Surprising Comparative Properties of Monetary Models: Results from a New Model Database
利用一个新模型数据库，研究了美国经济中三个代表性货币模型的比较特性，发现联邦基金利率意外变化的宏观经济影响惊人相似，但最优货币政策规则缺乏稳健性，模型平均可改善政策规则的稳健性。
In this paper, we investigate the comparative properties of empirically estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, and Evans (2005), Smets and Wouters (2007), and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules. © 2012 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.