| Le, Vo Phuong Mai, Meenagh, David, Minford, Anthony Patrick Leslie and Wickens, Michael 2011. How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference. Journal of Economic Dynamics and Control 35 (12) , pp. 2078-2104. 10.1016/j.jedc.2011.08.009 |
Abstract
We evaluate the Smets–Wouters New Keynesian model of the US postwar period, using indirect inference, the bootstrap and a VAR representation of the data. We find that the model is strongly rejected. While an alternative (New Classical) version of the model fares no better, adding limited nominal rigidity to it produces a ‘weighted’ model version closest to the data. But on data from 1984 onwards – the ‘great moderation’ – the best model version is one with a high degree of nominal rigidity, close to New Keynesian. Our results are robust to a variety of methodological and numerical issues.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Advanced Research Computing @ Cardiff (ARCCA) Business (Including Economics) |
| Subjects: | D History General and Old World > D History (General) > D839 Post-war History, 1945 on E History America > E151 United States (General) H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance J Political Science > JK Political institutions (United States) |
| Uncontrolled Keywords: | Bootstrap; US model; DSGE; VAR; New Keynesian; New classical; Indirect inference; Wald statistic; Regime change; Structural break; Great moderation |
| Publisher: | Elsevier |
| ISSN: | 0165-1889 |
| Last Modified: | 06 Mar 2018 20:58 |
| URI: | http://orca.cf.ac.uk/id/eprint/18669 |
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