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Learning the Fiscal Theory of the Price Level : Some Consequences of Debt Management Policy

Eusepi, Stefano - 2011

This paper examines how the scale and composition of public debt can affect economies that implement a combination of “passive” monetary policy and “active” fiscal policy. This policy configuration is argued to be of both historical and contemporary interest in the cases of the U.S. and...

Persistent link: https://www.econbiz.de/10013120094

Fiscal Foundations of Inflation : Imperfect Knowledge

Eusepi, Stefano - 2013

This paper proposes a theory of the fiscal foundations of inflation based on imperfect knowledge and learning. The theory is similar in spirit to, but distinct from, unpleasant monetarist arithmetic and the fiscal theory of the price level. Because the assumption of imperfect knowledge breaks...

Persistent link: https://www.econbiz.de/10013074021

Stabilizing Expectations under Monetary and Fiscal Policy Coordination

Eusepi, Stefano; Preston, Bruce J. - 2008

This paper analyzes how the formation of expectations constrains monetary and fiscal policy design. Economic agents have imperfect knowledge about the economic environment and the policy regime in place. Households and firms learn about the policy regime using historical data. Regime uncertainty...

Persistent link: https://www.econbiz.de/10014214924

Fitting Observed Inflation Expectations

Del Negro, Marco - 2010

This paper provides evidence on the extent to which inflation expectations generated by a standard Christiano et al. (2005)/Smets and Wouters (2003)-type DSGE model are in line with what is observed in the data. We consider three variants of this model that differ in terms of the behavior of,...

Persistent link: https://www.econbiz.de/10013135443

Subjective Intertemporal Substitution

Crump, Richard K. - 2020

We estimate the elasticity of intertemporal substitution (EIS)—the response of expected consumption growth to changes …). This unique data set allows us to estimate the consumption Euler equation with no auxiliary assumptions on the properties … with the results of much of the literature. In addition, planned consumption displays excess sensitivity to expected income …

Persistent link: https://www.econbiz.de/10012856136

When Does a Central Bank's Balance Sheet Require Fiscal Support?

Del Negro, Marco - 2014

Using a simple general equilibrium model, we argue that it would be appropriate for a central bank with a large balance sheet composed of long-duration nominal assets to have access to, and be willing to ask for, support for its balance sheet by the fiscal authority. Otherwise its ability to...

Persistent link: https://www.econbiz.de/10013043485

The Forward Guidance Puzzle

Del Negro, Marco - 2012

With short-term interest rates at the zero lower bound, forward guidance has become a key tool for central bankers, and yet we know little about its effectiveness. Standard medium-scale DSGE models tend to grossly overestimate the impact of forward guidance on the macroeconomy — a phenomenon...

Persistent link: https://www.econbiz.de/10013099189

Time-Varying Structural Vector Autoregressions and Monetary Policy : A Corrigendum

Del Negro, Marco - 2013

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with...

Persistent link: https://www.econbiz.de/10013081874

The FRBNY DSGE Model

Del Negro, Marco - 2013

The goal of this paper is to present the dynamic stochastic general equilibrium (DSGE) model developed and used at the Federal Reserve Bank of New York. The paper describes how the model works, how it is estimated, how it rationalizes past history, including the Great Recession, and how it is...

Persistent link: https://www.econbiz.de/10013074011

Monetary Policy Frameworks and the Effective Lower Bound on Interest Rates

Mertens, Thomas M. - 2019

This paper applies a standard New Keynesian model to analyze the effects of monetary policy in the presence of a low natural rate of interest and a lower bound on interest rates. Under a standard inflation-targeting approach, inflation expectations will be anchored at a level below the inflation...

Persistent link: https://www.econbiz.de/10012867264