A Structural Estimation and Interpretation of the New Keynesian Macro Model

57 Pages Posted: 15 Nov 2002

See all articles by Seonghoon Cho

Seonghoon Cho

School of Economics, Yonsei University

Antonio Moreno

School of Economics and Business, University of Navarra

Date Written: August 8, 2002

Abstract

We formulate and solve a Rational Expectations New Keynesian macro model that implies non-linear cross-equation restrictions on the dynamics of inflation, the output gap and the Federal funds rate. Our maximum likelihood estimation procedure fully imposes these restrictions and yields asymptotic and small sample distributions of the structural parameters. We show how the structural parameters shape the responses of the macro variables to the structural shocks. While the point estimates imply that the Fed has been stabilizing inflation fluctuations since 1980, our econometric analysis suggests considerable uncertainty regarding the stance of the Fed against inflation.

Keywords: New Keynesian Model, Rational Expectations Solution, Monetary Policy, Structural Shocks, FIML Estimation

JEL Classification: C32, E32, E52

Suggested Citation

Cho, Seonghoon and Moreno, Antonio, A Structural Estimation and Interpretation of the New Keynesian Macro Model (August 8, 2002). Available at SSRN: https://ssrn.com/abstract=322600 or http://dx.doi.org/10.2139/ssrn.322600

Seonghoon Cho (Contact Author)

School of Economics, Yonsei University ( email )

Yonsei University
Seoul
Korea
82-2-2123-2470 (Phone)
82-2-393-1158 (Fax)

HOME PAGE: http://web.yonsei.ac.kr/sc719/index.htm

Antonio Moreno

School of Economics and Business, University of Navarra ( email )

Ed. Amigos
Pamplona, Navarra 31009
Spain

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
217
Abstract Views
1,248
rank
155,860
PlumX Metrics