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Monetary Policy Misspecification in VAR Models

Canova, Fabio; Pina, Joaquim Pivis - C.E.P.R. Discussion Papers - 1999

We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients...

Persistent link: https://www.econbiz.de/10005666752

Heterogeneity in Wage Setting Behavior in a New-Keynesian Model

Eijffinger, Sylvester C W; Grajales, Anderson; Uras, … - C.E.P.R. Discussion Papers - 2015

standard-Calvo-wages - amplifies the macroeconomic output fluctuations resulting from a technology shock whereas it mitigates …

Persistent link: https://www.econbiz.de/10011249376

Optimal Monetary Policy with Endogenous Entry and Product Variety

Bilbiie, Florin Ovidiu; Fujiwara, Ippei; Ghironi, Fabio - C.E.P.R. Discussion Papers - 2011

We show that deviations from long-run stability of product prices are optimal in the presence of endogenous producer entry and product variety in a sticky-price model with monopolistic competition in which price stability would be optimal in the absence of entry. Specifically, a long-run...

Persistent link: https://www.econbiz.de/10009293666

Asset Market Participation, Monetary Policy Rules and the Great Inflation

Bilbiie, Florin Ovidiu; Straub, Roland - C.E.P.R. Discussion Papers - 2011

This paper argues that limited asset market participation is crucial in explaining U.S. macroeconomic performance and monetary policy before the 1980s, and their changes thereafter. We develop an otherwise standard sticky-price DSGE model, whereby at low enough asset market participation,...

Persistent link: https://www.econbiz.de/10009293982

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

Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound

Levin, Andrew; López-Salido, J David; Nelson, Edward; … - C.E.P.R. Discussion Papers - 2009

contractionary demand shock; moreover, that literature apparently leaves little scope for any further improvements in stabilization … New Keynesian model and examine whether those conclusions are sensitive to the specification of the shock process and to … guidance could be sufficient for mitigating the effects of a 'Great Moderation'-style shock, a combination of forward guidance …

Persistent link: https://www.econbiz.de/10008509467

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

Monetary Misperceptions, Output and Inflation Dynamics

Collard, Fabrice; Dellas, Harris - C.E.P.R. Discussion Papers - 2010

inflation following a monetary policy shock. We establish three things. First, the difference between preliminary and revised …

Persistent link: https://www.econbiz.de/10008468616

Imperfect information and the business cycle

Collard, Fabrice; Dellas, Harris; Smets, Frank - C.E.P.R. Discussion Papers - 2010

Imperfect information has played a prominent role in modern business cycle theory. This paper assesses its importance by estimating the New Keynesian (NK) model under alternative informational assumptions. One version focuses on confusion between temporary and persistent disturbances. Another,...

Persistent link: https://www.econbiz.de/10008468617

Expectation Shocks and Learning as Drivers of the Business Cycle

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

Psychological factors, market sentiments, and shifts in beliefs are believed by many to play a nontrivial role in inducing and amplifying economic fluctuations. Yet, these forces are rarely considered in macroeconomic models. This paper provides an attempt to evaluate the empirical role of...

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

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