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Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain

Listed author(s):
  • Jürgen Jerger

    ()

    (Osteuropa-Institut, Regensburg (Institut for East European Studies))

  • Oke Röhe

    ()

    (University of Regensburg)

We estimate a New Keynesian DSGE model on French, German and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure (”Estimate of Set of Stable parameters“) developed by Inoue and Rossi (2011). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model separately. In the case of France and Germany our results point to structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, there are significant changes in monetary policy behavior for France and Spain, while monetary policy in Germany seems to be stable over time.

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File URL: http://epub.uni-regensburg.de/20060/1/JergerRoehe_453.pdf
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Paper provided by Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) in its series Working Papers with number 276.

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Length: 24
Date of creation: Oct 2009
Date of revision: Mar 2011
Handle: RePEc:ost:wpaper:276
Note: Paper was previously circulated as the OEI Working Paper 276 under the title "The Macroeconomic Consequences of EMU : International Evidence from a DSGE Model"
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