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Expectation Shocks and Learning as Drivers of the Business Cycle

Milani, Fabio - C.E.P.R. Discussion Papers - 2010

the conventional assumption of rational expectations to exploit observed data on survey and market expectations in the … estimation of a benchmark New Keynesian model. The observed expectations are modeled as formed from a near-rational expectation … same structural form as the model solution under rational expectations and that they need to learn model coefficients over …

Persistent link: https://www.econbiz.de/10008468669

US Post-war Monetary Policy: What Caused the Great Moderation?

Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2010

Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in which an optimal timeless policy is substituted for a Taylor rule. We find the model explains the data both for the Great Acceleration and the Great Moderation. The implication is...

Persistent link: https://www.econbiz.de/10008692309

Business Cycle Dynamics under Rational Inattention

Mackowiak, Bartosz Adam; Wiederholt, Mirko - C.E.P.R. Discussion Papers - 2010

This paper develops a dynamic stochastic general equilibrium model with rational inattention. Households and decision-makers in firms have limited attention and decide how to allocate their attention. The paper studies the implications of rational inattention for business cycle dynamics. Impulse...

Persistent link: https://www.econbiz.de/10008468587

Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2010

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign...

Persistent link: https://www.econbiz.de/10008468698

Will EMU Increase Eurosclerosis?

Bentolila, Samuel; Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2000

In this paper we study the relationship between labour market institutions and monetary policy. We use a simple macroeconomic framework to show how optimal monetary policy rules depend on labour institutions (labour adjustment costs, and nominal and real wage rigidity) and social preferences...

Persistent link: https://www.econbiz.de/10005124134

Monetary Misconceptions: New and Old Paradigmata and Other Sad Tales

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2000

Several recent studies imply that the response of national saving to fiscal policy is non-monotonic. In this paper, we use two data sets to search for the circumstances in which such non-monotonic responses arise: one refers to a sample of OECD countries, as in previous studies, and one to a...

Persistent link: https://www.econbiz.de/10005124252

New-Keynesian Macroeconomics and the Term Structure

Bekaert, Geert; Cho, Seonghoon; Moreno Ibáñez, Antonio - C.E.P.R. Discussion Papers - 2006

This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target and the natural rate of output which are filtered...

Persistent link: https://www.econbiz.de/10005136692

Forecasting (and Explaining) US Business Cycles

Muellbauer, John; Nunziata, Luca - C.E.P.R. Discussion Papers - 2004

This Paper uses multi-step forecasting models at horizons of 4 and 8 quarters to forecast and explain the growth of real per capita US GDP. In the modeling strategy, a priori sign restrictions play an important role. They are imposed not on impulse response functions but directly on the reduced...

Persistent link: https://www.econbiz.de/10005067520

Money in Monetary Policy Design: A Formal Characterization of ECB-Style Cross-Checking

Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2007

The European Central Bank has assigned a special role to money in its two pillar strategy and has received much criticism for this decision. The case against including money in the central bank's interest rate rule is based on a standard model of the monetary transmission process that underlies...

Persistent link: https://www.econbiz.de/10005497931

A New Core Inflation Indicator for New Zealand

Giannone, Domenico; Matheson, Troy - C.E.P.R. Discussion Papers - 2007

This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate consumer price data. Using disaggregate consumer price data we can directly compare the predictive performance of our core indicator with a wide range of other ‘core...

Persistent link: https://www.econbiz.de/10005656226

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