Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

50 Pages Posted: 23 May 2008

See all articles by Gianni Amisano

Gianni Amisano

Board of Governors of the Federal Reserve System; European Central Bank (ECB); University of Bologna - Rimini Center for Economic Analysis (RCEA); University of Brescia - Department of Economics

Oreste Tristani

European Central Bank (ECB)

Date Written: June 2007

Abstract

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model. We also show that the nonlinear model can account for richer economic dynamics: the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample.

Keywords: Bayesian estimation, DSGE models, inflation persistence, second order approximations, sequential Monte Carlo

JEL Classification: C11, C15, E31, E32, E52

Suggested Citation

Amisano, Gianni and Tristani, Oreste, Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (June 2007). CEPR Discussion Paper No. DP6373, Available at SSRN: https://ssrn.com/abstract=1136698

Gianni Amisano (Contact Author)

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW
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European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

University of Brescia - Department of Economics ( email )

Via San Faustino 74B
Brescia, 25122
Italy

Oreste Tristani

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0049 69 1344 6000 (Fax)

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