Estimation of Quasi-Rational DSGE Models

Angelini, Giovanni (2015) Estimation of Quasi-Rational DSGE Models, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Metodologia statistica per la ricerca scientifica, 27 Ciclo. DOI 10.6092/unibo/amsdottorato/6743.
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Small-scale dynamic stochastic general equilibrium have been treated as the benchmark of much of the monetary policy literature, given their ability to explain the impact of monetary policy on output, inflation and financial markets. One cause of the empirical failure of New Keynesian models is partially due to the Rational Expectations (RE) paradigm, which entails a tight structure on the dynamics of the system. Under this hypothesis, the agents are assumed to know the data genereting process. In this paper, we propose the econometric analysis of New Keynesian DSGE models under an alternative expectations generating paradigm, which can be regarded as an intermediate position between rational expectations and learning, nameley an adapted version of the "Quasi-Rational" Expectatations (QRE) hypothesis. Given the agents' statistical model, we build a pseudo-structural form from the baseline system of Euler equations, imposing that the length of the reduced form is the same as in the `best' statistical model.

Tipologia del documento
Tesi di dottorato
Angelini, Giovanni
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Settore disciplinare
Settore concorsuale
Parole chiave
Dynamic stochastic general equilibrium model, New Keynesian models, Quasi-Rational Expectations, State space model.
Data di discussione
3 Febbraio 2015

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