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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

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Author Info
Amisano, Giovanni
Tristani, Oreste

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Abstract

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6373.

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Date of creation: Jun 2007
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Handle: RePEc:cpr:ceprdp:6373

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Related research
Keywords: Bayesian estimation; DSGE models; inflation persistence; second order approximations; sequential Monte Carlo;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marco Lombardi & Silvia Sgherri, 2007. "(Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate," DNB Working Papers 142, Netherlands Central Bank, Research Department. [Downloadable!]
    Other versions:
  2. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," Working Paper Series in Economics and Finance 706, Stockholm School of Economics. [Downloadable!]
  3. Amedeo Fossati & Rosella Levaggi, 2008. "Delay is not the answer: waiting time in health care & income redistribution," Working Papers 0801, University of Brescia, Department of Economics. [Downloadable!]
  4. Thomas Flury & Neil Shephard, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," Economics Series Working Papers 413, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  5. Jukka Jalava & Ilja Kristian Kavonius, 2007. "Durable goods and their effect on household saving rations in the euro area," Working Paper Series 755, European Central Bank. [Downloadable!]
  6. Viktor Winschel & Markus Krätzig, 2008. "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality," SFB 649 Discussion Papers SFB649DP2008-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  7. Guido Wolswijk, 2007. "Short- and long-run tax elasticities - the case of the Netherlands," Working Paper Series 763, European Central Bank. [Downloadable!]
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