On the fit of new Keynesian models

被引：229

作者：

Del Negro, Marco ^{[1
]}

Schorfheide, Frank

Smets, Frank

Wouters, Rafael

机构：

[1] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA

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

[3] European Cent Bank, D-60311 Frankfurt, Germany

[4] Natl Bank Belgium, B-1000 Brussels, Belgium

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2007年 / 25卷 / 02期

关键词：

Bayesian analysis; dynamic stochastic general equilibrium model; model evaluation; vector autoregression; GENERAL EQUILIBRIUM-MODELS; MONETARY-POLICY; BAYESIAN-APPROACH; BUSINESS-CYCLE; FRAMEWORK; TIME; CALIBRATION; INFERENCE; PRICES; PRIORS;

D O I：

10.1198/073500107000000016

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restrictions. We find that the degree of misspecification in this large-scale DSGE model is Do longer so large as to prevent its use in day-to-day policy analysis, yet is not small enough to be ignored.

引用

页码：123 / 143

页数：21

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