Bayesian prior elicitation in DSGE models: Macro- vs micropriors
In: Journal of economic dynamics & control, Band 36, Heft 2, S. 294-313
ISSN: 0165-1889
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In: Journal of economic dynamics & control, Band 36, Heft 2, S. 294-313
ISSN: 0165-1889
In: Bundesbank Discussion Paper No. 35/2012
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In: ECB Working Paper No. 1428
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In: Journal of Economic Dynamics and Control, Band 36, Heft 2
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In: ECB Working Paper No. 1062
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Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the specification of price adjustments and the evolution of the econ- omy under flexible prices. To do this, the model's likelihood function is evaluated using a Sequential Monte Carlo algorithm providing inference about the time-varying distribution of structural parameters and unobservable, nonstationary state variables. Tracking down the evolution of underlying stochastic processes in real time is found crucial (i) to explain postwar Fed's policy and (ii) to replicate salient features of the data.
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In: BIS Working Paper No. 487
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In: BIS Paper No. 77j
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In: ECB Working Paper No. 1346
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In: Economics Letters (forthcoming)
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In: Bank of Italy Temi di Discussione (Working Paper) No. 1302
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In: BIS Working Paper No. 477
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