Policy predictions if the model doesn’t fit

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Policy predictions if the model doesn’t fit

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Marco Del Negro
Frank Schorfheide

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Abstract

This paper uses a novel method for conducting policy analysis with potentially misspecified DSGE models (Del Negro and Schorfheide 2004) and applies it to a simple New Keynesian DSGE model. We illustrate the sensitivity of the results to assumptions on the policy invariance of model misspecifications.

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Paper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 2004-38.

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Date of creation: 2004
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Handle: RePEc:fip:fedawp:2004-38

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Article
- Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-05-23 (All new papers)
NEP-ECM-2005-05-23 (Econometrics)

References listed on IDEAS
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.:

Alexei Onatski & Noah Williams, 2004. "Empirical and policy performance of a forward-looking monetary model," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004. "On the fit and forecasting performance of New Keynesian models," Working Paper 2004-37, Federal Reserve Bank of Atlanta. [Downloadable!]
Other versions:
- Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2005. "On the fit and forecasting performance of New-Keynesian models," Working Paper Series 491, European Central Bank. [Downloadable!]
- Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
repec:cup:macdyn:v:6:y:2002:i:1:p:85-110 is not listed on IDEAS
Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank. [Downloadable!]
Other versions:
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper 2005-26, Federal Reserve Bank of Atlanta. [Downloadable!]
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York. [Downloadable!]
Ingram, Beth F. & Whiteman, Charles H., 1994. "Supplanting the 'Minnesota' prior: Forecasting macroeconomic time series using real business cycle model priors," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 497-510, December. [Downloadable!] (restricted)
Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 85-110, February. [Downloadable!]
Other versions:
- Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Alexei Onatski & James H. Stock, 1999. "Robust monetary policy under model uncertainty in a small model of the U.S. economy," Proceedings, Federal Reserve Bank of San Francisco.

Full references

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.)

Canova, Fabio, 2008. "How much structure in empirical models?," CEPR Discussion Papers 6791, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Eilev S. Jansen, 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank. [Downloadable!]
Other versions:
- Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper Series 4104, Department of Economics, Norwegian University of Science and Technology, revised 01 Jun 2004. [Downloadable!]
- Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank. [Downloadable!]
Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Papers 06-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
Other versions:
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank. [Downloadable!]
- Marco Del Negro & Frank Schorfheide, 2007. "Monetary Policy Analysis with Potentially Misspecified Models," NBER Working Papers 13099, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Marco Del Negro & Frank Schorfheide, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper 2005-26, Federal Reserve Bank of Atlanta. [Downloadable!]
- Marco Del Negro & Frank Schorfheide, 2008. "Monetary policy analysis with potentially misspecified models," Staff Reports 321, Federal Reserve Bank of New York. [Downloadable!]
William A. Brock & Steven N. Durlauf & Kenneth D. West, 2004. "Model Uncertainty and Policy Evaluation: Some Theory and Empirics," NBER Working Papers 10916, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- William Brock & Steven Durlauf & Kenneth West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco. [Downloadable!]
- Brock, William A. & Durlauf, Steven N. & West, Kenneth D., 2007. "Model uncertainty and policy evaluation: Some theory and empirics," Journal of Econometrics, Elsevier, vol. 136(2), pages 629-664, February. [Downloadable!] (restricted)
repec:att:wimass:1920419 is not listed on IDEAS

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