Tests of Policy Interventions in DSGE Models
نویسندگان
چکیده
منابع مشابه
Tests of Policy Interventions in DSGE Models∗
This paper considers tests of the effectiveness of a policy intervention, defined as a change in the parameters of a policy rule, in the context of a macroeconometric dynamic stochastic general equilibrium (DSGE) model. We consider two types of intervention, first the standard case of a parameter change that does not alter the steady state, and second one that does alter the steady state, e.g. ...
متن کاملOnline Supplement Tests of Policy Interventions in DSGE Models by M . Hashem Pesaran and R . P . Smith
Proof. The result follows by direct manipulation of the terms. Lemma S2 Suppose that the k×k matrices A and B have bounded spectral norms ‖A‖ ≤ λ and ‖B‖ ≤ λ, for some fixed positive constant λ. Then ∥∥∥Ah −Bh∥∥∥ ≤ hλh−1 ‖A−B‖ , for h = 1, 2, .... (A.1) Proof. We establish this result by backward induction. It is clear that it holds for h = 1. For h = 2, using the identity A −B = A(A−B) + (A−B)...
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2017
ISSN: 0305-9049
DOI: 10.1111/obes.12224