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Euro area inflation persistence in an estimated nonlinear

Author

Listed:
  • Gianni Amisano

    (University of Brescia)

  • Oreste Tristani

    (European Central Bank)

Abstract

We estimate the approximate nonlinear solution of a small DSGE model using Bayesian methods. Our results, based on euro area data, suggest that this approch delivers sharper inference compared to the estimation of the linearised solution. The nonlinear model can also account for richer economic dynamics. The impulse responses of inflation to structural shocks may vary depending on initial conditions: they are much more persistent when inflation is significantly above its long run equilibrium level

Suggested Citation

  • Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006 347, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:347
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    References listed on IDEAS

    as
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    Cited by:

    1. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    2. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    3. Flury, Thomas & Shephard, Neil, 2011. "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, vol. 27(05), pages 933-956, October.

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    More about this item

    Keywords

    DSGE models; policy rules; inflation persistence; second order approximations;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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