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Testing the Monetary Policy Rule in the US: a Reconsideration of the Fed’s Behaviour

Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2009

We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...

Persistent link: https://www.econbiz.de/10008491715

Comparing behavioural and rational expectations for the US post-war economy

Liu, Chunping; Minford, Patrick - C.E.P.R. Discussion Papers - 2012

The banking crisis has caused a resurgence of interest in behavioural models of expectations in macroeconomics. Here we evaluate behavioural and rational expectations econometrically in a New Keynesian framework, using US post-war data and the method of indirect inference. We find that after...

Persistent link: https://www.econbiz.de/10011083283

How good are out of sample forecasting Tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on …

Persistent link: https://www.econbiz.de/10011084547

How Do Business and Financial Cycles Interact?

Claessens, Stijn; Kose, Ayhan; Terrones, Marco E - C.E.P.R. Discussion Papers - 2011

This paper analyzes the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4. Our results suggest that there are strong linkages between different phases of business and financial...

Persistent link: https://www.econbiz.de/10009024488

Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

Understanding Financial Crises: Causes, Consequences, and Policy Responses

Claessens, Stijn; Kose, M. Ayhan; Laeven, Luc; … - 2013

The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues related to financial crises. This paper presents a summary of a forthcoming book, Financial Crises: Causes, Consequences, and Policy Responses, that includes 19 contributions...

Persistent link: https://www.econbiz.de/10010500233

Understanding Financial Crises: Causes, Consequences, and Policy Responses

Claessens, Stijn; Kose, Ayhan; Laeven, Luc; Valencia, Fabian - C.E.P.R. Discussion Papers - 2013

Persistent link: https://www.econbiz.de/10011083226

How important is the credit channel? An empirical study of the US banking crisis

Liu, Chunping; Minford, Patrick - C.E.P.R. Discussion Papers - 2012

We examine whether by adding a credit channel to the standard New Keynesian model we can account better for the behaviour of US macroeconomic data up to and including the banking crisis. We use the method of indirect inference which evaluates statistically how far a model’s simulated behaviour...

Persistent link: https://www.econbiz.de/10011084294

Financial Crises: Explanations, Types, and Implications

Claessens, Stijn; Kose, Ayhan - C.E.P.R. Discussion Papers - 2013

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...

Persistent link: https://www.econbiz.de/10011084455