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Surprising comparative properties of monetary models: Results from a new model database

  • Taylor, John B.
  • Wieland, Volker

In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, Evans (2005), Smets and Wouters (2007) and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.

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File URL: http://econstor.eu/bitstream/10419/97757/1/IMFS_WP_66.pdf
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Paper provided by Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt in its series IMFS Working Paper Series with number 66.

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Date of creation: 2012
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Handle: RePEc:zbw:imfswp:66
Contact details of provider: Web page: http://www.imfs-frankfurt.de/en.html
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