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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

International evidence on the stability of the optimizing IS equation

Kara, Amit; Nelson, Edward - Federal Reserve Bank of St. Louis - 2004

In this paper we provide international evidence on the issue of whether the optimizing IS equation is more stable than a backward-looking alternative. The international evidence consist of estimates of IS equations on quarterly data for the UK and Australia, both for the full sample of the last...

Persistent link: https://www.econbiz.de/10005707758

Learning about a shift in trend output: implications for monetary policy and inflation

Lansing, Kevin J. - Federal Reserve Bank of San Francisco - 2002

This paper develops a small forward-looking macroeconomic model where the Federal Reserve estimates the level of potential output in real time by running a regression on past output data. The Fed's perceived output gap is used as an input to the monetary policy rule while the true output gap...

Persistent link: https://www.econbiz.de/10005401624

Learning about a shift in trend output: implications for monetary policy and inflation

Lansing, Kevin J. - Federal Reserve Bank of San Francisco - 2002

Persistent link: https://www.econbiz.de/10010702233

Effects of alternative monetary stabilization policies: an unexpected finding

Prescott, Edward C. - Federal Reserve Bank of San Francisco - 1993

Persistent link: https://www.econbiz.de/10005078272

Inflation and economic activity in a multiple matching model of money

Laing, Derek; Li, Victor E.; Wang, Ping - Federal Reserve Bank of St. Louis - 1998

-theoretic environment with divisible money and goods. We find that in such a setting, a positive feedback between work and shopping effort …This paper investigates the relationship between money growth, inflation, and productive activity in a general … equilibrium model where search frictions motivate the transactions role of money. The use of a multiple matching technique, where …

Persistent link: https://www.econbiz.de/10005360588

The efficient market hypothesis and identification in structural VARs

Sarno, Lucio; Thornton, Daniel L. - Federal Reserve Bank of St. Louis - 2003

Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that if the...

Persistent link: https://www.econbiz.de/10005360546

Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models

Dueker, Michael - Federal Reserve Bank of St. Louis - 2006

A pair of simple modifications-in the forecast error and forecast error variance-to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal and latent. Such recursions are broadly applicable to macroeconometric models, such as...

Persistent link: https://www.econbiz.de/10005707653

The macroeconomy and the yield curve: a nonstructural analysis

Diebold, Francis X.; Rudebusch, Glenn D.; Aruoba, S. Boragan - Federal Reserve Bank of San Francisco - 2003

We estimate a model with latent factors that summarize the yield curve (namely, level, slope, and curvature) as well as observable macroeconomic variables (real activity, inflation, and the stance of monetary policy). Our goal is to provide a characterization of the dynamic interactions between...

Persistent link: https://www.econbiz.de/10005721459

Modeling bond yields in finance and macroeconomics

Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2005

From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...

Persistent link: https://www.econbiz.de/10005498398