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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

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

Stochastic capital depreciation and the comovement of hours and productivity

Dueker, Michael (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971164

Did the Great Inflation occur despite policymaker commitment to a Taylor rule?

Bullard, James B.; Eusepi, Stefano - Federal Reserve Bank of St. Louis - 2004

in the U.S. caused much of the great inflation of the 1970s. We use the general equilibrium, sticky price framework of … growth rate under learning. We find that a substantial portion of the observed increase in inflation during the 1970s can be …

Persistent link: https://www.econbiz.de/10005360610

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

A model of near-rational exuberance

Bullard, James B.; Evans, George W.; Honkapohja, Seppo - Federal Reserve Bank of St. Louis - 2007

We study how the use of judgment or "add-factors" in forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in a standard self-referential environment....

Persistent link: https://www.econbiz.de/10005352864

Monetary policy, judgment and near-rational exuberance

Bullard, James B.; Evans, George W.; Honkapohja, Seppo - Federal Reserve Bank of St. Louis - 2007

We study how the use of judgment or "add-factors" in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We examine the possibility of a new phenomenon, which we call exuberance equilibria, in the New Keynesian monetary policy...

Persistent link: https://www.econbiz.de/10005352949

Near-rational exuberance

Bullard, James B.; Evans, George W.; Honkapohja, Seppo - Federal Reserve Bank of St. Louis - 2004

We study how the use of judgement or "add-factors" in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in standard macroeconomic...

Persistent link: https://www.econbiz.de/10005707643

Monetary policy, determinacy, and learnability in a two-block world economy

Bullard, James B.; Schaling, Eric - Federal Reserve Bank of St. Louis - 2006

We study how determinacy and learnability of worldwide rational expectations equilibrium may be affected by monetary policy in a simple, two country, New Keynesian framework under both fixed and flexible exchange rates. We find that open economy considerations may alter conditions for...

Persistent link: https://www.econbiz.de/10005490985

Worldwide macroeconomic stability and monetary policy rules

Bullard, James B.; Singh, Aarti - Federal Reserve Bank of St. Louis - 2007

We study the interaction of multiple large economies in dynamic stochastic general equilibrium. Each economy has a monetary policymaker that attempts to control the economy through the use of a linear nominal interest rate feedback rule. We show how the determinacy of worldwide equilibrium...

Persistent link: https://www.econbiz.de/10005491008