Structural Inference and the Lucas Critique
AbstractWe develop a structural model that aims at characterizing a set of restrictions allowing for a statistical evaluation of the effect of changes in monetary policy rules on aggregate dynamics at business cycle frequency. Standard econometric tools are first used to reveal and estimate changes in monetary policy rules over two sub-samples. We then test the ability of our model to match a set of moments summarizing the distribution of the data over the two sub-samples. We find that --holding the deep parameters of the model (preferences and technology) constant-- monetary policy parameters adjust to match the data, therefore illustrating the empirical relevance of the Lucas critique.
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Bibliographic InfoPaper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 111.
Date of creation: 2000
Date of revision: 2001
Publication status: Published in European Economic Review, vol.�47, n°3, Elsevier, juin 2003, p.�521-552.
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