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Learning in a medium-scale DSGE model with expectations based on small forecasting models
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SYSNO ASEP 0376792 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Learning in a medium-scale DSGE model with expectations based on small forecasting models Tvůrce(i) Slobodyan, Sergey (NHU-C) RID
Wouters, R. (BE)Zdroj.dok. American Economic Journal: Macroeconomics. - : American Economic Association - ISSN 1945-7707
Roč. 4, č. 2 (2012), s. 65-101Poč.str. 37 s. Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova monetary-policy ; inflation ; convergence Vědní obor RIV AH - Ekonomie CEP GCP402/11/J018 GA ČR - Grantová agentura ČR Institucionální podpora NHU-C - PRVOUK-P23 UT WOS 000302552800003 DOI 10.1257/mac.4.2.65 Anotace 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. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2013
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