Macroeconomic Model Data Base

Why is it interesting? The comparison shows that central banks have to deal with model uncertainty and that different models imply very different responses in key economic variables. Many central banks included second-generation New Keynesian models in their suite of models prior to the Great Recession, mainly due to the improved empirical fit of these models relative to the early small-scale models. What to do on the MMB? Models: NK_RW97, NK_IR04, US_ACELm, US_SW07 Policy Rules: Gerdesmeier & Roffia (2004) Shocks: Monetary Policy Shock Variables: Inflation, Interest, Output What is interesting? The impulse responses peak on impact, returning only slowly to their non-stochastic steady state values afterwards. This is at odds with empirical VAR evidence, which suggests that both output and inflation exhibit a hump-shaped response to a monetary policy shock. Medium-size DSGE models of the second generation induce such hump-shaped impulse responses by adding capit...

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...