Showing 1 - 10 of 14
Recent studies by Dai and Singleton (2002), Duffee (2002), and Duarte (2004) show that affine term structure models that match the time variability of the expected returns of bond yields do not generate time variation in the volatility of interest rates. This failure indicates that affine models...
Persistent link: https://www.econbiz.de/10005343013
Adaptive Least Squares (ALS), i.e. recursive regression with asymptotically constant gain, as proposed by Ljung (1992), Sargent (1993, 1999), and Evans and Honkapohja (2001), is an increasingly widely-used method of estimating time-varying relationships and of proxying agents’...
Persistent link: https://www.econbiz.de/10005345069
Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target....
Persistent link: https://www.econbiz.de/10005345089
Shifts in the long-run rate of productivity growth--such as those those experienced by the U.S. economy in the 1970s and 1990s--are difficult in real time to distinguish from transitory fluctuations. In this paper, we explore how economists' projections of trend productivity growth gradually...
Persistent link: https://www.econbiz.de/10005345315
A simple backward-looking Taylor rule is estimated in a time-varying coefficient framework with quarterly German data for the period 1975-1998. Markov switching models and the Kalman Filter are used to extract the unobservable paths of the coefficients. The main finding is that the inflation...
Persistent link: https://www.econbiz.de/10005345361
The recent literature on monetary policy has questioned the use of linear Phillips curves and the assumption of a constant NAIRU. In this paper we explore monetary policy considering different shapes of the Phillips curve and an endogenous NAIRU. The NAIRU is, as recent papers suggest, made...
Persistent link: https://www.econbiz.de/10005706502
We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator. One hundred and six world-wide price series are tested for unit root bilinearity...
Persistent link: https://www.econbiz.de/10005706513
Persistent link: https://www.econbiz.de/10005706650
A simulation smoother in state space time series analysis is a procedure for drawing samples from the conditional distribution of state or disturbance vectors given the observations. We present a new technique for this which is both simple and computationally efficient.
Persistent link: https://www.econbiz.de/10005706733
As recent research has shown one of the most important impediments to a successful conduct of monetary policy arises from the measurement error associated with output and inflation observations and the uncertainty regarding estimates of unobservables such as potential output. (See, for example,...
Persistent link: https://www.econbiz.de/10005706769