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Imperfect competition and indeterminacy of aggregate output

Wang, Pengfei; Wen, Yi - Federal Reserve Bank of St. Louis - 2007

the volatility of labor market and the hump-shaped output dynamics. …

Persistent link: https://www.econbiz.de/10005707631

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

A reconsideration of the properties of the generalized method moments in asset pricing models

Neely, Christopher J. - Federal Reserve Bank of St. Louis - 1994

This paper tests the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) on simulated data from a consumption based asset pricing model. In finite samples the estimates of the coefficient of relative risk aversion and the discount parameter are strongly biased due to...

Persistent link: https://www.econbiz.de/10005707682

Understanding the large negative impact of oil shocks

Aguiar-Conraria, Luis; Wen, Yi - Federal Reserve Bank of St. Louis - 2006

This paper offers a plausible explanation for the close link between oil prices and aggregate macroeconomic performance … able to replicate this link when actual oil prices are used to simulate the models. In particular, standard models cannot …

Persistent link: https://www.econbiz.de/10005707709

Optimal monetary policy, endogenous sticky prices and multiplicity of equilibria

Barseghyan, Levon; DiCecio, Riccardo - Federal Reserve Bank of St. Louis - 2007

We analyze optimal discretionary monetary policy in an endogenous sticky prices model. Similar models with exogenous … sticky prices can deliver multiple equilibria. This is a necessary condition for the occurrence of expectation traps (when …-inflation equilibrium. With endogenous sticky prices, the monetary authority does not validate high-inflation expectations and deviates to …

Persistent link: https://www.econbiz.de/10005707710

Foreign trade and equilibrium indeterminacy

Aguiar-Conraria, Luis; Wen, Yi - Federal Reserve Bank of St. Louis - 2005

We show that dependence of production on foreign inputs (or non-producible natural resources) can significantly increase the likelihood of indeterminacy. Payment of imported foreign factors of production may act as a semi-fixed cost, amplifying production externalities and returns to scale,...

Persistent link: https://www.econbiz.de/10005707724

Interest rates, commodity price changes and Gibson's paradox

Brown, W.W.; Santoni, G.J. - Federal Reserve Bank of St. Louis - 1987

This paper argues that the positive relationship between the level of prices and interest rates noted by Gibson arises …, in part, because measured prices indexes, which are comprised primarily of the prices of short-lived consumption goods …

Persistent link: https://www.econbiz.de/10005352788

The P-star approach to the link between money and prices

Tatom, John A. - Federal Reserve Bank of St. Louis - 1990

This paper examines several specification errors in the M2-based P* model and develops an M1-based estimate of this model. The apparent statistical significance of M2 is shown to arise from a spurious regression that uses a non-stationary regressor and because the significance test for M2 is...

Persistent link: https://www.econbiz.de/10005352827

Aggregate price shocks and financial stability: the United Kingdom 1796-1999

Bordo, Michael D.; Dueker, Michael J.; Wheelock, David C. - Federal Reserve Bank of St. Louis - 2001

This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find...

Persistent link: https://www.econbiz.de/10005352840

Threshold adjustment in deviations from the law of one price

Juvenal, Luciana; Taylor, Mark P. - Federal Reserve Bank of St. Louis - 2008

Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We and strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange...

Persistent link: https://www.econbiz.de/10005352844