期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2004
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：The method of maximum likelihood is used to estimate a Dynamic Stochastic
General Equilibrium business cycle model that combines elements of existing
sticky-price and limited-participation specifications. Sticky prices are incorporated,
following Rotemberg (1982), by assuming that monopolistically competitive
firms face a quadratic cost of nominal price adjustment. Limited participation is
incorporated, following Cooley and Quadrini (1999), by assuming that households
face a quadratic cost of portfolio adjustment.The results support the hypothesis
that the degree of the portfolio adjustment is very small in the data, but significant.
In addition, the data suggest that the response of the interest rate to deviations of
output from the steady state in the interest rate rule should be very close to zero.
This is argued by Christiano and Gust (1999) as well. Furthermore, as in Ireland
(1999, 2000), the model can not reject the hypothesis of parameter stability for
the policy parameters. On the other hand, the model rejects the hypothesis for
the rest of the parameters.
