Autori
Altissimo, F.
Terlizzese, D.
Siviero, S.

Titolo
How deep are the deep parameters?
Periodico
Banca d'Italia. Temi di discussione
Anno: 1999 - Volume: 6 - Fascicolo: 354 - Pagina iniziale: 1

Policy evaluation based on the estimation of dynamic stochastic general equilibrium models with aggregate macroeconomic time series rests on the assumption that a representative agent can be identi¿ed, whose behavioural parameters are independent of the policy rules. Building on earlier work by Geweke, the main goal of this paper is to show that the representative agent is in general not structural, in the sense that its estimated behavioural parameters are not policy-independent. The paper identi¿es two different sources of non-structurality. The latter is shown to be a fairly general feature of optimizing representative agent rational expectations models estimated on macroeconomic data.



Testo completo: http://www.bancaditalia.it/pubblicazioni/temidi/tema_354_99.pdf

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