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This article examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, focusing on the persistence of economic shocks. The authors develop a simple macroeconomic model that exhibits long-range dependence, a consequence of...
Persistent link: https://www.econbiz.de/10005360729
Monetary policy analysts looking for a model on which to base decisions may consider two popular approaches-the New Keynesian (NK) and the identified vector autoregression (VAR) approaches. Choosing between the two can be difficult: NK models are stylized and have simple rules while structural...
Persistent link: https://www.econbiz.de/10005498208
The progressive globalization of markets has sparked a worldwide interest in using economic indicators to analyze cyclical fluctuations. Governments and the private sector seeking to conduct their activities in light of both national and international economic conditions could benefit from...
Persistent link: https://www.econbiz.de/10005360998
Valuing financial securities often assumes that the contractual obligations of the security are going to be honored. However, frequently a party to a contract will default on its obligations. Because the contractual features of defaultable securities are usually complex and it is difficult to...
Persistent link: https://www.econbiz.de/10005361007
The housing sector’s important role in the U.S. economy is hard to miss: Real estate held in household portfolios in 2004 was worth $17 trillion, and the mortgage market now totals more than $7.5 trillion. ; To understand how this sector and related government policies affect households and...
Persistent link: https://www.econbiz.de/10005361056
The yield curve shows how the yield on a government bond depends on the bond's maturity. Monetary policymakers and observers pay special attention to the shape of the yield curve as an indicator of the economic impact of current and future monetary policy. Without the proper analytical tools,...
Persistent link: https://www.econbiz.de/10005361068
The data on economic variables are usually estimates, and these estimates may be revised many times after their initial publication. Most historical forecast evaluation exercises use the "latest available" or most recently revised vintage of historical data when constructing the forecasts-that...
Persistent link: https://www.econbiz.de/10005361088
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center stage in academic macroeconomics. Nonetheless, these models are still rarely used in policy-making and forecasting. ; This article describes the workings of the DSGE-VAR, a procedure that combines...
Persistent link: https://www.econbiz.de/10005361140
Until recently most macroeconomic models in which monetary policy has real effects were based on the assumption that agents in the economy do not use all available information when making a decision. Critics of these models argue that this assumption implies that agents are not rational. ; In...
Persistent link: https://www.econbiz.de/10005361141
Policy and investment decisions are made with an eye toward future economic conditions, and an econometric model that can correctly forecast directional changes in the business cycle would be a boon to policymakers, the business community, and the general public. This article provides some...
Persistent link: https://www.econbiz.de/10005361145