Testing for Indeterminacy: An Application to U.S. Monetary Policy
用新凯恩斯模型估计美国货币政策是否导致经济均衡不确定，发现1982年后政策确定，而之前的不确定性改变了冲击传导。
This paper considers a prototypical New Keynesian model, in which the equilibrium is undetermined if monetary policy is “passive.” The likelihood-based estimation of dynamic equilibrium models is extended to allow for indeterminacies and sunspot fluctuations. We construct posterior weights for the determinacy and indeterminacy region of the parameter space and estimates for the propagation of fundamental and sunspot shocks. According to the estimated model, U.S. monetary policy post-1982 is consistent with determinacy, whereas the pre-Volcker policy is not. We find that before 1979 indeterminacy substantially altered the propagation of shocks.