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Euro area inflation persistence in an estimated nonlinear dsge model

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  • Gianni Amisano

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  • Oreste Tristani

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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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  • Gianni Amisano & Oreste Tristani, 2010. "Euro area inflation persistence in an estimated nonlinear dsge model," Post-Print hal-00732762, HAL.
    • 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
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    More about this item

    Keywords

    DSGEmodels; Inflation persistence; Second order approximations; Sequential Monte Carlo; Bayesian estimation; C11; C15; E31; E32; E52;
    All these keywords.

    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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