Replication data for: Monetary Policy Analysis with Potentially Misspecified Models

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Project Citation:

Del Negro, Marco, and Schorfheide, Frank. Replication data for: Monetary Policy Analysis with Potentially Misspecified Models. Nashville, TN: American Economic Association [publisher], 2009. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113320V1

Project Description

Summary: Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs, and treatment of the deviations from the cross-equation restrictions. Using post-1982 US data, we study the robustness of the policy prescriptions from a state-of-the-art DSGE model with respect to two approaches to model misspecification pursued in the recent literature: (i) adding shocks to the DSGE model and/or generalizing the processes followed by these shocks; and (ii) explicit modeling of deviations from cross-equation restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)

Scope of Project

JEL Classification:
      C51 Model Construction and Estimation
      E13 General Aggregative Models: Neoclassical
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
      E58 Central Banks and Their Policies

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V1 [2019-10-12]

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