Calvo vs. Rotemberg in a Trend Inflation World - Wiwi Uni-Frankfurt

P osterior Mean
[5th pct; 95th pct]
P aram: Description P rior Distr: P rior Mean
(St:dev:)
Rotemb:
=0
Calvo Rotemb: Calvo
=0
NK =1
0:00
[ ]
0:00
[ ]
0:38
0:15
1:00
[ ]
Indexation Beta 0:50
[0:03;0:72]
[0:00;0:34]
(0:285)
0:65
0:70
0:59
0:66
0:46
Calvo Beta 0:50
[0:58;0:72]
[0:63;0:77]
[0:48;0:70]
[0:56;0:76]
[0:37;0:54]
(0:15)
2:23
2:43
2:25
2:38
2:21
Risk aversion Normal 2:50
[1:83;2:62]
[2:01;2:83]
[1:85;2:67]
[1:97;2:81]
[1:80;2:61]
(0:25)
0:96
0:95
0:95
0:94
0:94
[0:92;1:00]
[0:89;1:00]
[0:90;1:00]
[0:89;1:00]
[0:89;1:00]
(0:285)
y Euler eq. f. look. Beta 0:50
3:46
3:31
3:39
3:32
3:36
T. rule in‡ation Normal 2:00
[2:90;4:00]
[2:73;3:87]
[2:85;3:96]
[2:75;3:87]
[2:79;3:88]
(0:50)
0:13
0:14
0:13
0:14
0:13
y T. rule output Gamma 0:125
[0:05;0:21]
[0:06;0:23]
[0:05;0:21]
[0:06;0:22]
[0:05;0:20]
(0:05)
0:75
0:78
0:75
0:77
0:75
i T. rule smooth. Beta 0:50
[0:69;0:82]
[0:73;0:84]
[0:69;0:82]
[0:71;0:84]
[0:68;0:83]
(0:285)
0:98
0:97
0:97
0:97
0:97
[0:96;0:99]
[0:95;0:99]
[0:95;0:99]
[0:95;0:99]
[0:94;0:99]
(0:05)
a Tech. shock pers. Gamma 0:90
32
0:37
0:42
0:41
0:42
0:42
[0:30;0:47]
[0:31;0:53]
[0:30;0:52]
[0:32;0:54]
[0:31;0:53]
(0:15)
m M. pol. shock pers. Beta 0:50
0:91
0:89
0:90
0:90
0:91
[0:87;0:96]
[0:84;0:94]
[0:87;0:95]
[0:85;0:95]
[0:87;0:96]
(0:05)
g IS shock pers. Gamma 0:90
0:0087
0:0094
0:0087
0:0092
0:0084
a Tech. shock std IGamma 0:005
[0:0070;0:0103]
[0:0075;0:0113]
[0:0070;0:0105]
[0:0095;0:0111]
[0:0067;0:0101]
(2:00)
0:0020
0:0018
0:0020
0:0019
0:0020
m M. pol. shock std IGamma 0:005
[0:0016;0:0025]
[0:0014;0:0022]
[0:0015;0:0025]
[0:0014;0:0023]
[0:0015;0:0025]
(2:00)
0:0008
0:0009
0:0008
0:0009
0:0009
g IS shock std IGamma 0:005
[0:0007;0:0010]
[0:0007;0:0011]
[0:0007;0:0010]
[0:0007;0:0011]
[0:0007;0:0011]
(2:00)
Marg:Lik: 37:54 32:97 35:57 31:29 36:53
Table 1: Priors and posteriors for structural parameters. Models estimated under a 2.5 per cent trend in‡ation net
rate (yearly rate, percentualized) and indexation to past in‡ation. The Table reports the posterior means and the [5th,95th]
percentiles. The Marginal Likelihood are computed with the modi…ed harmonic mean estimator by Geweke (1998). Details
on the model estimation are reported in the text.