TY  - JOUR
AU  - Fernández-Villaverde, Jesús
AU  - Rubio-Ramírez, Juan F
TI  - How Structural Are Structural Parameters?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13166
PY  - 2007
Y2  - June 2007
DO  - 10.3386/w13166
UR  - http://www.nber.org/papers/w13166
L1  - http://www.nber.org/papers/w13166.pdf
N1  - Author contact info:
Jesús Fernández-Villaverde
Department of Economics
University of Pennsylvania
The Ronald O. Perelman Center
 for Political Science and Economics
133 South 36th Street Suite 150
Philadelphia, PA 19104
E-Mail: jesusfv@econ.upenn.edu

Juan Rubio-Ramírez
Duke University
P.O. Box 90097
Durham, NC 27708
Tel: 9196601865
E-Mail: juan.rubio-ramirez@duke.edu
M1  - published as Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez. "How Structural Are Structural Parameters?," in Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors, "NBER Macroeconomics Annual 2007, Volume 22" University of Chicago Press (2008)

M3  - presented at "22nd  Annual Conference on Macroeconomics", March 30-31, 2007
AB  - This paper studies how stable over time are the so-called "structural parameters" of dynamic stochastic general equilibrium (DSGE) models. To answer this question, we estimate a medium-scale DSGE model with real and nominal rigidities using U.S. data. In our model, we allow for parameter drifting and rational expectations of the agents with respect to this drift. We document that there is strong evidence that parameters change within our sample. We illustrate variations in the parameters describing the monetary policy reaction function and in the parameters characterizing the pricing behavior of firms and households. Moreover, we show how the movements in the pricing parameters are correlated with inflation. Thus, our results cast doubts on the empirical relevance of Calvo models.
ER  -