• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Articles
  • Scientific articles
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS

Canova, Fabio; Ferroni, Filippo; Matthes, Christian
Journal article, Peer reviewed
Accepted version
Thumbnail
Åpne
Available from 2021-10-14 (466.4Kb)
Permanent lenke
https://hdl.handle.net/11250/2761836
Utgivelsesdato
2020
Metadata
Vis full innførsel
Samlinger
  • Scientific articles [1667]
Originalversjon
International Economic Review. 2020, 61 (1), 105-125.   10.1111/iere.12418
Sammendrag
We study how structural parameter variations affect the decision rules and economic inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. A constant parameter model poorly approximates a time‐varying data generating process (DGP), except in a handful of relevant cases. Linear approximations do not produce time‐varying decision rules; higher‐order approximations can do this only if parameter disturbances are treated as decision rule coefficients. Structural responses are time invariant regardless of order of approximation. Adding endogenous variations to the parameter controlling leverage in Gertler and Karadi's model substantially improves the fit of the model.
Utgiver
Wiley
Tidsskrift
International Economic Review

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit