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Euro area inflation persistence in an estimated nonlinear dsge model

Author Info

Listed author(s):
  • Gianni Amisano

    ()

  • Oreste Tristani

    ()

Abstract

We estimate the approximate non-linear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the non-linear 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: https://hal.archives-ouvertes.fr/hal-00732762/document
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Paper provided by HAL in its series Post-Print with number hal-00732762.

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Date of creation: 17 Sep 2010
Publication status: Published in Journal of Economic Dynamics & Control, Elsevier, 2010, 34 (10), pp.1837. <10.1016/j.jedc.2010.05.001>
Handle: RePEc:hal:journl:hal-00732762
DOI: 10.1016/j.jedc.2010.05.001
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00732762
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

Keywords: DSGEmodels; Inflation persistence; Second order approximations; Sequential Monte Carlo; Bayesian estimation; C11; C15; E31; E32; E52;

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Find related papers by JEL classification:
  • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
  • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
  • 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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