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New Keynesian models : not yet useful for policy analysis

Chari, Varadarajan V. (contributor); … - 2008

In the 1970s macroeconomists often disagreed bitterly. Macroeconomists have now largely converged on method, model design, and macroeconomic policy advice. The disagreements that remain all stem from the practical implementation of the methodology. Some macroeconomists think that New Keynesian...

Persistent link: https://www.econbiz.de/10003774553

Forecasting time series subject to multiple structural breaks

Pesaran, M. Hashem (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002120362

Panels with nonstationary multifactor error structures

Kapetanios, George (contributor); … - 2006

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models …

Persistent link: https://www.econbiz.de/10003355571

Sales and the real effects of monetary policy

Kehoe, Patrick J. (contributor); … - 2007

In the data, a sizable fraction of price changes are temporary price reductions referred to as sales. Existing models include no role for sales. Hence, when confronted with data in which a large fraction of price changes are sales related, the models must either exclude sales from the data or...

Persistent link: https://www.econbiz.de/10003479621

Comparing alternative representations, methodologies, and decompositions in business cycle accounting

Chari, Varadarajan V. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003485980

If exchange rates are random walks then almost everything we say about monetary policy is wrong

Alvarez, Fernando (contributor); Atkeson, Andrew (contributor) - 2007

Persistent link: https://www.econbiz.de/10003486025

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

Persistent link: https://www.econbiz.de/10003590525

Sticky prices and sectoral real exchange rates

Kehoe, Patrick J. (contributor); … - 2007

theory for persistence have some modest support: in the data, the stickier is the price of a good the more persistent is its … real exchange rate, but the theory predicts much more variation in persistence than is in the data. The predictions of the … theory for volatiity fare less well: in the data, the stickier is the price of a good the smaller is its conditional variance …

Persistent link: https://www.econbiz.de/10003579972

Reply to Solow

Chari, Varadarajan V. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003580339