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Parameter Bias in an Estimated DSGE Model : Does Nonlinearity Matter?
http://hdl.handle.net/2261/59325
http://hdl.handle.net/2261/59325e4bc5b83-3ef8-402d-b0d5-94284f33d968
名前 / ファイル | ライセンス | アクション |
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wp081.pdf (487.3 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 | 2016-03-31 | |||||
タイトル | ||||||
タイトル | Parameter Bias in an Estimated DSGE Model : Does Nonlinearity Matter? | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Nonlinearity | |||||
主題Scheme | Other | |||||
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 | |||||
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× Sunakawa, Takeki |
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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 | Graduate School of Public Policy, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | How can parameter estimates be biased in a dynamic stochastic general equilibrium model that omits nonlinearity in the economy? To answer this question, we simulate data from a fully nonlinear New Keynesian model with the zero lower bound constraint and estimate a linearized version of the model. Monte Carlo experiments show that significant biases are detected in the estimates of monetary policy parameters and the steady-state inflation and real interest rates. These biases arise mainly from neglecting the zero lower bound constraint rather than linearizing equilibrium conditions. With fixed parameters, the variance-covariance matrix and impulse response functions of observed variables implied by the linearized model substantially differ from those implied by its nonlinear counterpart. However, we find that the biased estimates of parameters in the estimated linear model can make most of the differences small. | |||||
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 081, 発行日 2016-03 |
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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/ |