Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)

被引：128

作者：

Del Negro, Marco ^{[1
]}

Schorfheide, Frank ^{[2
]}

机构：

[1] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA

[2] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2008年 / 55卷 / 07期

基金：

美国国家科学基金会;

关键词：

Bayesian analysis; DSGE models; Model comparisons; Prior elicitation; Nominal rigidities;

D O I：

10.1016/j.jmoneco.2008.09.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a Subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：1191 / 1208

页数：18

共 27 条

[1] Bayesian analysis of DSGE models [J].

An, Sungbae ;

Schorfheide, Frank .

ECONOMETRIC REVIEWS, 2007, 26 (2-4) :113-172

[2]

[Anonymous], BAYESIAN ECONOMETRIC

[3] Some evidence on the importance of sticky prices [J].

Bils, M ;

Klenow, PJ .

JOURNAL OF POLITICAL ECONOMY, 2004, 112 (05) :947-985

[4] Habit persistence, asset returns, and the business cycle [J].

Boldrin, M ;

Christiano, LJ ;

Fisher, JDM .

AMERICAN ECONOMIC REVIEW, 2001, 91 (01) :149-166

[5] STAGGERED PRICES IN A UTILITY-MAXIMIZING FRAMEWORK [J].

CALVO, GA .

JOURNAL OF MONETARY ECONOMICS, 1983, 12 (03) :383-398

[6] STATISTICAL-INFERENCE IN CALIBRATED MODELS [J].

CANOVA, F .

JOURNAL OF APPLIED ECONOMETRICS, 1994, 9 :S123-S144

[7]

Canova F., 2007, METHODS APPL MACROEC, DOI 10.2307/j.ctvcm4hrv

[8]

CANOVA F, 2007, BACK SQUARE 1 UNPUB

[9] From individual to aggregate labor supply: A quantitative analysis based on a heterogeneous agent macroeconomy [J].

Chang, YS ;

Kim, SB .

INTERNATIONAL ECONOMIC REVIEW, 2006, 47 (01) :1-27

[10] Learning-by-doing as a propagation mechanism [J].

Chang, YS ;

Gomes, JF ;

Schorfheide, F .

AMERICAN ECONOMIC REVIEW, 2002, 92 (05) :1498-1520

← 1 2 3 →