Jerger, Jürgen and Röhe, Oke (2009) Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 453, Working Paper.
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We estimate a New Keynesian DSGE model on French, German 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 (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 and Germany 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 and Spain, while monetary policy in Germany seems to be stable over time.
|Item Type:||Monograph (Working Paper)|
|Date:||1 October 2009|
|Institutions:||Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Internationale und Monetäre Ökonomik (Prof. Dr. Jürgen Jerger)|
|Keywords:||DSGE, EMU, Monetary Policy, Structural Breaks|
|Subjects:||300 Social sciences > 330 Economics|
|Refereed:||No this document will not be refereed|
|Created at the University of Regensburg:||Yes|
|Deposited On:||05 Jul 2011 12:08|
|Last Modified:||21 Jul 2011 02:16|
Available Versions of this Item
The Macroeconomic Consequences of EMU: International Evidence from a DSGE Model. (deposited 02 Oct 2009 11:02)
- Testing for Parameter Stability in DSGE Models. The Cases of France, Germany and Spain. (deposited 05 Jul 2011 12:08) [Currently Displayed]