The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Relaxing these restrictions can close the gap between DSGE models and vector autoregressions. This paper modifies a simple...

This paper estimates a sticky price macro model with US macro and term structure data using Bayesian methods. The model is solved by a nonlinear method. The posterior distribution of the parameters in the model is found to be bi-modal. The degree of nominal rigidity is high at one mode ("sticky...

Using Bayesian methods, we estimate a Markov-switching New Keynesian (MSNK) model that allows shifts in the monetary policy reaction coefficients and shock volatilities with U.S. data. We find that a more aggressive monetary policy regime was in place after the Volcker disinflation and before...

This paper analyses corporate loan guarantees among the Korean chaebol affiliates. Loan guarantees are found to be efficiency-neutral under a set of ideal conditions characterized by perfect and symmetric information, no agency problem, and no governmental interference in private financial...

With the concept of trend inflation now being widely understood to be important to the accuracy of longer-term inflation forecasts, this paper assesses alternative models of trend inflation. Reflecting the models which are common in reduced-form inflation modeling and forecasting, we specify a...