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Eurosystem Monetary Targeting : Lessons from U.S. Data
Rudebusch, Glenn D. - 1999
Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show that monetary targeting would be quite inefficient, with both higher inflation and output variability. This is...
Persistent link: https://www.econbiz.de/10012471609
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Monnet's Error?
Guiso, Luigi - 2015
-Europe sentiment as does the 2010 Eurozone crisis. Yet, in spite of the worst recession in recent history, the Europeans still support …
Persistent link: https://www.econbiz.de/10012457545
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Bias in Official Fiscal Forecasts : Can Private Forecasts Help?
Frankel, Jeffrey A. - 2016
Government forecasts of GDP growth and budget balances are generally more over-optimistic than private sector forecasts. When official forecasts are especially optimistic relative to private forecasts ex ante, they are more likely also to be over-optimistic relative to realizations ex post. For...
Persistent link: https://www.econbiz.de/10012456327
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Over-optimistic Official Forecasts in the Eurozone and Fiscal Rules
Frankel, Jeffrey A. - 2012
. The members of the eurozone are supposedly constrained by the fiscal caps of the Stability and Growth Pact. Yet ever since …•Despite the well-known tendency of eurozone members to exceed the 3% cap on budget deficits, often in consecutive … among eurozone forecasts. If euro area governments are not in violation of the 3% cap at the time forecasts are made …
Persistent link: https://www.econbiz.de/10012460377
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A Comparison of FIML and Robust Estimates of a Nonlinear Macroeconomic Model
Fair, Ray C. - 1973
The prediction accuracy of six estimators of econometric models are compared. Two of rthe estimators are ordinary least squares (OLS) and full-information maximum likelihood. (FML). The other four estimators are robust estimators in the sense that they give less weight to large residuals. One of...
Persistent link: https://www.econbiz.de/10012479110
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Regression Discontinuity in Time : Considerations for Empirical Applications
Hausman, Catherine - 2017
Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...
Persistent link: https://www.econbiz.de/10012455080
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Impulse Response Functions for Self-Exciting Nonlinear Models
Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023
We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...
Persistent link: https://www.econbiz.de/10014372466
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...
Persistent link: https://www.econbiz.de/10012458363
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Neoclassical Models in Macroeconomics
Hansen, Gary D. - 2016
This chapter develops a toolkit of neoclassical macroeconomic models, and applies these models to the U.S. economy from 1929 through 2014. We first filter macroeconomic time series into business cycle and long-run components, and show that the long-run component is typically much larger than the...
Persistent link: https://www.econbiz.de/10012456552
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Counterfactuals, Forecasts, and Choice-Theoretic Modelling of Policy
Grossman, Herschel I. - 1984
This paper focuses on the problem of formulating an analysis of economic policy that is consistent with rational expectations. Cooley, LeRoy,and Raymon show that the Lucas and Sargent strategy for econometric policy evaluation is itself vulnerable to the logic of the Lucas critique. The present...
Persistent link: https://www.econbiz.de/10012477709