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Euro area in‡ation persistence in an estimated nonlinear DSGE model

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Author Info
Gianni Amisano () (European Central Bank, University of Brescia and The Rimini Centre for Economics Analysis, Rimini, Italy.)
Oreste Tristani () (European Central Bank.)

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Abstract

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle …lter to compute the model likelihood. Our results are consistent with previous …ndings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.

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File URL: http://www.rcfea.org/RePEc/pdf/wp18_07.pdf
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Publisher Info
Paper provided by Rimini Centre for Economic Analysis in its series Working Paper Series with number 18-07.

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Date of creation: Jul 2007
Date of revision: Jul 2007
Handle: RePEc:rim:rimwps:18-07

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Related research
Keywords: DSGE models in‡ation persistence second order approximations sequential Monte Carlo Bayesian estimation.

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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