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Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
Dueker, Michael (contributor) - 2005
"A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector...
Persistent link: https://www.econbiz.de/10003115151
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Forecasting output with information from business cycle turning points : a qualitative variable VAR
Dueker, Michael (contributor);  … - 2001 - [Elektronische Ressource].
Persistent link: https://www.econbiz.de/10001965117
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Stochastic capital depreciation and the comovement of hours and productivity
Dueker, Michael (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001971164
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Optimal stabilization policy with endogenous firm entry
Berentsen, Aleksander; Waller, Christopher J. - Federal Reserve Bank of St. Louis - 2009
Monetary policy has significant but overlooked effects on entry and exit of firms. We study optimal monetary stabilization policy in a DSGE model with microfounded money demand and endogenous firm entry. Due to a congestion externality affecting firm entry, the optimal policy deviates from the...
Persistent link: https://www.econbiz.de/10005077874
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Price level targeting and stabilization policy
Berentsen, Aleksander; Waller, Christopher J. - Federal Reserve Bank of St. Louis - 2009
, it can control inflation expectations and improve welfare by stabilizing short-run shocks to the economy. The optimal …
Persistent link: https://www.econbiz.de/10005077878
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A monetary policy feedback rule in Korea's fast-growing economy
Dueker, Michael; Kim, Gyuhan - Federal Reserve Bank of St. Louis - 1998
In Korea's high-growth economy, the Bank of Korea had been willing to tolerate double-digit inflation, provided that it … upper threshold of tolerable inflation for the Bank of Korea was about 20 percent. It appears that the Bank of Korea …'s disciplined, rule-like approach to monetary policy was able to control inflation and keep it away from explosive levels, despite …
Persistent link: https://www.econbiz.de/10005352822
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Monetary policy with asset-backed money
Andolfatto, David; Berentsen, Aleksander; Waller, … - Federal Reserve Bank of St. Louis - 2013
strictly positive inflation. While it is also possible to implement the first-best by introducing at money and a lump- sum tax …
Persistent link: https://www.econbiz.de/10010705757
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Channel systems: Why is there a positive spread?
Berentsen, Aleksander; Marchesiani, Alessandro; Waller, … - Federal Reserve Bank of St. Louis - 2010
An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model...
Persistent link: https://www.econbiz.de/10008690980