Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70635
Authors: 
Liu, Zheng
Waggoner, Daniel F.
Zha, Tao
Year of Publication: 
2010
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2009-3a
Abstract: 
We examine the sources of macroeconomic economic fluctuations by estimating a variety of medium-scale DSGE models within a unified framework that incorporates regime switching both in shock variances and in the inflation target. Our general framework includes a number of different model features studied in the literature. We propose an efficient methodology for estimating regime-switching DSGE models. The model that best fits the U.S. time-series data is the one with synchronized shifts in shock variances across two regimes and the fit does not rely on strong nominal rigidities. We find little evidence of changes in the inflation target. We identify three types of shocks that account for most of macroeconomic fluctuations: shocks to total factor productivity, wage markup, and the capital depreciation rate.
Subjects: 
systematic analysis
regime switching
depreciation shock
efficient estimation methods
JEL: 
C11
C51
E32
E42
E52
Document Type: 
Working Paper

Files in This Item:
File
Size
755.59 kB





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