Assessing DSGE Models with Capital Accumulation and Indeterminacy /

Assessing DSGE Models with Capital Accumulation and Indeterminacy /

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Bibliographic Details
Author / Creator:Khramov, Vadim.
Imprint:Washington, D.C. : International Monetary Fund, 2012.
Description:1 online resource (35 pages).
Language:English
Series:IMF Working Papers, 2227-8885 ; Working Paper No. 12/83
IMF Working Papers ; Working Paper no. 12/83.
Subject:
Equilibrium (Economics) -- Econometric models.
Stochastic models.
Equilibrium (Economics) -- Econometric models.
Stochastic models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12507974
Hidden Bibliographic Details
Other authors / contributors:Khramov, Vadim.
International Monetary Fund.
ISBN:147558640X
9781475586404
9781475586404
9781475502350
1475502354
Notes:Available in PDF, ePUB, and Mobi formats on the Internet.
Summary:The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
Standard no.:10.5089/9781475586404.001
Table of Contents:
  • Cover; Assessing DSGE Models with Capital Accumulation and Indeterminacy; Introduction; 1. Model; 1.1. Households; 1.2. Firms; 1.3. Monetary policy rules; 1.4. Dynamics of the model; 2. Model simulations; Tables; Table 1. Simulation results of the model. Theoretical moments; Table 2. Simulation results of the model. Variance decomposition; Table 3. Simulation results of the model. Matrix of correlations; Table 4. Simulation results of the model. Coefficients of autocorrelation; 3. Empirical Approach; 3.1. Data; Figure.
  • Figure 1. Dynamics of U.S. output, inflation, nominal interest rate, consumption, and capital (in log deviations from the Hodrick-Prescott filtered trend), 1960:I -2008:I3.2. Estimation approach; Table 5. Sample moments for quarterly postwar U.S. data on output, inflation, nominal interest rates, consumption, and capital; 3.3. Prior Distributions; Table 6. Baseline calibration and prior distributions of the parameters of the model; 4. Estimation Results; Table 7. Priors and posterior estimation results of the model with indeterminacy for the pre-Volcker period (1960:I to 1979:II).
  • Table 8. Priors and posterior estimation results of the model with indeterminacy for the post-1982 period5. Model comparison; Table 9. Bayesian comparison of versions of the model with determinacy and indeterminacy; Table 10. Bayesian comparison of the four versions of the model; Conclusions; References; Appendix 1. Firm's problem; Appendix 2. Log-linearization of the model; Appendix 3. Theoretical IRFs, model with indeterminacy; Appendix 4. Theoretical IRFs, model with determinacy; Appendix 5. Empirical correlation matrices; Appendix 6. Empirical autocorrelations.

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