NDLI: Comparing New Keynesian Models in the Euro Area : A Bayesian Approach

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Comparing New Keynesian Models in the Euro Area : A Bayesian Approach

Content Provider	Semantic Scholar
Author	Rabanal, Pau Rubio-Ramirez, Juan F.
Copyright Year	2003
Abstract	This paper estimates and compares four versions of the sticky price New Keynesian model for the Euro area using a Bayesian approach. We nd that the average duration of price contracts is between two and four quarters, while the average duration of wage contracts is estimated to be below two quarters. Both mechanisms of price and wage indexation are not important when autocorrelated price markup shocks are introduced in the model. These results are in stark contrast to Smets and Wouters (2003): when we use their priors, our estimated posterior distributions are similar to theirs, but the modelst to the data is worse. Keywords: Nominal Rigidities, Indexation, Bayesian Econometrics, Model Comparison. JEL Classication: C11, C15, E31, E32. We are thankful to the Econometric Modelling Unit at the European Central Bank for providing us with the Euro area data. We also thank two anonymous referees for helpful suggestions. The views expressed in this paper are those of the authors and do not necessarily reect the views of Caixa dEstalvis i Pensions de Barcelona ("la Caixa"). yCorresponding author. Email: juan.rubio-ramirez@duke.edu. Economics Department, Duke University, P.O. Box 90097, Durham, NC 27008, USA.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www.paurabanal.net/euroareamay2507.pdf
Alternate Webpage(s)	https://econ.duke.edu/uploads/assets/People/Rubio-Ramirez/Refereed%20Publications/JEEA.pdf
Alternate Webpage(s)	https://www.econstor.eu/bitstream/10419/100977/1/wp2003-30.pdf
Language	English
Access Restriction	Open
Subject Keyword	BaseLine dental cement Baseline (configuration management) C11 (C standard revision) Contract agreement Estimated Euro currency Marginal model Prionotus rubio Small Sticky bit Version
Content Type	Text
Resource Type	Article

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