Scandinavian Working Papers in Economics
Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)
No 362: Identification Versus Misspecification in New Keynesian Monetary Policy Models
Malin Adolfson, Stefan Laséen, Jesper Lindé () and Marco Ratto
Additional contact information
Malin Adolfson: Research Department, Central Bank of Sweden
Stefan Laséen: Monetary Policy Department, Central Bank of Sweden
Jesper Lindé: Research Department, Central Bank of Sweden, Postal: and CEPR
Marco Ratto: Financial Stability Department, Central Bank of Sweden
Abstract: In this paper, we study identification and misspecification problems in standard closed and open-economy empirical New-Keynesian DSGE models used in monetary policy analysis. We find that problems with model misspecification still appear to be a first-order issue in monetary DSGE models, and argue that it is problems with model misspecification that may bene.t the most from moving from a classical to a Bayesian framework. We also argue that lack of identification should neither be ignored nor be assumed to affect all DSGE models. Fortunately, identification problems can be readily assessed on a case-by-case basis, by applying recently developed pre-tests of identification.
Keywords: Bayesian estimation; Monte-Carlo methods; Maximum Likelihood Estimation; DSGE Model; Closed economy; Open economy
60 pages, November 1, 2018
Full text files
no.-362-identificati...ry-policy-models.pdfFull text
Questions (including download problems) about the papers in this series should be directed to Lena Löfgren ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 17:13:28.