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首页> 外文期刊>Journal of Economic Dynamics and Control >Indeterminacy, Change Points And The Price Puzzle In An Estimated Dsge Model
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Indeterminacy, Change Points And The Price Puzzle In An Estimated Dsge Model

机译：Dsge模型的不确定性，变更点和价格难题

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摘要

We extend Lubik and Schorfheide's [2004. Testing for indeterminacy: an application to U.S. monetary policy. American Economic Review 94, 190-217] likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period the includes both determinacy and indeterminacy by implementing a change-point methodology [Chib, S. 1998. Estimation and comparison of multiple change-point models. Journal of Econometrics 86, 221-241]. By letting the data provide estimates of the dates of the determinacy regimes and allowing the estimates of structural parameters to be the same across regimes, we obtain more precise estimates of the differences in characteristics, such as the impulse responses, across the regimes. The most striking finding about the indeterminacy regime, which is estimated to coincide with the Great Inflation of the 1970s, is that it exhibits the price puzzle, in that the inflation rate rises immediately and in a sustained manner following a positive interest rate shock. Thus, the price puzzle might have been a genuine phenomenon under indeterminacy, rather than a false finding to be excised through specification search and parameter restrictions.
机译：我们扩展了Lubik和Schorfheide [2004年。测试不确定性：适用于美国货币政策。 《美国经济评论》 94，190-217]在不确定性下基于动态可能性的动态随机一般均衡（DSGE）模型的估计，其中包括通过实施变更点方法而包含确定性和不确定性的样本期[Chib，S. 1998.估计以及多个变更点模型的比较。计量经济学杂志86，221-241]。通过让数据提供确定性方案日期的估算值，并允许各方案中结构参数的估算值相同，我们可以更精确地估算整个方案中特性差异（例如冲激响应）的估算值。关于不确定性制度的最惊人发现，据估计与1970年代的“大通货膨胀”相吻合，是它表现出了价格难题，因为通货膨胀率在积极的利率冲击后立即且持续上升。因此，价格不确定性可能是不确定性下的真正现象，而不是通过规格搜索和参数限制来消除的错误发现。

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