TY  - UNPD
A1  - Taylor, John B.
A1  - Wieland, Volker
T1  - Surprising comparative properties of monetary models : results from a new model database
T2  - Working paper series / Institute for Monetary and Financial Stability ; 66
N2  - In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, Evans (2005), Smets and Wouters (2007) and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.
T3  - Working paper series / Institute for Monetary and Financial Stability - 66 
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/27872
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-278724
UR  - http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_66.pdf
PB  - Goethe-Univ., House of Finance, Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -