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• W1495082107 abstract "This paper develops a heterogeneous agents segmented markets model with endogenous production and a monetary authority that follows a Taylor-type interest rate rule. The model is estimated using Markov chain Monte Carlo techniques and is evaluated as a framework suitable for empirical monetary analysis. We find that the segmented markets friction significantly improves the statistical out-of-sample prediction performance of the model, and generates delayed and realistic impulse response functions to monetary policy shocks. In addition, we find that the estimates of the Taylor rule are stable across the pre-1979 and post-1982 periods in our sample, while the volatilities of the structural shocks faced in the pre-1979 period are substantially higher than in the post-1982 period." @default.
• W1495082107 created "2016-06-24" @default.
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• W1495082107 date "2005-06-13" @default.
• W1495082107 modified "2023-09-27" @default.
• W1495082107 title "Estimation and Evaluation of a Segmented Markets Monetary Model" @default.
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