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Replication data for: Monetary Policy Analysis with Potentially Misspecified Models

Version
V0
Resource Type
Dataset
Creator
  • Del Negro, Marco
  • Schorfheide, Frank
Publication Date
2009-09-01
Description
  • Abstract

    Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs, and treatment of the deviations from the cross-equation restrictions. Using post-1982 US data, we study the robustness of the policy prescriptions from a state-of-the-art DSGE model with respect to two approaches to model misspecification pursued in the recent literature: (i) adding shocks to the DSGE model and/or generalizing the processes followed by these shocks; and (ii) explicit modeling of deviations from cross-equation restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.99.4.1415 (Text)
Publications
  • Del Negro, Marco, and Frank Schorfheide. “Monetary Policy Analysis with Potentially Misspecified Models.” American Economic Review 99, no. 4 (August 2009): 1415–50. https://doi.org/10.1257/aer.99.4.1415.
    • ID: 10.1257/aer.99.4.1415 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Del Negro, Marco; Schorfheide, Frank (2009): Replication data for: Monetary Policy Analysis with Potentially Misspecified Models. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E113320