This paper estimates a New Keynesian dynamic stochastic general equilibrium (DSGE) model in small open economies using the yield curve data as well as standard macro data. The DSGE model is estimated on the data of three inflation-targeting small open economies (Australia, Canada, and New...

To capture the evolving relationship between multiple economic variables, time variation in either coefficients or volatility is often incorporated into vector autoregressions (VARs). However, allowing time variation in coefficients or volatility without restrictions on their dynamic behavior...

The concept of trend inflation is important in making accurate inflation forecasts. However, there is little consensus on how the trend in inflation should be modeled. While some studies suggest a survey-based measure of long-run inflation expectations as a good empirical proxy for trend...

This paper reports the results of estimating a Markov-Switching New Keynesian (MSNK) model using Bayesian methods. The broadest and best fitting MSNK model is a four-regime model allowing independent changes in the regimes governing monetary policy and the volatility of the shocks. We use the...

This paper studies the time variation of the Federal Reserve’s inflation target between 1960 and 2004 using both macro and yield curve data. I estimate a New Keynesian dynamic stochastic general equilibrium model in which the inflation target follows a random-walk process. I compare estimation...

What moves the yield curve? This paper specifies and estimates a dynamic stochastic general equilibrium (DSGE) model solved using a second order approximation to equilibrium conditions to answer this question. From the empirical analysis of U.S. data from 1983:Q1 to 2007:Q4, I find that the...

Empirical evidence shows that worker flows in the U.S. labor market are very large. Previous studies have mainly focused on documenting and modeling worker flows between employment and unemployment only. However, these studies ignore other important labor flows including movements in and out of...

An important risk faced by individuals is labor income risk associated with changes in demand for an individual’s selected occupation. This risk reflects uncertainty about future income on the current job. As an example, the declining competitiveness of the U.S. automobile or steel sectors are...

A central question in economics is how business cycles affect the allocation of resources. Focusing on the labor market, an unresolved issue is whether recessions lead to above or below average productive arrangements. Typical models of the labor market imply that recessions cleanse the labor...