiff Economics Working Papers No. E2008/32
Verlag: 
Cardiff University, Cardiff Business School, Cardiff
Zusammenfassung: 
We evaluate the Smets-Wouters model of the US dynamically using indirect inference with a VAR representation of the main US data series. We find that the New Keynesian SW model is badly rejected by the data's dynamic properties and in particular cannot match the variability of the data. An alternative (New Classical) version of the model with flexible wages and prices and a one-period information lag fares no better. A weighted model (mostly NC but part NK) is able to match the data variability, though it too is rejected overall. Allowing for structural breaks in monetary regime we find a model from 1984 onwards fits fairly well dynamically; this has a high NK weight, suggesting much greater nominal stickiness during the great moderation.
Schlagwörter: 
bootstrap
US model
DSGE
VAR
New Keynesian
New Classical
indirect inference
Wald statistic
regime change
structural break
great moderation
JEL: 
C12
C32
C52
E1
Dokumentart: 
Working Paper

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