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Zero Lower Bound and Parameter Bias in an Estimated DSGE Model
http://hdl.handle.net/2261/55370
http://hdl.handle.net/2261/55370faf39d5b-8ea3-434b-9e51-3ff7546d94b6
名前 / ファイル | ライセンス | アクション |
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wp018.pdf (224.9 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2015-05-11 | |||||
タイトル | ||||||
タイトル | Zero Lower Bound and Parameter Bias in an Estimated DSGE Model | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Zero lower bound | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | DSGE model | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Parameter bias | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Bayesian estimation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classi cation: C32, E30, E52 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
著者 |
Hirose, Yasuo
× Hirose, Yasuo× Inoue, Atsushi |
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著者所属 | ||||||
著者所属 | Faculty of Economics, Keio University | |||||
著者所属 | ||||||
著者所属 | Department of Economics, Southern Methodist University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE model are not biased although some biases are detected in the estimates of the monetary policy parameters and the steady-state real interest rate. Nevertheless, in our baseline experiment, these biases are so small that the estimated impulse response functions are quite similar to the true impulse response functions. However, as the probability of hitting the zero lower bound increases, the biases in the parameter estimates become larger and can therefore lead to substantial differences between the estimated and true impulse responses. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 2012~2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号:24223003) | |||||
書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 018, 発行日 2013-09 |
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出版者 | ||||||
出版者 | UTokyo Price Project | |||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ |