Structural Inference and the Lucas Critique
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.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2000|
|Date of revision:||2001|
|Publication status:||Published in European Economic Review, vol.�47, n°3, Elsevier, juin 2003, p.�521-552.|
|Contact details of provider:|| Postal: |
Phone: +33 (0)5 61 12 85 89
Fax: + 33 (0)5 61 12 86 37
Web page: http://www.idei.fr/Email:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ide:wpaper:667. 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: ()
If references are entirely missing, you can add them using this form.