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Surprising comparative properties of monetary models : results from a new model database

  • 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.

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Metadaten
Author:John B. Taylor, Volker WielandORCiDGND
URN:urn:nbn:de:hebis:30:3-278724
URL:http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/IMFS_WP_66.pdf
Parent Title (German):Working paper series / Institute for Monetary and Financial Stability ; 66
Series (Serial Number):Working paper series / Institute for Monetary and Financial Stability (66)
Publisher:Goethe-Univ., House of Finance, Inst. for Monetary and Financial Stability
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2012
Year of first Publication:2012
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2013/02/05
Page Number:58
HeBIS-PPN:327771240
Institutes:Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C5 Econometric Modeling / C52 Model Evaluation and Selection
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht