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Macroeconomics with a Thick Pen
Gronwald, Marc; Jin, Xin - 2023
This paper introduces two co-movement measures based on the Thick Pen Transform into the macroeconomic literature: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). Both measures are non-parametric, time-varying, and flexible....
Persistent link: https://www.econbiz.de/10014356480
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Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models
Delli Gatti, Domenico - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573
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Macroeconomics and the Environment : A Selective Survey
Sen, Partha - 2020
? National income accounts do not take into account non-market activities. Some progress has been made in the theory and …
Persistent link: https://www.econbiz.de/10012839360
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Monetary Policy Interactions : The Policy Rate, Asset Purchases, and Optimal Policy with an Interest Rate Peg
Gödl-Hanisch, Isabel; Mau, Ronald; Rawls, Jonathan - 2023
a fixed policy rate. This policy induces similar welfare losses relative to dual-instrument policy as inflation …
Persistent link: https://www.econbiz.de/10014357043
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10013314848
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Interest Rate Skewness and Biased Beliefs
Chernov, Mikhail; Bauer, Michael - 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://www.econbiz.de/10013222193
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Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …
Persistent link: https://www.econbiz.de/10013292499
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The Hidden Heterogeneity of Inflation and Interest Rate Expectations : The Role of Preferences
Dräger, Lena; Lamla, Michael J.; Pfajfar, Damjan - 2022
same inflation or interest rate expectations can differently assess whether the level of the corresponding variable is … and affects durable spending and saving decisions. We also show that the variation in inflation preferences can be …
Persistent link: https://www.econbiz.de/10013293855
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The Socio-Economics of Pandemics Policy
Snower, Dennis - 2020
In response to the Covid-19 pandemic, governments around the world have provided a massive fiscal and monetary stimulus. While this policy is welcome in the short run, it does not address the underlying problem in the medium and long run. The reason is that the pandemic has not given rise to a...
Persistent link: https://www.econbiz.de/10012832196
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Partisan Bias in Inflation Expectations
Bachmann, Oliver - 2019
We examine partisan bias in inflation expectations. Our dataset includes inflation expectations of the New York Fed …'s Survey of Consumer Expectations over the period June 2013 to June 2018. The results show that inflation expectations were 0 …. Compared to inflation expectations in Democratic-dominated states, inflation expectations in Republican-dominated states …
Persistent link: https://www.econbiz.de/10012860297