IDEAS home Printed from https://ideas.repec.org/p/roc/rocher/566.html
   My bibliography  Save this paper

Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters

Author

Listed:
  • Yongsung Chang

    () (University of Rochester)

  • Sun-Bin Kim

    () (Yonsei University)

  • Frank Schorfheide

    () (University of Pennsylvania)

Abstract

Data from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply are simulated under various fiscal policy regimes and an approximating representative-agent model is estimated. Preference and technology parameter estimates of the representative-agent model are not invariant to policy changes and the bias in the representative-agent model’s policy predictions is large compared to predictive intervals that reflect parameter uncertainty. Since it is not always feasible to account for heterogeneity explicitly, it is important to recognize the possibility that the parameters of a highly aggregated model may not be invariant with respect to policy changes.

Suggested Citation

  • Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011. "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers 566, University of Rochester - Center for Economic Research (RCER).
  • Handle: RePEc:roc:rocher:566
    as

    Download full text from publisher

    File URL: http://rcer.econ.rochester.edu/RCERPAPERS/rcer_566.pdf
    File Function: full text
    Download Restriction: None

    Other versions of this item:

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
      by Christian Zimmermann in NEP-DGE blog on 2011-10-03 18:18:34

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hurtado, Samuel, 2014. "DSGE models and the Lucas critique," Economic Modelling, Elsevier, vol. 44(S1), pages 12-19.
    2. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.

    More about this item

    Keywords

    Aggregation; DSGE Models; Fiscal Policy; Heterogeneous-Agents Economy; Policy Predictions; Representative-Agent Models;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:roc:rocher:566. 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: (Richard DiSalvo). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.