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Periodic linear-quadratic methods for modeling seasonality

Todd, Richard M. - Federal Reserve Bank of Minneapolis - 1989

Optimal linear regulator methods are used to represent a class of models of endogenous equilibrium seasonality that has so far received little attention. Seasonal structure is built into these models in either of two equivalent ways: periodically varying the coefficient matrices of a formerly...

Persistent link: https://www.econbiz.de/10005367670

Rational expectations modeling with seasonally adjusted data

Sims, Christopher A. - Federal Reserve Bank of Minneapolis - 1990

In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may...

Persistent link: https://www.econbiz.de/10005498989

Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns

Braun, R. Anton; Evans, Charles L. - Federal Reserve Bank of Minneapolis - 1996

In aggregate unadjusted data, measured Solow residuals exhibit large seasonal variations. Total Factor Productivity grows rapidly in the fourth quarter at an annual rate of 16 percent and regresses sharply in the first quarter at an annual rate of ?24 percent. This paper considers two potential...

Persistent link: https://www.econbiz.de/10005427800

A systems approach to recursive economic forecasting and seasonal adjustment

Young, Peter; Ng, Cho; Armitage, Peter - Federal Reserve Bank of Minneapolis - 1989

The paper discusses a new, fully recursive approach to the adaptive modeling, forecasting and seasonal adjustment of nonstationary economic time-series. The procedure is based around a time variable parameter (TVP) version of the well known “component” or “structural” model. It employs a...

Persistent link: https://www.econbiz.de/10005372789

Seasonality and equilibrium business cycle theories

Braun, R. Anton; Evans, Charles L. - Federal Reserve Bank of Minneapolis - 1994

We consider a dynamic, stochastic equilibrium business cycle model which is augmented to reflect seasonal shifts in preferences, technology, and government purchases. Our estimated parameterization implies implausibly large seasonal variation in the state of technology: rising at an annual rate...

Persistent link: https://www.econbiz.de/10005712384

(S,s) inventory policies in general equilibrium

Fisher, Jonas D.M.; Hornstein, Andreas - Federal Reserve Bank of Minneapolis - 1995

We study the aggregate implications of (S,s) inventory policies in a dynamic general equilibrium model. Firms in the model's retail sector face idiosyncratic demand risk, and (S,s) inventory policies are optimal because of fixed order costs. The model economy replicates salient features of the...

Persistent link: https://www.econbiz.de/10005498985

The magnitude of the speculative motive for holding inventories in a real business cycle model

Christiano, Lawrence J.; Fitzgerald, Terry J. - Federal Reserve Bank of Minneapolis - 1989

The motive to hold inventories purely in the hope of profiting from a price increase is called the speculative motive … implication for how large it is quantitatively. This paper incorporates the speculative motive for holding inventories into an … of the speculative role for holding inventories in this model is quite small. This suggests the possibility that the …

Persistent link: https://www.econbiz.de/10005498988

Modeling inventories over the business cycle

Khan, Aubhik; Thomas, Julia K. - Federal Reserve Bank of Minneapolis - 2004

We evaluate two leading models of aggregate fluctuations with inventories in general equilibrium: the (S,s) model and … the stockout avoidance model. Each is judged by its ability to explain the observed magnitude of inventories in the U … correlation with sales. We find that the (S,s) model is far more consistent with the behavior of aggregate inventories in the …

Persistent link: https://www.econbiz.de/10004993835

Inventories and the business cycle: an equilibrium analysis of (S,s) policies

Khan, Aubhik; Thomas, Julie K. - Federal Reserve Bank of Minneapolis - 2003

comovement between inventory investment and final sales is often interpreted as evidence that inventories amplify aggregate … inventories, though we do observe somewhat higher variability in employment, and lower variability in consumption and investment …. Thus, our equilibrium analysis reveals that the presence of inventories does not substantially raise the cyclical …

Persistent link: https://www.econbiz.de/10005712358