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A state-level analysis of the Great Moderation

Owyang, Michael T.; Piger, Jeremy M.; Wall, Howard J. - Federal Reserve Bank of St. Louis - 2007

the origin of the aggregate volatility reduction. We show that states with relatively high concentrations in the durable-goods …

Persistent link: https://www.econbiz.de/10005360567

Macroeconomic dynamics near the ZLB: a tale of two equilibria

Aruoba, S. Boragan; Schorfheide, Frank - Federal Reserve Bank of Philadelphia - 2013

This paper studies the dynamics of a New Keynesian dynamic stochastic general equilibrium (DSGE) model near the zero lower bound (ZLB) on nominal interest rates. In addition to the standard targeted-inflation equilibrium, we consider a deflation equilibrium as well as a Markov sunspot...

Persistent link: https://www.econbiz.de/10010681653

Money and capital: a quantitative analysis

Aruoba, S. Boragan; Waller, Christopher J.; Wright, Randall - Federal Reserve Bank of St. Louis - 2009

We study the effects of money (anticipated inflation) on capital formation. Previous papers on this topic adopt reduced …-form approaches, putting money in the utility function or imposing cash in advance, but use otherwise frictionless models. We follow a … literature that is more explicit about the frictions making money essential. This introduces several new elements, including a …

Persistent link: https://www.econbiz.de/10005077876

Real-time macroeconomic monitoring: real activity, inflation, and interactions

Aruoba, S. Boragan; Diebold, Francis X. - Federal Reserve Bank of Philadelphia - 2010

The authors sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, they focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent...

Persistent link: https://www.econbiz.de/10008627185

Are government spending multipliers greater during periods of slack? evidence from 20th century historical data

Owyang, Michael T.; Ramey, Valerie A.; Zubairy, Sarah - Federal Reserve Bank of St. Louis - 2013

A key question that has arisen during recent debates is whether government spending multipliers are larger during times when resources are idle. This paper seeks to shed light on this question by analyzing new quarterly historical data covering multiple large wars and depressions in the U.S. and...

Persistent link: https://www.econbiz.de/10011027317

Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR

Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2002

Recently, models of monetary policy have been constructed to include structural breaks to account for changes in policymaker preferences or operating procedures. These models typically assume that when changes occur, they happen once and for all. In this paper, we allow the policymaker and the...

Persistent link: https://www.econbiz.de/10005490882

Monetary policy in a Markov-switching VECM: implications for the cost of disinflation and the price puzzle

Francis, Neville; Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2004

Monetary policy VARs typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy...

Persistent link: https://www.econbiz.de/10005490901

Regional VARs and the channels of monetary policy

Owyang, Michael T.; Wall, Howard J. - Federal Reserve Bank of St. Louis - 2006

We find that the magnitudes of the regional effects of monetary policy were considerably dampened during the Volcker-Greenspan era. Further, regional differences in the depths of monetary-policy-induced recessions are related to the concentration of the banking sector, whereas differences in the...

Persistent link: https://www.econbiz.de/10005490938

Monetary policy and stock market booms and busts in the 20th century

Bordo, Michael D.; Dueker, Michael J.; Wheelock, David C. - Federal Reserve Bank of St. Louis - 2007

This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. Booms tended to arise when output growth was rapid and inflation was low, and end within a few months of an increase in...

Persistent link: https://www.econbiz.de/10005707680

What explains the varying monetary response to technology shocks in G-7 countries?

Francis, Neville; Owyang, Michael T.; Theodorou, Athena T. - Federal Reserve Bank of St. Louis - 2005

. Specifically, we find a relationship between the volatility of capital investment, type of monetary policy rule, the responsiveness … of the rule to output and inflation fluctuations, and the response to technology shocks. …

Persistent link: https://www.econbiz.de/10005352815