【Macro Seminar】Efficient and Robust Inference of Models with Occasionally Binding Constraints
2024/12/04
研討會日期 : 2024-12-04
時間 : 14:30
主講人 : Professor Philipp Pfeiffer
地點 : Conference Room B110
主持人 : Professor Been-Lon Chen
演講者簡介 : Professor Philipp Pfeiffer received his Ph.D. in Economics from TU Berlin and the Berlin School of Economics in 2019. He is a Deputy Head of the Macroeconomic Modelling Unit of the European Commission, Directorate-General Economics and Financial Affairs. His research interests are Monetary Macroeconomics, Fiscal Policy, and Macroeconometrics.
演講摘要 : We propose a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding constraints, expanding the range of models suitable for nonlinear estimation. The PKF method handles missing data, non-singularity, and large-scale models. Monte Carlo experiments demonstrate its efficiency and robustness compared to existing methods. Our toolkit seamlessly integrates the PKF into Dynare, the most popular software for DSGE modelling. Finally, as a testbed, we apply the PKF to a multi-country model with downward nominal wage rigidity and a zero lower bound (ZLB), assessing fiscal policy options in a currency union
