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Identifier to cite or link to this item: https://hdl.handle.net/10086/25327

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Title
Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
Creator
Creator Name
Kano, Takashi Kano, Takashi
加納, 隆 加納, 隆
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Nason, James M. Nason, James M.
Affiliation
Affiliation Name
Federal Reserve Bank of Philadelphia
Key Word
Consumption Habit
New Keynesian
Propagation
Monetary Transmission
Posterior Predictive Analysis
Bayesian Monte Carlo
JEL
E10
E20
E32
Abstract (distribution restricted)
We study the implications of internal consumption habit for new Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that internal consumption habit often improves the ability of NKDSGE models to match the spectra of output and consumption growth. Nonetheless, the fit of NKDSGE models with internal consumption habit is susceptible to the sources of nominal rigidity, to spectra identified by permanent productivity shocks, to the choice of monetary policy rule, and to the frequencies used for evaluation. These vulnerabilities indicate that the specification of NKDSGE models is fragile.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2012-11
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2012-09
Number of Pages
22
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/25327