From time-varying macro-dynamics to time-varying estimates of DSGE parameters∗
نویسندگان
چکیده
This paper estimates a 7 variable TVP-VAR on US data using kernel methods. We identify monetary policy shocks using sign restrictions for each period in our sample. We then fit the SmetsWouters (2007) model to these impulse responses, tracing out evolutions in the structural DSGE parameters over time. Parameters defining nominal rigidities move a lot. Some real side ones move a lot (investment adjustment costs) and some are flat (eg the discount rate). Monetary policy parameters change, but not as much as is evident in other studies of the Great Moderation and its causes, contrary to the ‘indeterminacy’ theory of the Great Inflation. JEL Classification: Cxx,Cxx,Cxx
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