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Returns on capital assets and variations in economic growth and volatility: a model of Bayesian learning

Wizman, Thierry A.; Fullenkamp, Connel R. - Federal Reserve Bank of New York - 1991

Persistent link: https://www.econbiz.de/10005387359

Sunspots, asset bubbles, and the store of value motive in overlapping generations models

Boldin, Michael D. - Federal Reserve Bank of New York - 1990

Persistent link: https://www.econbiz.de/10005387372

Elasticities of substitution in real business cycle models with home production

Campbell, John Y.; Ludvigson, Sydney - Federal Reserve Bank of New York - 1997

Recently, there has been considerable interest in modifying the standard real business cycle model to include home production. In this paper, we construct a simple model of home production that demonstrates the connection between the intertemporal elasticity of substitution (IES), and the...

Persistent link: https://www.econbiz.de/10005387374

Markov switching in disaggregate unemployment rates

Chauvet, Marcelle; Juhn, Chinhui; Potter, Simon - Federal Reserve Bank of New York - 2001

We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic...

Persistent link: https://www.econbiz.de/10005526273

Monetary regime change and business cycles

Cúrdia, Vasco; Finocchiaro, Daria - Federal Reserve Bank of New York - 2007

This paper analyzes how changes in monetary policy regimes influence the business cycle in a small open economy. We estimate a dynamic stochastic general equilibrium (DSGE) model on Swedish data, explicitly taking into account the 1993 monetary regime change, from exchange rate targeting to...

Persistent link: https://www.econbiz.de/10005420504

Can world real interest rates explain business cycles in a small open economy?

Blankenau, William; Kose, M. Ayhan; Yi, Kei-Mu - Federal Reserve Bank of New York - 1999

While the world real interest rate is potentially an important mechanism for transmitting international shocks to small open economies, much of the recent quantitative research that studies this mechanism concludes that it has little effect on output, investment, and net exports. We reexamine...

Persistent link: https://www.econbiz.de/10005420513

Towards new open economy macroeconometrics

Ghironi, Fabio - Federal Reserve Bank of New York - 2000

I develop a model that improves upon the recent literature in open economy macroeconomics in that it lends itself more directly to empirical investigation. I solve the stationarity problem that characterizes many existing models by adopting an overlapping generations structure à la Weil (1989)....

Persistent link: https://www.econbiz.de/10005420617

Comparing forecast-based and backward-looking Taylor rules: a "global" analysis

Eusepi, Stefano - Federal Reserve Bank of New York - 2005

This paper examines the performance of forecast-based nonlinear Taylor rules in a class of simple microfunded models. The paper shows that even if the policy rule leads to a locally determinate (and stable) inflation target, there exist other learnable "global" equilibria such as cycles and...

Persistent link: https://www.econbiz.de/10005726618

Revisiting useful approaches to data-rich macroeconomic forecasting

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2008

This paper revisits a number of data-rich prediction methods that are widely used in macroeconomic forecasting, such as factor models and Bayesian shrinkage regression, and compares these methods with a lesser known alternative: partial least squares regression. In this method, linear,...

Persistent link: https://www.econbiz.de/10005726626

What drives housing prices?

Kahn, James A. - Federal Reserve Bank of New York - 2008

productivity growth in the nonhousing sector and shows that such regime switches are a plausible candidate for explaining - both … governs the relationship between productivity growth and home price appreciation. Combined with a realistic model of learning … about the productivity process, the model is able to capture the medium- and low-frequency fluctuations of both price and …

Persistent link: https://www.econbiz.de/10004994126