Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model

The paper considers an elementary New-Keynesian three equation model and compares its Bayesian estimation to the results from the method of moments (MM), which seeks to match finite set of the model-generated second moments of inflation, output and the interest rate to their empirical counterparts. It is found that in the Great Inflation (GI) period - though not in the Great Moderation (GM)

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Year of publication:	2012
Authors:	Franke, Reiner ; Jang, Tae-Seok ; Sacht, Stephen
Publisher:	Kiel : Kiel University, Department of Economics
Subject:	Inflation persistence \| price indexation \| autocovariance profiles \| goodness-of-fit \| bootstrapping

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Series:	Economics Working Paper ; 2012-08
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	726075051 [GVK] hdl:10419/62781 [Handle] RePEc:zbw:cauewp:201208 [RePEc]
Classification:	C52 - Model Evaluation and Testing ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310433