Estimating a NKBC Model for the U.S. Economy with Multiple Filters
AbstractThis paper estimates a new-Keynesian DSGE model of the U.S. business cycle by employing a variety of business cycle proxies, either one-by-one or, following a recent proposal by Canova and Ferroni (2009), in a joint fashion. Objects such as posterior densities, impulse-response functions, and forecast error variance decompositions are shown to be remarkably sensitive to different filtering. This uncertainty notwithstanding, shocks to trend inflation are given robust support as the main inflation driver in the post-WWII era.
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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0102.
Length: 36 pages
Date of creation: Nov 2009
Date of revision:
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
- NEP-CBA-2009-12-19 (Central Banking)
- NEP-DGE-2009-12-19 (Dynamic General Equilibrium)
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