How structural are structural parameters?
By: Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez.
Contributors: Rubio-Ramírez, Juan Francisco.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 13166.; Working paper series (National Bureau of Economic Research) -- working paper no. 13166.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 44
Subjects: Equilibrium (Economics) -- Econometric models
Description: "This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter drifting and rational expectations of the agents with respect to this drift. We document that there is strong evidence that parameters change within our sample. We illustrate variations in the parameters describing the monetary policy reaction function and in the parameters characterizing the pricing behavior of firms and households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast doubts on the empirical relevance of Calvo models."--abstract.
Notes: "June 2007"

Includes bibliographical references (p. 39-43).

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