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A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models
Beyer, Andreas; Farmer, Roger E. A. - 2006
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...
Persistent link: https://www.econbiz.de/10011604632
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Investigating inflation persistence across monetary regimes
Benati, Luca - 2008
Under inflation targeting inflation exhibits negative serial correlation in the United Kingdom, and little or no persistence in Canada, Sweden and New Zealand, and estimates of the indexation parameter in hybrid New Keynesian Phillips curves are either equal to zero, or very low, in all...
Persistent link: https://www.econbiz.de/10011604897
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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 possible conflict between short-term price stability and financial stability. We find a conflict because the sunspot process consists of a self-fulfilling belief linking the...
Persistent link: https://www.econbiz.de/10011604135
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Aggregating Phillips curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - 2007
The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10011604831
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Factor analysis in a New-Keynesian model
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; … - 2005
have several drawbacks, including possible lack of identification of the parameters, misspecification of the model due to … concerns over the validity of commonly used instruments to achieve identification. In this paper we analyze the practical … relevance of these problems and we propose remedies to weak identification based on recent developments in factor analysis for …
Persistent link: https://www.econbiz.de/10011604556
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A speed limit monetary policy rule for the euro area
Stracca, Livio - 2006
This paper estimates a hybrid New Keynesian model on euro area data and evaluates the performance of different simple policy rules and of the optimal unconstrained rule under commitment. The study reaches two main conclusions. First, inflation is found to be mainly forward-looking in the euro...
Persistent link: https://www.econbiz.de/10011604646
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Identifying the monetary transmission mechanism using structural breaks
Beyer, Andreas; Farmer, Roger E. A. - 2003
identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the …
Persistent link: https://www.econbiz.de/10011604321
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What does a financial shock do? First international evidence
Fornari, Fabio; Stracca, Livio - 2013
In this paper we attempt to evaluate the quantitative impact of financial shocks on key indicators of real activity and financial conditions. We focus on financial shocks as they have received wide attention in the recent literature and in the policy debate after the global financial crisis. We...
Persistent link: https://www.econbiz.de/10011605567
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On the indeterminacy of new-Keynesian economics
Beyer, Andreas; Farmer, Roger E. A. - 2004
We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiÞed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...
Persistent link: https://www.econbiz.de/10011604369
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A Method to Generate Structural Impulse-Responses for Measuring the Effects of Shocks in Structural Macro Models
Beyer, Andreas; Farmer, Roger E. A. - 2021
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...
Persistent link: https://www.econbiz.de/10013318029