Inflation dynamics and adaptive expectations in an estimated DSGE model

被引：10

作者：

Gelain, Paolo ^{[1
]}

Iskrev, Nikolay ^{[2
]}

Lansing, Kevin J. ^{[3
]}

Mendicino, Caterina ^{[4
]}

机构：

[1] Fed Reserve Bank Cleveland, 1455 East 6th St, Cleveland, OH 44114 USA

[2] Bank Portugal, Econ & Res Dept, Ave Almirante Reis 71, P-1150012 Lisbon, Portugal

[3] Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA

[4] European Cent Bank, Directorate Gen Res, Monetary Policy Res, Kaiserstr 29, D-60311 Frankfurt, Germany

来源：

JOURNAL OF MACROECONOMICS | 2019年 / 59卷

关键词：

Inflation expectations; Bayesian estimation; Local identification; Adaptive expectations; Survey of Professional Forecasters' expectations; DENSITY FORECASTS; HOUSE PRICES; MONETARY; PERSISTENCE; POLICY; MARKET; BOOMS; CYCLE;

D O I：

10.1016/j.jmacro.2018.12.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We estimate a "hybrid expectations" version of the Smets and Wouters (2007) model in which a subset of agents employ simple moving-average forecast rules that place a significant weight on the most recent data observation. We show that the overall fit is improved relative to an otherwise similar version in which all agents have fully rational expectations. In-sample and out of-sample analyses show the superiority of the hybrid expectations model in generating an expected inflation series that more closely tracks expected inflation from the Survey of Professional Forecasters.

引用

页码：258 / 277

页数：20

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