This paper highlights the analysis of the term structure of interest rate within a full DSGE model. Our goal consists in setting up a full model including the feed-back from the economy to the term structure and vice-versa. Contrary to existing models of the term structure (TS, henceforth) (for...

We connect two major strands of the recent monetary policy literature, i) the search for well microfounded optimising models consistent with macroeconomic data, especially persistence in inflation, and ii) the wealth of newly available microeconomic data on price changing behaviour from the...

A manifestation of the Federal Reserve Board's increased transparency has been Chairman Greenspan's method of communication. The purpose of this paper is to establish the positive aspects of his speeches, testimonies and FOMC statements on financial market variables. This analysis is undertaken...

This paper uses real-time data and forecasts provided in historical briefing documents prepared for the Federal Open Market Committee of the United States Federal Reserve to estimate evolving central bank perceptions of the natural rate of unemployment. The briefing documents, informally known...

In this paper, we reformulate the theoretical baseline DAS-AD model of Asada, Chen, Chiarella and Flaschel (2004) to allow for its somewhat simplified empirical estimation. The model now exhibits a Taylor interest rate rule in the place of an LM curve and a dynamic IS curve and dynamic...

Papers estimating the reaction function of the Bundesbank generally find that ist monetary policy from the 1970s to 1998 can well be captured by a standard Taylor rule according to which the central bank responds to the output gap and to deviations of inflation from target, but not to monetary...

In this paper we consider the quadratic optimal control problem with regime shifts and forward-looking agents. This extends the results of Zampolli (2003) who considered models without forward-looking expectations. Two algorithms are presented: The first algorithm computes the solution of a...

We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Private agents...

Monetary policy conducted in real time has to take into account the preliminary nature of recent national accounts data. Not only recent data, but also figures dating many years back are potentially subject to revisions. This means that there is a danger that an important part of the central...

This paper studies the welfare effects of monetary and fiscal policy rules, in a dynamic general equilibrium model with sticky prices. The model features capital accumulation and endogenous labor effort, and exogenous productivity shocks. Government purchases are valued positively by the private...