An estimated DSGE model for the United Kingdom

The authors estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on U.K. data. Their estimates suggest that price stickiness is a more important source of nominal rigidity in the United Kingdom than wage stickiness. Their estimates of parameters gover...

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Bibliographic Details
Published in:Review - Federal Reserve Bank of St. Louis 2007-07, Vol.89 (4), p.215-240
Main Authors: DiCecio, Riccardo, Nelson, Edward
Format: Article
Language:English
Subjects:
Analysis
Capital market theory
Economic equilibrium models
Equilibrium (Economics)
General economic equilibrium
Investment
Macroeconomics
Monetary economics
Monetary policy
Policy sciences
Sticky prices
Stochastic models
United Kingdom
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Summary:The authors estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on U.K. data. Their estimates suggest that price stickiness is a more important source of nominal rigidity in the United Kingdom than wage stickiness. Their estimates of parameters governing investment behavior are only well behaved when post-1979 observations are included, which reflects government policies until the late 1970s that obstructed the influence of market forces on investment. Reprinted by permission of the Federal Reserve Bank of St. Louis
ISSN:0014-9187
DOI:10.20955/r.89.215-232