Narrow search
Showing 1 - 10 of 2,344
Cover Image
Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate
Ravn, Morten O. - 2007
government spending shock. In addition, the deep-habit model predicts that in response to an anticipated increase in government …
Persistent link: https://www.econbiz.de/10012465322
Cover Image
Inflation Past, Present and Future : Fiscal Shocks, Fed Response, and Fiscal Limits
Cochrane, John H. - National Bureau of Economic Research - 2022
Our current inflation stemmed from a fiscal shock. The Fed is slow to react. Why? Will the Fed's slow reaction spur … high real interest rates. Price stickiness means inflation will persist past an initial shock. To reduce inflation, fiscal …
Persistent link: https://www.econbiz.de/10013210124
Cover Image
Identifying Monetary Policy Shocks : A Natural Language Approach
Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024
We develop a novel method for the identification of monetary policy shocks. By applying natural language processing techniques to documents that Federal Reserve staff prepare in advance of policy decisions, we capture the Fed's information set. Using machine learning techniques, we then predict...
Persistent link: https://www.econbiz.de/10014544696
Cover Image
Non-Constant Demand Elasticities, Firm Dynamics and Monetary Non-Neutrality : Role of Demand Shocks
Aruoba, S. Borağan; Oue, Eugene; Saffie, Felipe; … - National Bureau of Economic Research - 2024
We develop a simple menu-cost model with non-constant elasticity of demand that features idiosyncratic productivity and demand shocks. The model is calibrated to match firm-level productivity and demand processes estimated from U.S. data. Despite its simplicity, the calibrated model delivers...
Persistent link: https://www.econbiz.de/10014544795
Cover Image
Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
Cover Image
Does Monetary Policy Matter? The Narrative Approach after 35 Years
Romer, Christina; Romer, David - National Bureau of Economic Research - 2023
inflation in the expected directions. Analysis of available policy records suggests that a contractionary monetary shock likely …
Persistent link: https://www.econbiz.de/10014250187
Cover Image
Managing an Energy Shock : Fiscal and Monetary Policy
Auclert, Adrien; Monnery, Hugo; Rognlie, Matthew; … - National Bureau of Economic Research - 2023
demand. Fiscal policy, especially energy price subsidies, can isolate individual energy importers from the shock, but it has …
Persistent link: https://www.econbiz.de/10014337777
Cover Image
Implications of Dynamic Factor Models for VAR Analysis
Stock, James H. - 2005
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10012467213
Cover Image
Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
Faust, Jon - 2003
This paper proposes a new approach to identifying the effects of monetary policy shocks in an international vector autoregression. Using high-frequency data on the prices of Fed Funds futures contracts, we measure the impact of the surprise component of the FOMC-day Federal Reserve policy...
Persistent link: https://www.econbiz.de/10012469038
Cover Image
Monetary Policy in a Data-Rich Environment
Bernanke, Ben - 2001
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10012470341