Forming Priors for DSGE Models and how it Affects the Assessment of Nominal Rigidities PDF Download

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Forming Priors for DSGE Models and how it Affects the Assessment of Nominal Rigidities

Forming Priors for DSGE Models and how it Affects the Assessment of Nominal Rigidities PDF Author: Marco Del Negro
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Languages : en
Pages : 37

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Book Description
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application studies the role of price and wage rigidities in a New Keynesian DSGE model and finds that standard macro time series cannot discriminate among theories that differ in the quantitative importance of nominal frictions.