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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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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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Tobin's imperfect asset substitution in optimizing general equilibrium
Andres, Javier; López-Salido, J. David; Nelson, Edward - Federal Reserve Bank of St. Louis - 2004
expectations theory of the term structure can be traced to movements in the relative stocks of financial assets. The richer …
Persistent link: https://www.econbiz.de/10005352930
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Sticky-price models and the natural rate hypothesis
Andres, Javier; López-Salido, J. David; Nelson, Edward - Federal Reserve Bank of St. Louis - 2005
A major criticism of standard specifications of price adjustment in models for monetary policy analysis is that they violate the natural rate hypothesis by allowing output to differ from potential in steady state. In this paper we estimate a dynamic optimizing business cycle model whose...
Persistent link: https://www.econbiz.de/10005707655
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Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy
Levin, Andrew T.; López-Salido, J. David; Nelson, Edward; … - Federal Reserve Bank of St. Louis - 2008
a nonlinear setting. The relevance of these concepts is established by analysis of optimal steady-state inflation and …
Persistent link: https://www.econbiz.de/10005490955