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Testing for cointegration using the Johansen methodology when variables are near-integrated

Hjalmarsson, Erik; Osterholm, Par - Federal Reserve Board (Board of Governors of the … - 2007

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...

Persistent link: https://www.econbiz.de/10005368330

Incorporating judgement in fan charts

Österholm, Pär - Federal Reserve Board (Board of Governors of the … - 2006

Within a decision-making group, such as the monetary-policy committee of a central bank, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling...

Persistent link: https://www.econbiz.de/10005721011

Integrating expenditure and income data: what to do with the statistical discrepancy?

Beaulieu, J. Joseph; Bartelsman, Eric J. - Federal Reserve Board (Board of Governors of the … - 2004

The purpose of this paper is to build consistent, integrated datasets to investigate whether various disaggregated data can shed light on the possible sources of the statistical discrepancy. Our strategy is first to use disaggregated data to estimate consistent sets of input-output models that...

Persistent link: https://www.econbiz.de/10005721267

Estimating capacity utilization from survey data

Morin, Norman; Stevens, John - Federal Reserve Board (Board of Governors of the … - 2004

In this paper, we review the history and concepts behind the Federal Reserve's measures of capacity and capacity utilization, summarize the methods used to construct the measures, and describe the principal source data for these measures--the Census Bureau's Survey of Plant Capacity. We show...

Persistent link: https://www.econbiz.de/10005393698

Diverging measures of capacity utilization: an explanation

Morin, Norman; Stevens, John J. - Federal Reserve Board (Board of Governors of the … - 2004

In the wake of the recent recovery in manufacturing production, the capacity utilization rates published by the Federal Reserve Board (FRB) have rebounded much more slowly than those published by the Institute for Supply Management (ISM). As a result, some observers have speculated that the...

Persistent link: https://www.econbiz.de/10005393972

Nominal wage rigidities and the propagation of monetary disturbances

Erceg, Christopher J. - Federal Reserve Board (Board of Governors of the … - 1997

Recent research has challenged the ability of sticky price general equilibrium models to generate a contract multiplier, i.e., an effect of a monetary innovation on output that extends beyond the contract interval. We show that a simple dynamic general equilbrium model that includes...

Persistent link: https://www.econbiz.de/10005368194

Tradeoffs between inflation and output-gap variances in an optimizing-agent model

Erceg, Christopher J.; Henderson, Dale W.; Levin, Andrew T. - Federal Reserve Board (Board of Governors of the … - 1998

the special case in which prices are sticky and wages are perfectly flexible. When the model is calibrated to exhibit an …

Persistent link: https://www.econbiz.de/10005368225

Human capital, unemployment, and relative wages in a global economy

Davis, Donald R.; Reeve, Trevor A. - Federal Reserve Board (Board of Governors of the … - 2000

This paper develops a simple framework for examining human capital accumulation, unemployment, and relative wages in a …

Persistent link: https://www.econbiz.de/10005368256

International comparisons of labor costs in manufacturing

Hooper, Peter; Larin, Kathryn A. - Federal Reserve Board (Board of Governors of the … - 1988

This paper presents a comparative study of the level of unit labor costs in the manufacturing sectors of several countries. The paper begins by surveying earlier estimates of relative productivity and unit labor cost levels and evaluating the various methodologies that have been used in previous...

Persistent link: https://www.econbiz.de/10005368260

Optimal fiscal and monetary policy with costly wage bargaining

Arseneau, David M.; Chugh, Sanjay K. - Federal Reserve Board (Board of Governors of the … - 2007

nominal wages. This finding contrasts with results obtained using standard sticky-wage models, which employ Walrasian labor … tolerate large fluctuations in real wages that would otherwise not be tolerated in a standard model with Walrasian labor … markets; as a result, any concern for stabilizing nominal wages does not translate into a concern for stabilizing nominal …

Persistent link: https://www.econbiz.de/10005368440