Počet záznamů: 1
Learning in a medium-scale DSGE model with expectations based on small forecasting models
- 1.0376792 - NHU-C 2013 RIV US eng J - Článek v odborném periodiku
Slobodyan, Sergey - Wouters, R.
Learning in a medium-scale DSGE model with expectations based on small forecasting models.
American Economic Journal: Macroeconomics. Roč. 4, č. 2 (2012), s. 65-101. ISSN 1945-7707. E-ISSN 1945-7715
Grant CEP: GA ČR(CZ) GCP402/11/J018
Institucionální podpora: PRVOUK-P23
Klíčová slova: monetary-policy * inflation * convergence
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 3.191, rok: 2012
This paper evaluates the empirical performance of a medium-scale DSGE model with agents forming expectations using small forecasting models updated by the Kalman filter. The adaptive learning model fits the data better than the rational expectations (RE) model. Beliefs about the inflation persistence explain the observed decline in the mean and the volatility of inflation as well as Phillips curve flattening. Learning about inflation results in lower estimates for the persistence of the exogenous shocks that drive price and wage dynamics in the RE version of the model. Expectations based on small forecasting models are closely related to the survey evidence on inflation expectations.
Trvalý link: http://hdl.handle.net/11104/0215585
Počet záznamů: 1