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Structural Inference and the Lucas Critique

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  • Fabrice Collard
  • Patrick Feve
  • François Langot

Abstract

We 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.

Suggested Citation

  • Fabrice Collard & Patrick Feve & François Langot, 2002. "Structural Inference and the Lucas Critique," Annals of Economics and Statistics, GENES, issue 67-68, pages 183-206.
    • Handle: RePEc:adr:anecst:y:2002:i:67-68:p:183-206
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    Cited by:

    1. de Blas Beatriz, 2009. "Can Financial Frictions Help Explain the Performance of the U.S. Fed?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-30, June.
    2. Fabrice Collard & Patrick Fève, 2012. "Sur les causes et les effets en macro économie : les Contributions de Sargent et Sims, Prix Nobel d'Economie 2011," Revue d'économie politique, Dalloz, vol. 122(3), pages 335-364.
    3. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
    4. repec:zbw:bofrdp:2018_022 is not listed on IDEAS
    5. Liu, Yuelin & Morley, James, 2014. "Structural evolution of the postwar U.S. economy," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 50-68.
    6. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Research Discussion Papers 22/2018, Bank of Finland.

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