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Robust expectations and uncertain models – A robust control approach with application to the New Keynesian economy

Kilponen, Juha - EconWPA - 2004

This paper extends Svensson and Woodford’s (2003) partial information framework by allowing the private agents to achieve robustness against incomplete information about the structure of the economy by distorting their expectations in a particular direction. It shows how a linear rational...

Persistent link: https://www.econbiz.de/10005125627

Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy

Belviso, Francesco; Milani, Fabio - EconWPA - 2005

Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they can avoid the use of a single variable...

Persistent link: https://www.econbiz.de/10005076826

Reduced-Rank Identification of Structural Shocks in VARs

Gorodnichenko, Yuriy - EconWPA - 2005

This paper integrates imposing a factor structure on residuals in vector autoregressions (VARs) into structural VAR analysis. Identification, estimation and testing procedures are discussed. The paper applies this approach to the well-known problem of studying the effects of monetary policy in...

Persistent link: https://www.econbiz.de/10005126128

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

Persistent link: https://www.econbiz.de/10005119144

A Framework for Forecasting the Components of the Consumer Price

Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 2004

. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage …

Persistent link: https://www.econbiz.de/10005062419

A Structural Model of the Inflation Process in South Africa

Aron, Janine; Muellbauer, John; Smit, Benjamin - EconWPA - 2004

We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass- through, and...

Persistent link: https://www.econbiz.de/10005556034

The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility

Normandin, Michel; Phaneuf, Louis - EconWPA - 1996

In the recent SVAR literature, the liquidity effect has been studied by imposing a variety of identifying restrictions required under the assumption that the SVAR fundamental disturbances are homoscedastic. Using typical SVAR processes, we first show that this assumption is not supported by the...

Persistent link: https://www.econbiz.de/10005408006

Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models

DUFRENOT, Gilles; Val=E9rie MIGNON; PEGUIN-FEISSOLE, Anne - EconWPA - 2003

This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary...

Persistent link: https://www.econbiz.de/10005126142

Cointegration and Forward and Spot Exchange Rate Regressions

Zivot, Eric - EconWPA - 1998

In this paper we investigate in detail the relationship between models of cointegration between the current spot … exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and … models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple …

Persistent link: https://www.econbiz.de/10005119154

Is the Feldstein-Horioka Puzzle Really a Puzzle?

Levy, Daniel - EconWPA - 2004

Using the framework of a dynamic intertemporal optimization model of an open economy, it is shown that the long-run investment-saving correlation follows directly from the economy's dynamic budget constraint and this does not depend on the degree of international capital mobility. Therefore,...

Persistent link: https://www.econbiz.de/10005119491