RDP 2013-06: Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies Appendix D: BVAR-DSGE Estimates
June 2013 – ISSN 1320-7229 (Print), ISSN 1448-5109 (Online)
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These are estimated using the Del Negro and Schorfheide (2004) approach (see Table D1).
Calibrated parameters have the same values as previously.
| Australia | |||||||
|---|---|---|---|---|---|---|---|
| Coefficient Description | Prior | Posterior | |||||
| Density | Mean | Std dev | Mean | 90% HPD | |||
| h | Habits | B | 0.5 | 0.25 | 0.19 | 0.01–0.36 | |
| σ | Intertemporal ES | N | 1.0 | 0.4 | 1.12 | 0.66–1.46 | |
| λ* | Elasticity foreign demand | G | 1.5 | 0.5 | 0.38 | 0.18–0.57 | |
| η | Elasticity H-F goods | G | 1.5 | 0.75 | 0.57 | 0.10–1.06 | |
| ρa | Technology | B | 0.8 | 0.1 | 0.82 | 0.72–0.92 | |
| ρg | Preferences | B | 0.8 | 0.1 | 0.81 | 0.70–0.92 | |
| ρcp, F | Cost-push imports | B | 0.5 | 0.25 | 0.74 | 0.48–0.94 | |
| ρrp | Risk premium | B | 0.8 | 0.1 | 0.75 | 0.60–0.91 | |
| ρL | Labour disutility | B | 0.8 | 0.1 | 0.54 | 0.39–0.70 | |
| θi | Taylor rule, smoothing | B | 0.5 | 0.25 | 0.86 | 0.81–0.91 | |
| αH | Calvo domestic prices | B | 0.5 | 0.1 | 0.71 | 0.57–0.85 | |
| αF | Calvo import prices | B | 0.5 | 0.1 | 0.53 | 0.37–0.70 | |
| αW | Calvo wages | B | 0.6 | 0.1 | 0.53 | 0.22–0.87 | |
| θπ | Taylor rule, inflation | G | 1.5 | 0.3 | 1.90 | 1.38–2.41 | |
| θdy | Taylor rule, growth | G | 0.25 | 0.13 | 0.36 | 0.12–0.60 | |
| θy | Taylor rule, output | G | 0.25 | 0.13 | 0.18 | 0.04–0.33 | |
| γH | Indexation, domestic | B | 0.5 | 0.2 | 0.47 | 0.18–0.75 | |
| γF | Indexation, imports | B | 0.5 | 0.2 | 0.37 | 0.08–0.65 | |
| γW | Indexation, wages | B | 0.5 | 0.2 | 0.53 | 0.22–0.87 | |
| Standard deviations | |||||||
| σa | Technology | IG | 1 | 1 | 0.45 | 0.36–0.54 | |
| σg | Preferences | IG | 1 | 1 | 0.98 | 0.58–1.35 | |
| σcp, H | Cost-push domestic | IG | 0.25 | 1 | 0.25 | 0.18–0.31 | |
| σcp, F | Cost-push foreign | IG | 1 | 1 | 1.81 | 0.74–3.06 | |
| σrp | Risk premium | IG | 1 | 1 | 0.51 | 0.30–0.70 | |
| σn | Labour disutility | IG | 5 | 1 | 5.33 | 3.81–6.83 | |
| σi | Monetary policy | IG | 0.25 | 0.25 | 0.07 | 0.06–0.08 | |
| United States | |||||||
| Coefficient Description | Prior | Posterior | |||||
| Density | Mean | Std dev | Mean | 90% HPD | |||
| h* | Habits | B | 0.5 | 0.1 | 0.53 | 0.38–0.70 | |
| σ* | Intertemporal ES | N | 1.0 | 0.4 | 1.04 | 0.65–1.42 | |
| ρa* | Technology | B | 0.8 | 0.1 | 0.83 | 0.74–0.93 | |
| ρg* | Preferences | B | 0.8 | 0.1 | 0.85 | 0.75–0.93 | |
| ρL* | Labour disutility | B | 0.8 | 0.1 | 0.56 | 0.42–0.71 | |
| θi* | Taylor rule, smoothing | B | 0.8 | 0.1 | 0.86 | 0.82–0.91 | |
| αH* | Calvo prices | B | 0.6 | 0.1 | 0.81 | 0.75–0.87 | |
| αW* | Calvo wages | B | 0.6 | 0.1 | 0.45 | 0.36–0.53 | |
| θπ* | Taylor rule, inflation | N | 1.8 | 0.3 | 1.92 | 1.46–2.36 | |
| θdy* | Taylor rule, growth | N | 0.3 | 0.2 | 0.55 | 0.29–0.81 | |
| θy* | Taylor rule, output | G | 0.25 | 0.13 | 0.10 | 0.02–0.17 | |
| γH* | Indexation, prices | B | 0.5 | 0.2 | 0.35 | 0.10–0.60 | |
| γW* | Indexation, wages | B | 0.5 | 0.2 | 0.51 | 0.19–0.84 | |
| Standard deviations | |||||||
 |
Technology | IG | 1 | 1 | 0.37 | 0.31–0.44 | |
 |
Preferences | IG | 1 | 1 | 1.17 | 0.67–1.62 | |
 |
Cost-push | IG | 0.25 | 1 | 0.15 | 0.12–0.18 | |
 |
Labour disutility | IG | 5 | 1 | 5.34 | 3.58–6.88 | |
 |
Monetary policy | IG | 0.25 | 0.25 | 0.07 | 0.06–0.09 | |
| Notes: Prior distributions are B – Beta, N – Normal, G – Gamma, IG – inverse Gamma; HPD denotes highest probability density; ES denotes elasticity of substitution; H-F denotes home-foreign | |||||||