The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
On the Fit of New Keynesian Models
Abstract
This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restrictions. We find that the degree of misspecification in this large-scale DSGE model is no longer so large as to prevent its use in day-to-day policy analysis, yet is not small enough to be ignored.
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Citations
Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
Christiano, L. J., Eichenbaum, M., & Evans, C. L. (2005) · Journal of Political Economy · doi:10.1086/426038 · Cited by 6,238
Cited by
Investment shocks and business cycles
Justiniano, A., Primiceri, G. E., & Tambalotti, A. (2010) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2009.12.008 · Cited by 869
Prior Selection for Vector Autoregressions
Giannone, D., Lenza, M., & Primiceri, G. E. (2015) · Review of Economics and Statistics · doi:10.1162/rest_a_00483 · Cited by 710
Financial Factors in Economic Fluctuations
Christiano, L. J., Motto, R., & Rostagno, M. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1600166 · Cited by 687
Negro, M. D., & Schorfheide, F. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-53683-9.00002-5 · Cited by 277
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Metadata
- Authors
- Del Negro, M., Schorfheide, F., Smets, F., & Wouters, R.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2007-04
- Volume
- 25
- Issue
- 2
- Pages
- 123-143
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2003759958
- Cited by
- 510
- References
- 2
- FWCI
- 85.70
- Type
- journal article
- Language
- en
- Open access
- closed
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- Del Negro, M., Schorfheide, F., Smets, F., & Wouters, R. (2007). On the Fit of New Keynesian Models. Journal of Business & Economic Statistics. https://doi.org/10.1198/073500107000000016
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
