Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach

dc.contributor.author	Rubio-Ramirez, J.F.	en_US
dc.contributor.author	(IMF), Pau Rabanal	en_US
dc.date.accessioned	2010-03-09T15:36:17Z
dc.date.available	2010-03-09T15:36:17Z
dc.date.issued	2005	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1975
dc.description.abstract	This paper estimates and compares four versions of the sticky price New Keynesian model using a Bayesian approach. We estimate an average duration of price contracts between four and seven quarters in all cases. When we introduce sticky wages we estimate an average duration of wage contracts to be below three quarters. We find price indexation to be more important than wage indexation. Finally, the marginal likelihood criterion ranks both the sticky price and wage model of Erceg, Henderson, and Levin (2000) and its wage indexation version best.	en_US
dc.format.extent	141461 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of Monetary Economics	en_US
dc.subject	Bayesian econometrics	en_US
dc.subject	Indexation	en_US
dc.subject	Model comparison	en_US
dc.subject	Nominal rigidities	en_US
dc.title	Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach	en_US
dc.type	Journal Article	en_US
dc.department	Economics