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An estimated DSGE model for the United Kingdom

  • Riccardo DiCecio
  • Edward Nelson

We estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on United Kingdom data. Our estimates suggest that price stickiness is a more important source of nominal rigidity in the U.K. than wage stickiness. Our estimates of parameters governing investment behavior are only well behaved when post-1979 observations are included, which reflects government policies until the late 1970s that obstructed the influence of market forces on investment.

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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2007-006.

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Date of creation: 2007
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Publication status: Published in Federal Reserve Bank of St. Louis Review, July/August 2007, 89(4), pp. 215-31
Handle: RePEc:fip:fedlwp:2007-006
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  28. David Altig & Lawrence Christiano & Martin Eichenbaum & Jesper Linde, 2005. "Online Appendix to "Firm-Specific Capital, Nominal Rigidities and the Business Cycle"," Technical Appendices 09-191, Review of Economic Dynamics.
  29. Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
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