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.
| Verfasserangaben: | 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 |
| Titel des übergeordneten Werkes (Deutsch): | Working paper series / Institute for Monetary and Financial Stability ; 66 |
| Schriftenreihe (Bandnummer): | Working paper series / Institute for Monetary and Financial Stability (66) |
| Verlag: | Goethe-Univ., House of Finance, Inst. for Monetary and Financial Stability |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2012 |
| Jahr der Erstveröffentlichung: | 2012 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 05.02.2013 |
| Seitenzahl: | 58 |
| HeBIS-PPN: | 327771240 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Klassifikation: | C Mathematical and Quantitative Methods / C5 Econometric Modeling / C52 Model Evaluation and Selection |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
