Macroeconomic Model Data Base

Why is it interesting? The comparison shows the effect of an unanticipated increase in the nominal interest rate of one percentage point for the commonly defined macroeconomic aggregates between different financial frictions. What to do on the MMB? Models: US_CD08, US_CMR14, US_DG08, US_SW07, NK_BGG99 Policy Rules: Smets and Wouters (2007) Shocks: Monetary Policy Shock Variables: Inflation, Interest, Output, Output gap, Consumption, Investment What is interesting? The magnitude, timing and dynamic pattern of responses differ substantially across models. It is particularly striking that the smaller New Keynesian models NK_BGG99 and US_CD08 display much stronger responses of output and inflation and a much smaller response of the nominal interest rate than the medium-size DSGE models US_SW07, US_DG08 and US_CMR14. This diversity of responses to a monetary policy shock stands in contrast to the findings of Taylor and Wieland (2012). The reason is that in these two mode...

Why is it interesting? Recognizing that the macroeconomy is too complex and uncertain to be represented by a single model, this comparison of 11 models, with a focus on the Euro Area, confirms that an optimized policy rule specific to a model would induce greater macroeconomic fluctuations. A generalized policy rule derived by averaging over the 11 models is more robust. What to do on the MMB? Models: EA_AWM05; G7_TAY93, EA_CW05fm, EA_CW05ta, G3_CW03; EA_SW03, EACZ_GEM03, EA_SR07, EA_QUEST3; EA_CKL09, EA_GNSS10 Policy Rules: Gerdesmeier & Roffia (2004) Shocks: Monetary Policy Shock Variables: Inflation, Output What is interesting? The 11 models range from a traditional Keynesian model (EA_AWM05), the first wave of New Keynesian models (G7_TAY93, EA_CW05fm, EA_CW05ta, G3_CW03), modern NK models (EA_SW03, EACZ_GEM03, EA_SR07, EA_QUEST3) to NK models with frictions (EA_CKL09, EA_GNSS10). Since a generalized policy rule is introduced to all the 11 models, diff...