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Identifying the role of labor markets for monetary policy in an estimated DSGE model

Christoffel, Kai; Kuester, Keith; Linzert, Tobias - 2006

structurally model matching frictions and rigid wages in line with an optimizing rationale in a New Keynesian closed economy DSGE … the labor market itself may contain only limited information for the conduct of stabilization policy. …

Persistent link: https://www.econbiz.de/10011604681

Understanding the dynamics of labor shares and inflation

Lawless, Martina; Whelan, Karl - 2007

Calvo-style models of nominal rigidities currently provide the dominant paradigm for understanding the linkages between wage and price dynamics. Recent empirical implementations stress the idea that these models link inflation to the behavior of the labor share of income. Gali, Gertler, and...

Persistent link: https://www.econbiz.de/10011604830

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

of survey participants to incorporate information about the current state of the economy as well as forward …-looking information such as that contained in monetary policy announcements. We show how the informational advantage of survey …. The method implicitly incorporates into yield curve forecasts any information that survey participants have access to …

Persistent link: https://www.econbiz.de/10011605677

International evidence on sticky consumption growth.

Carroll, Christopher D.; Slacalek, Jiri; Sommer, Martin - 2008

We estimate the degree of ‘stickiness’ in aggregate consumption growth (sometimes interpreted as reflecting consumption habits) for thirteen advanced economies. We find that, after controlling for measurement error, consumption growth has a high degree of auto-correlation, with a stickiness...

Persistent link: https://www.econbiz.de/10011604932

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - 2008

We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...

Persistent link: https://www.econbiz.de/10011604996

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - 2009

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10011605044

The role of labor markets for euro area monetary policy

Christoffel, Kai; Kuester, Keith; Linzert, Tobias - 2009

which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible … into monitoring euro area wage dynamics and which appears to treat some of the other labor market information as less …

Persistent link: https://www.econbiz.de/10011605081

A New Indicator of Inflation Expectations Anchoring

Natoli, Filippo - 2017

We compare the degree of anchoring of inﬂation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inﬂation swaps and options, following Natoli and...

Persistent link: https://www.econbiz.de/10012963938

Destabilizing Effects of Bank Overleveraging on Real Activity - An Analysis Based on a Threshold MCS-GVAR

Groß, Marco - 2017

We investigate the consequences of overleveraging and the potential for destabilizing effects from financial- and real-sector interactions. In a theoretical framework, we model overleveraging and indicate how a highly leveraged banking system can lead to unstable dynamics and downward spirals....

Persistent link: https://www.econbiz.de/10012953415

How Large are Housing and Financial Wealth Effects? A New Approach

Carroll, Christopher D. - 2015

This paper presents a simple new method for measuring 'wealth effects' on aggregate consumption. The method exploits the stickiness of consumption growth (sometimes interpreted as reflecting consumption 'habits') to distinguish between immediate and eventual wealth effects. In U.S. data, we...

Persistent link: https://www.econbiz.de/10013038374