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Estimating a NKBC Model for the U.S. Economy with Multiple Filters

  • Efrem Castelnuovo

    ()

    (University of Padua)

This paper estimates a new-Keynesian DSGE model of the U.S. business cycle by employing a variety of business cycle proxies, either one-by-one or, following a recent proposal by Canova and Ferroni (2009), in a joint fashion. Objects such as posterior densities, impulse-response functions, and forecast error variance decompositions are shown to be remarkably sensitive to different filtering. This uncertainty notwithstanding, shocks to trend inflation are given robust support as the main inflation driver in the post-WWII era.

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File URL: http://economia.unipd.it/sites/decon.unipd.it/files/20090102.pdf
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Paper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0102.

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Length: 36 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:pad:wpaper:0102
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