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(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello - 2006

This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show...

Persistent link: https://www.econbiz.de/10012780502

A Rotated Dynamic Nelson-Siegel Model with Macro-Financial Applications

Nyholm, Ken - 2015

A factor rotation scheme is applied to the well-known Dynamic Nelson-Siegel model facilitating direct parametrization of the short rate process. The model-implied term structure of term premia is derived in closed-form, and macroeconomic variables are included in a Taylor-rule- type fashion....

Persistent link: https://www.econbiz.de/10013014618

Forecasting Inflation and Tracking Monetary Policy in the Euro Area : Does National Information Help?

Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - 2021

The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...

Persistent link: https://www.econbiz.de/10013316530

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Amisano, Gianni; Tristani, Oreste - 2021

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

Persistent link: https://www.econbiz.de/10013317094

Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model

Christoffel, Kai Philipp; Kuester, Keith; Linzert, Tobias - 2021

We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...

Persistent link: https://www.econbiz.de/10013317584

Monetary policy and fears of financial instability

Brousseau, Vincent; Detken, Carsten - 2001

Exploiting a specific sunspot equilibrium in a standard forward-looking New Keynesian model, we present an example of a …

Persistent link: https://www.econbiz.de/10011604135

Learning stability in economics with heterogeneous agents

Honkapohja, Seppo; Mitra, Kaushik - 2002

rules affect the conditions for convergence of adaptive learning towards rational expectations equilibrium. Results are …

Persistent link: https://www.econbiz.de/10011604166

Identifying endogenous fiscal policy rules for macroeconomic models

Pérez, Javier J.; Hiebert, Paul - 2002

In this paper, we present a model-based method for identifying fiscal closure rules in stochastic macroeconomic models. The methodology is based on the stability analysis of the model at hand, with an endogenous derivation of a reaction on the part of the fiscal authority to state variables in...

Persistent link: https://www.econbiz.de/10011604202

Temporary shocks and unavoidable transitions to a high-unemployment regime

Den Haan, Wouter J. - 2003

rate) in which equilibrium selection is not conditioned on a sunspot variable. Instead, large enough shocks initiate …

Persistent link: https://www.econbiz.de/10011604285

On the indeterminacy of determinacy and indeterminacy

Beyer, Andreas; Farmer, Roger E. A. - 2003

A number of authors have attempted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium … provide examples of two economic models. Model 1 displays an indeterminate equilibrium, driven by sunspots. Model 2 displays a … determinate equilibrium driven by fundamentals. Given assumptions about the shock distribution of model 2, it is possible to find …

Persistent link: https://www.econbiz.de/10011604323