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Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

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  • Kano, Takashi
  • Nason, James M.

Abstract

The appendix discusses computational aspects of the paper “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.” These topics range from solving the baseline new Keynesian dynamic stochastic general equilibrium (NKDSGE) model, estimating the structural infinite-order vector moving averages, checking whether these models recover the fundamental shocks, to computing the permanent and transitory output and consumption growth spectral densities. More evidence about the fit of the NKDSGE models is also reviewed. The NKDSGE models are evaluated using alternative priors, and modification of the VARs generating the posterior distributions, and a different goodness of fit statistic. These evaluations reflect the robustness of the evidence about NKDSGE model fit reported in “Business Cycle Implications of Internal Consumption Habit for New Keynesian Models.”

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/23297/1/070econDP12-08.pdf
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Paper provided by Graduate School of Economics, Hitotsubashi University in its series Discussion Papers with number 2012-08.

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Length: 46, [37] p.
Date of creation: Nov 2012
Date of revision:
Handle: RePEc:hit:econdp:2012-08

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  1. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
  2. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  3. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
  4. Richard Dennis, 2009. "Consumption Habits in a New Keynesian Business Cycle Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 1015-1030, 08.
  5. Yun, Tack, 1996. "Nominal price rigidity, money supply endogeneity, and business cycles," Journal of Monetary Economics, Elsevier, vol. 37(2-3), pages 345-370, April.
  6. William J. McCausland, 2004. "Using the BACC Software for Bayesian Inference," Computational Economics, Society for Computational Economics, vol. 23(3), pages 201-218, 04.
  7. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
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