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A Bayesian DSGE Model with Infinite-Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous? Author info | Abstract | Publisher info | Download info | Related research | Statistics Fabio Milani () (Department of Economics, University of California-Irvine)
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This paper estimates a monetary DSGE model with learning introduced from the primitive assumptions. The model nests infinite-horizon learning and features, such as habit formation in consumption and inflation indexation, that are essential for the model fit under rational expectations. I estimate the DSGE model by Bayesian methods, obtaining estimates of the main learning parameter, the constant gain, jointly with the deep parameters of the economy. The results show that relaxing the assumption of rational expectations in favor of learning may render mechanical sources of persistence superfluous. In particular, learning appears a crucial determinant of inflation inertia.
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Paper provided by University of California-Irvine, Department of Economics in its series Working Papers with number
060703.
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Length: 19 pages
Date of creation: Dec 2005Date of revision:
Handle: RePEc:irv:wpaper:060703Contact details of provider: Postal: Irvine, CA 92697-3125 Phone: (949) 824-5788 Web page: http://www.econ.uci.edu/ More information through EDIRC
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Keywords: Infinite-horizon learning ; DSGE model ; Bayesian estimation ; Non-rational expectations ; Inflation persistence ; Habit formation ; Other versions of this item:
Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data) E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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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.)
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