Testing for parameter stability in DSGE models. The cases of France, Germany, Italy, and Spain
We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure (“Estimate of Set of Stable parameters”) developed by Inoue and Rossi (Rev Econ...
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| Veröffentlicht in: | International economics and economic policy 2014-09, Vol.11 (3), p.329-351 |
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| creator | Jerger, Jürgen Röhe, Oke |
| description | We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure (“Estimate of Set of Stable parameters”) developed by Inoue and Rossi (Rev Econ Stat 93(4):1186–1204,
2011
). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model separately. In the case of France, Germany, and Italy our results point to structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, there are significant changes in monetary policy behavior for France, Italy, and Spain, while monetary policy in Germany seems to be stable over time. |
| doi_str_mv | 10.1007/s10368-012-0228-1 |
| format | Article |
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2011
). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model separately. In the case of France, Germany, and Italy our results point to structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, there are significant changes in monetary policy behavior for France, Italy, and Spain, while monetary policy in Germany seems to be stable over time.</description><identifier>ISSN: 1612-4804</identifier><identifier>EISSN: 1612-4812</identifier><identifier>DOI: 10.1007/s10368-012-0228-1</identifier><language>eng</language><publisher>Berlin/Heidelberg: Springer Berlin Heidelberg</publisher><subject>Analysis ; Econometrics ; Economic models ; Economic Policy ; Economic theory ; Economics ; Economics and Finance ; Equilibrium ; European Monetary Union ; Expected utility ; Households ; Interest rates ; International Economics ; Macroeconomics ; Macroeconomics/Monetary Economics//Financial Economics ; Monetary policy ; Monetary theory ; Original Paper ; Public Finance ; Studies</subject><ispartof>International economics and economic policy, 2014-09, Vol.11 (3), p.329-351</ispartof><rights>Springer-Verlag Berlin Heidelberg 2012</rights><rights>COPYRIGHT 2014 Springer</rights><rights>Springer-Verlag Berlin Heidelberg 2014</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c3191-760fdbc3f084dc3a5ba66bbb45b2f2136b346ecbeaff9a4fb7b000340cca9a003</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s10368-012-0228-1$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s10368-012-0228-1$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,780,784,27857,27915,27916,41479,42548,51310</link.rule.ids></links><search><creatorcontrib>Jerger, Jürgen</creatorcontrib><creatorcontrib>Röhe, Oke</creatorcontrib><title>Testing for parameter stability in DSGE models. The cases of France, Germany, Italy, and Spain</title><title>International economics and economic policy</title><addtitle>Int Econ Econ Policy</addtitle><description>We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure (“Estimate of Set of Stable parameters”) developed by Inoue and Rossi (Rev Econ Stat 93(4):1186–1204,
2011
). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model separately. In the case of France, Germany, and Italy our results point to structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, there are significant changes in monetary policy behavior for France, Italy, and Spain, while monetary policy in Germany seems to be stable over time.</description><subject>Analysis</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Economic Policy</subject><subject>Economic theory</subject><subject>Economics</subject><subject>Economics and Finance</subject><subject>Equilibrium</subject><subject>European Monetary Union</subject><subject>Expected utility</subject><subject>Households</subject><subject>Interest rates</subject><subject>International Economics</subject><subject>Macroeconomics</subject><subject>Macroeconomics/Monetary Economics//Financial Economics</subject><subject>Monetary policy</subject><subject>Monetary theory</subject><subject>Original Paper</subject><subject>Public Finance</subject><subject>Studies</subject><issn>1612-4804</issn><issn>1612-4812</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNp1kD9PwzAQxSMEEqXwAdgssZJydpx_Y1VoQarE0LJinR27uEqcYoeh3x5XQYgFeXhn6_3Ody9JbinMKED5EChkRZUCZSkwVqX0LJnQIt54Rdn5bw38MrkKYQ_A6ghMkvetDoN1O2J6Tw7osdOD9iQMKG1rhyOxjjxuVk-k6xvdhhnZfmiiMOhAekOWHp3S92SlfYfueE9eBmyjoGvI5oDWXScXBtugb350mrwtn7aL53T9unpZzNepymhN07IA00iVGah4ozLMJRaFlJLnkhlGs0JmvNBKajSmRm5kKQEg46AU1hiraXI39j34_vMrriT2_Zd38UtB8zxjdQW0iq7Z6Nphq4V1ph88qnga3VnVO21sfJ-XlPPozosI0BFQvg_BayMO3nboj4KCOOUuxtxFzF2cchc0MmxkQvS6nfZ_RvkX-gbntoPx</recordid><startdate>20140901</startdate><enddate>20140901</enddate><creator>Jerger, Jürgen</creator><creator>Röhe, Oke</creator><general>Springer Berlin Heidelberg</general><general>Springer</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0-V</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7TQ</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8AO</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ALSLI</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DHY</scope><scope>DON</scope><scope>DPSOV</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>KC-</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>M2L</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20140901</creationdate><title>Testing for parameter stability in DSGE models. 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The cases of France, Germany, Italy, and Spain</atitle><jtitle>International economics and economic policy</jtitle><stitle>Int Econ Econ Policy</stitle><date>2014-09-01</date><risdate>2014</risdate><volume>11</volume><issue>3</issue><spage>329</spage><epage>351</epage><pages>329-351</pages><issn>1612-4804</issn><eissn>1612-4812</eissn><abstract>We estimate a New Keynesian DSGE model on French, German, Italian, and Spanish data. The main aim of this paper is to check for the respective sets of parameters that are stable over time, making use of the ESS procedure (“Estimate of Set of Stable parameters”) developed by Inoue and Rossi (Rev Econ Stat 93(4):1186–1204,
2011
). This new econometric technique allows to address the stability properties of each single parameter in a DSGE model separately. In the case of France, Germany, and Italy our results point to structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a significant break just before the start of the third stage in 1998. Specifically, there are significant changes in monetary policy behavior for France, Italy, and Spain, while monetary policy in Germany seems to be stable over time.</abstract><cop>Berlin/Heidelberg</cop><pub>Springer Berlin Heidelberg</pub><doi>10.1007/s10368-012-0228-1</doi><tpages>23</tpages></addata></record> |
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| subjects | Analysis Econometrics Economic models Economic Policy Economic theory Economics Economics and Finance Equilibrium European Monetary Union Expected utility Households Interest rates International Economics Macroeconomics Macroeconomics/Monetary Economics//Financial Economics Monetary policy Monetary theory Original Paper Public Finance Studies |
| title | Testing for parameter stability in DSGE models. The cases of France, Germany, Italy, and Spain |
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