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Brexit and Uncertainty : Insights from the Decision Maker Panel

Bloom, Nicholas - 2019

The UK's decision to leave the EU in the 2016 referendum created substantial uncertainty for UK businesses. The nature of this uncertainty is different from that of a typical uncertainty shock because of its length, breadth and political complexity. Consequently, a new firm-level survey, the...

Persistent link: https://www.econbiz.de/10012892721

Estimating Time-Varying DSGE Models Using Minimum Distance Methods

Giraitis, Liudas - 2014

This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium...

Persistent link: https://www.econbiz.de/10013048383

Economic Uncertainty Before and During the Covid-19 Pandemic

Altig, David - 2020

We consider several economic uncertainty indicators for the US and UK before and during the Covid-19 pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective uncertainty about future business growth, and...

Persistent link: https://www.econbiz.de/10012829721

The Impact of Brexit on UK Firms

Bloom, Nicholas - 2019

We use a major new survey of UK firms, the Decision Maker Panel, to assess the impact of the June 2016 Brexit referendum. We identify three key results. First, the UK's decision to leave the EU has generated a large, broad and long-lasting increase in uncertainty. Second, anticipation of Brexit...

Persistent link: https://www.econbiz.de/10012863862

Misperceptions, Heterogeneous Expectations and Macroeconomic Dynamics

Harrison, Richard - 2012

We investigate the extent to which misperceptions about the economy can become self-reinforcing and thereby contribute to time-varying macroeconomic dynamics. To do so, we build a New Keynesian model with long-horizon expectations and dynamic predictor selection. Because agents solve...

Persistent link: https://www.econbiz.de/10013106250

Non-Rational Expectations and the Transmission Mechanism

Harrison, Richard - 2012

In this paper, we compare two approaches to modelling behaviour under non-rational expectations in a benchmark New Keynesian model. The ‘Euler equation' approach modifies the equations derived under the assumption of rational expectations by replacing the rational expectations operator with an...

Persistent link: https://www.econbiz.de/10013106254

The Bank of England's Forecasting Platform : COMPASS, MAPS, EASE and the Suite of Models

Burgess, Stephen - 2013

This paper introduces the Bank of England's new forecasting platform and provides examples of how it can be applied to … practical forecasting problems. The platform consists of four components: COMPASS, a structural central organising model; a …

Persistent link: https://www.econbiz.de/10013081880

A Bayesian VAR Benchmark for COMPASS

Domit, Silvia - 2016

in forecasting GDP growth and CPI inflation in real time between 2000 and 2012. We find that the BVAR outperformed … COMPASS when forecasting both GDP and its expenditure components. In contrast, the performance of these models was similar … when forecasting CPI. We also find that, despite underpredicting inflation at most forecast horizons, the BVAR density …

Persistent link: https://www.econbiz.de/10013000571

Uncertain Forward Guidance

Haberis, Alex - 2017

We explore the effects of forward guidance at the zero lower bound when there is uncertainty over the lift-off date arising from: (i) the imperfect credibility of time-inconsistent forward-guidance promises; (ii) incomplete communication. We use a simple New Keynesian model to demonstrate that a...

Persistent link: https://www.econbiz.de/10012959532

Threshold-Based Forward Guidance : Hedging the Zero Bound

Koerber, Lena - 2015

Motivated by policies implemented by some central banks in response to the financial crisis, we use a simple New Keynesian model to study a particular form of forward guidance. We assume that the policy maker makes a state-contingent commitment to hold the policy rate at the zero lower bound...

Persistent link: https://www.econbiz.de/10013013019