Estimation of Quasi-Rational DSGE Models


Autoria(s): Angelini, Giovanni
Contribuinte(s)

Fanelli, Luca

Data(s)

03/02/2015

Resumo

Small-scale dynamic stochastic general equilibrium have been treated as the benchmark of much of the monetary policy literature, given their ability to explain the impact of monetary policy on output, inflation and financial markets. One cause of the empirical failure of New Keynesian models is partially due to the Rational Expectations (RE) paradigm, which entails a tight structure on the dynamics of the system. Under this hypothesis, the agents are assumed to know the data genereting process. In this paper, we propose the econometric analysis of New Keynesian DSGE models under an alternative expectations generating paradigm, which can be regarded as an intermediate position between rational expectations and learning, nameley an adapted version of the "Quasi-Rational" Expectatations (QRE) hypothesis. Given the agents' statistical model, we build a pseudo-structural form from the baseline system of Euler equations, imposing that the length of the reduced form is the same as in the `best' statistical model.

Formato

application/pdf

Identificador

http://amsdottorato.unibo.it/6743/1/Angelini_Giovanni_tesi.pdf

urn:nbn:it:unibo-13644

Angelini, Giovanni (2015) Estimation of Quasi-Rational DSGE Models, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Metodologia statistica per la ricerca scientifica <http://amsdottorato.unibo.it/view/dottorati/DOT276/>, 27 Ciclo. DOI 10.6092/unibo/amsdottorato/6743.

Idioma(s)

en

Publicador

Alma Mater Studiorum - Università di Bologna

Relação

http://amsdottorato.unibo.it/6743/

Direitos

info:eu-repo/semantics/openAccess

Palavras-Chave #SECS-P/05 Econometria
Tipo

Tesi di dottorato

NonPeerReviewed