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Global Forces and Monetary Policy Effectiveness
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2008
In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the 1984-2005 period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and...
Persistent link: https://www.econbiz.de/10005050455
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Shocks, Structures or Monetary Policies? The Euro Area and US After 2001
Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - National Bureau of Economic Research (NBER) - 2007
out to be only a slowdown, and inflation never departed from levels consistent with the ECB's quantitative definition of …
Persistent link: https://www.econbiz.de/10005085028
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Austerity in 2009-2013
Alesina, Alberto; Favero, Carlo; Giavazzi, Francesco; … - National Bureau of Economic Research (NBER) - 2015
The conventional wisdom is (i) that fiscal austerity was the main culprit for the recessions experienced by many countries, especially in Europe, since 2010 and (ii) that this round of fiscal consolidation was much more costly than past ones. The contribution of this paper is a clarification of...
Persistent link: https://www.econbiz.de/10011119804
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Monetary Rules for Small, Open, Emerging Economies
Laxton, Douglas; Pesenti, Paolo A. - National Bureau of Economic Research (NBER) - 2003
open economies, and uses it to assess the effectiveness of Taylor rules and Inflation-Forecast-Based (IFB) rules in … stabilizing variability in output and inflation. Our findings suggest that a simple IFB rule that does not rely upon any direct … estimates of the equilibrium real interest rate and places a relatively high weight on the inflation forecast may perform better …
Persistent link: https://www.econbiz.de/10005710557
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Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assesment
Bayoumi, Tamim A; Laxton, Douglas; Pesenti, Paolo A. - National Bureau of Economic Research (NBER) - 2004
Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labor markets, this paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the...
Persistent link: https://www.econbiz.de/10005778353
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How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005774407
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Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?
Chari, Varadarajan; Kehoe, Patrick J.; McGrattan, Ellen R. - National Bureau of Economic Research (NBER) - 2008
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR...
Persistent link: https://www.econbiz.de/10005089012
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Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014
for output growth and inflation from 1992 to 2011. We find strong evidence of time variation in the pool's weights …
Persistent link: https://www.econbiz.de/10010950792
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Macroeconomic Regimes
Bekaert, Geert; Cho, Seonghoon; Moreno, Antonio; Baele, … - National Bureau of Economic Research (NBER) - 2011
. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating … shocks shift to the low volatility regime around 1985 whereas inflation shocks do so only around 1990, suggesting active … monetary policy may have played role in anchoring inflation expectations. Shocks and policy regimes jointly drive the …
Persistent link: https://www.econbiz.de/10009025241
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Prior Selection for Vector Autoregressions
Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....
Persistent link: https://www.econbiz.de/10011272306