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Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

Ng, Serena; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2013

This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...

Persistent link: https://www.econbiz.de/10010821736

Assessing DSGE Model Nonlinearities

Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10010969293

Estimating Turning Points Using Large Data Sets

Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2010

Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common...

Persistent link: https://www.econbiz.de/10008727872

News, Noise, and Fluctuations: An Empirical Exploration

Blanchard, Olivier; L'Huillier, Jean-Paul; Lorenzoni, Guido - National Bureau of Economic Research (NBER) - 2009

We explore empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information; these anticipations affect spending and output in the short run. Our objective is to separate fluctuations due to actual changes...

Persistent link: https://www.econbiz.de/10004991921

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

Low-Frequency Robust Cointegration Testing

Watson, Mark W.; Müller, Ulrich - National Bureau of Economic Research (NBER) - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10005108413

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

Global Business Cycles: Convergence or Decoupling?

Kose, Ayhan; Otrok, Christopher; Prasad, Eswar - National Bureau of Economic Research (NBER) - 2008

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10005777599

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …

Persistent link: https://www.econbiz.de/10005779020

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007

Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...

Persistent link: https://www.econbiz.de/10005828664