The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference...

We study a benchmark model with collateral constraints and heterogeneous discounting. Contrarily to a rich literature on borrowing limits, we allow for rental markets. By incorporating this missing market, we show that impatient agents choose to rent rather than to own the collateral in the...

We resolve the non-existence pathologies of dynamic rational expectations equilibria attributed to signal extraction from endogenous variables first discovered by Futia (1981). Non-existence is overturned once it is recognized that rational agents take into account the structure of the model...

I use a multivariate Blanchard–Quah decomposition to investigate the financial crisis’ impact on potential output in the Euro area, the US, Japan, and the UK. I detect an impact for all countries, which is especially severe for the UK.

This paper shows that the empirically documented disinflationary nature of news shocks is consistent with the implications of a sensibly modified version of a New Keynesian model, even if capital is introduced to the model. The modification proposed in the current paper, however, is different...

Using a two-stage quantile regression framework, we uncover significant asymmetries across quantiles for all coefficients in an otherwise standard New Keynesian Phillips Curve (NKPC) for the euro area. A pure NKPC specification accurately captures inflation dynamics at high inflation quantiles.

Using a 219-year sample, we find that the US output growth and inflation volatilities fell by 60% and 76%, respectively, from 1945 until the mid-1960s. This Postwar Moderation is more substantial than the Great Moderation. The largest reduction in inflation volatility occurred during the...

This paper presents aggregate demand gaps for seven OECD countries using structural VAR estimation. These estimates are far more robust than HP-filtered series–typical estimates for GDP-gaps–and demonstrate that both aggregate demand and supply shocks were important in the recent global...

A New-Keynesian model with deep habits and optimal monetary policy delivers a larger-than-1 fiscal multiplier and consumption crowding in. Optimized Taylor-type rules dominate a conventional Taylor rule. Consumption is crowded out if the Taylor rule is suboptimal or if commitment is absent.

I measure the importance of sectoral shocks in US aggregate output by using the World Input–Output Table (WIOT). The WIOT allows me to correct potential sub-graph bias in previous literature, caused by using only the US industrial production input–output table. I report results from three...