Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79694
Authors: 
Sacht, Stephen
Franke, Reiner
Jang, Tae-Seok
Year of Publication: 
2013
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2013: Wettbewerbspolitik und Regulierung in einer globalen Wirtschaftsordnung - Session: Moment Matching: Application of an Alternative Estimation Approach in Macroeconomics C20-V3
Abstract: 
The 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 a finite set of the model-generated second moments of in ation, output and the interest rate to their empirical counterparts. It is found that in the Great Ination (GI) period - though not in the Great Moderation (GM) - the 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.
JEL: 
C52
E32
E37
Document Type: 
Conference Paper

Files in This Item:
File
Size





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