DSGE Models for Monetary Policy Analysis

Federal Reserve Bank of Atlanta CQER Working Paper No. 10-02

94 Pages Posted: 23 Sep 2010  

Lawrence J. Christiano

Northwestern University; Federal Reserve Bank of Cleveland; Federal Reserve Bank of Chicago; Federal Reserve Bank of Minneapolis; National Bureau of Economic Research (NBER)

Mathias Trabandt

Board of Governors of the Federal Reserve System; Sveriges Riksbank

Karl Walentin

Sveriges Riksbank

Multiple version iconThere are 2 versions of this paper

Date Written: August 2010

Abstract

Monetary DSGE models are widely used because they fit the data well and can be used to address important monetary policy questions. We provide a selective review of these developments. Policy analysis with DSGE models requires using data to assign numerical values to model parameters. The paper describes and implements Bayesian moment matching and impulse response matching procedures for this purpose.

Keywords: Taylor rule, labor supply, boom, output gap, unemployment, Bayesian inference, vector autoregression, posterior distribution

JEL Classification: E2, E3, E5, J6

Suggested Citation

Christiano, Lawrence J. and Trabandt, Mathias and Walentin, Karl, DSGE Models for Monetary Policy Analysis (August 2010). Federal Reserve Bank of Atlanta CQER Working Paper No. 10-02. Available at SSRN: https://ssrn.com/abstract=1680621 or http://dx.doi.org/10.2139/ssrn.1680621

Lawrence J. Christiano (Contact Author)

Northwestern University ( email )

2003 Sheridan Road
Evanston, IL 60208
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847-491-8231 (Phone)
847-491-7001 (Fax)

Federal Reserve Bank of Cleveland

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Federal Reserve Bank of Chicago

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Federal Reserve Bank of Minneapolis

90 Hennepin Avenue
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National Bureau of Economic Research (NBER)

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Mathias Trabandt

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Sveriges Riksbank ( email )

Brunkebergstorg 11
SE-103 37 Stockholm
Sweden

Karl Walentin

Sveriges Riksbank ( email )

Brunkebergstorg 11
SE-103 37 Stockholm
Sweden

HOME PAGE: http://www.riksbank.com/research/walentin

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