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Inflation and Real Activity over the Business Cycle
Bianchi, Francesco; Nicolò, Giovanni; Song, Dongho - National Bureau of Economic Research - 2023
We study the relation between inflation and real activity over the business cycle. We employ a Trend-Cycle VAR model to … control for low-frequency movements in inflation, unemployment, and growth that are pervasive in the post-WWII period. We show … that cyclical fluctuations of inflation are related to cyclical movements in real activity and unemployment, in line with …
Persistent link: https://www.econbiz.de/10014247995
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The Concave Phillips Curve
Kocherlakota, Narayana Rao - National Bureau of Economic Research - 2024
inflation behaves as if prices are nearly fully sticky (flexible). Using (conventional) measures of inflation that understate …
Persistent link: https://www.econbiz.de/10014544805
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Double Robustness of Local Projections and Some Unpleasant VARithmetic
Olea, José Luis Montiel; Plagborg-Møller, Mikkel; … - National Bureau of Economic Research - 2024
We consider impulse response inference in a locally misspecified stationary vector autoregression (VAR) model. The conventional local projection (LP) confidence interval has correct coverage even when the misspecification is so large that it can be detected with probability approaching 1. This...
Persistent link: https://www.econbiz.de/10014544773
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Non-Linear Inflation Dynamics in Menu Cost Economies
Blanco, Andres; Boar, Corina; Jones, Callum; Midrigan, … - National Bureau of Economic Research - 2024
fraction of price changes increases with inflation. They also predict implausibly large menu costs and misallocation in the …
Persistent link: https://www.econbiz.de/10014468294
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Quality Adjustment at Scale : Hedonic vs. Exact Demand-Based Price Indices
Ehrlich, Gabriel; Haltiwanger, John C.; Jarmin, Ronald S.; … - National Bureau of Economic Research - 2023
This paper explores alternative methods for adjusting price indices for quality change at scale. These methods can be applied to large-scale item-level transactions data that includes information on prices, quantities, and item attributes. The hedonic methods can take into account the changing...
Persistent link: https://www.econbiz.de/10014322697
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Helicopter Drops and Liquidity Traps
Amador, Manuel; Bianchi, Javier - National Bureau of Economic Research - 2023
We show that if the central bank operates without commitment and faces constraints on its balance sheet, helicopter drops can be a useful stabilization tool during a liquidity trap. With commitment, even with balance sheet constraints, helicopter drops are irrelevant
Persistent link: https://www.econbiz.de/10014247967
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What Can Measured Beliefs Tell Us About Monetary Non-Neutrality?
Afrouzi, Hassan; Flynn, Joel P.; Yang, Choongryul - National Bureau of Economic Research - 2024
This paper studies how measured beliefs can be used to identify monetary non-neutrality. In a general equilibrium model with both nominal rigidities and endogenous information acquisition, we analytically characterize firms' optimal dynamic information policies and how their beliefs affect...
Persistent link: https://www.econbiz.de/10014576569
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Global Natural Rates in the Long Run : Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies
Davis, Joshua M.; Fuenzalida, Cristian; Huetsch, Leon; … - National Bureau of Economic Research - 2023
Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage macro- finance model with two trend factors to...
Persistent link: https://www.econbiz.de/10014421212
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Policymakers' Uncertainty
Cieślak, Anna; Hansen, Stephen; McMahon, Michael; … - National Bureau of Economic Research - 2023
inflation uncertainty strongly predicts a more hawkish policy stance that is not explained either by the Fed's macroeconomic … forecasts or by public uncertainty proxies. We rationalize these results with a model of inflation tail risks and argue that the … effect of uncertainty on the FOMC's decisions reflects policymakers' concern with maintaining credibility for the inflation …
Persistent link: https://www.econbiz.de/10014436980
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Predicting the Oil Market
Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry - National Bureau of Economic Research - 2021
We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...
Persistent link: https://www.econbiz.de/10012660057