In this paper we simultaneously estimate the real exchange rates between the Swedish Krona, the US Dollar and the Euro. A prime candidate for explaining the exchange rate movements is relative potential output. Since this variable is unobservable, cyclical and potential output are estimated in...

We set up and estimate a structural unobserved components open economy model for the rate of unemployment and the real exchange rate in Sweden. This approach enables us to simultaneously determine changes in both cyclical and equilibrium rates. Our results show that the Natural Rate/NAIRU has...

Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state...

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

This paper investigates the relationship between interest rate and volatility of real effective exchange rate in Brazil. Through a simultaneous multivariate GARCH model, which allows estimating equations for the mean and variance in a single stage, it was observed that: it’s not possible to...

A common finding in the international-economics literature is that the elasticity of substitution between domestically produced and imported goods is smaller in the short than in the long run. Despite this, most of today's commonly used macroeconomic models assume this elasticity to be constant....

This paper estimates the Brazilian NAILO (Nonaccelerating Inflation Level of Output), obtains (Bayesian) probability bands for the Nailo and for its growth rate, and investigates the relationship between deviations of output with respect to the Nailo and the acceleration of inflation. As...

In recent years, it has become increasingly common to estimate New Keynesian Phillips curves with a measure of firms' real marginal cost as the real driving variable. It has been argued that this measure is both theoretically and empirically superior to the traditional output gap. In this paper,...

The goal of this article is to estimate the New Keynesian Phillips Curve for Brazilian economy. Due to some specifications problems in regressions estimated by IV method, the GMM-HAC methodology was used in order to address them. We noted the robustness of the results performing a detailed...

In the presence of staggered price setting, high trend inflation induces a large deviation of steady-state output from its natural rate and indeterminacy of equilibrium under the Taylor rule. This paper examines the implications of a ''smoothed-off'' kink in demand curves for the natural rate...