Advanced Search
MyIDEAS: Login to save this paper or follow this series

Identification of prior information via moment-matching

Contents:

Author Info

  • Sacht, Stephen

Abstract

In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on the estimation outcome. First, we investigate the impact of the transformation of those model parameters which are bounded to the unit interval, in order to allow for a more diffuse prior distribution. Second, we combine the Moment-Matching (MM, Franke et al. (2012)) and Bayesian technique in order to evaluate macropriors. In this respect we define a two-stage estimation procedure - the so-called Moment-Matching based Bayesian (MoMBay) estimation approach - where we take the point estimates evaluated via MM and consider them as prior mean values of the parameters within Bayesian estimation. We show that while (transformed) micropriors are often used in the literature, applying macropriors evaluated via the MoMBay approach leads to a better fit of the structural model to the data. Furthermore, there is evidence for intrinsic (degree of price indexation) rather than extrinsic (autocorrelation in the shock process) persistence - an observation which stands in contradiction to the results documented in the recent literature. --

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/90812/1/777070227.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number 2014-04.

as in new window
Length:
Date of creation: 2014
Date of revision:
Handle: RePEc:zbw:cauewp:201404

Contact details of provider:
Postal: D-24098 Kiel,Wilhelm-Seelig-Platz 1
Phone: 0431-880 3282
Fax: 0431-880 3150
Web page: http://www.wiso.uni-kiel.de/econ/
More information through EDIRC

Related research

Keywords: Bayesian estimation; moment-matching estimation; mombay estimation; New-Keynesian model; micropriors; macropriors;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Lombardi, Marco J. & Nicoletti, Giulio, 2011. "Bayesian prior elicitation in DSGE models: macro- vs micro-priors," Working Paper Series, European Central Bank 1289, European Central Bank.
  2. Sacht, Stephen, 2014. "Optimal monetary policy responses and welfare analysis within the highfrequency New-Keynesian framework," Economics Working Papers 2014-03, Christian-Albrechts-University of Kiel, Department of Economics.
  3. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
  4. Sacht, Stephen, 2014. "Analysis of various shocks within the high-frequency versions of the baseline New-Keynesian model," Economics Working Papers 2014-02, Christian-Albrechts-University of Kiel, Department of Economics.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:cauewp:201404. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.