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The General Theory of Employment, Interest, and Money after 75 Years : The Importance of Being in the Right Place at the Right Time
Luzzetti, Matthew N. - 2011
This paper studies why the General Theory had so much impact on the economics profession through the 1960s, why that … impact began to wane in the 1970s, and why many economic policymakers cling to many of the tenets of the General Theory. We … qualitatively to patterns discussed in the General Theory, that econometric developments in the area of simultaneous equations made …
Persistent link: https://www.econbiz.de/10013131957
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Understanding the New-Keynesian Model When Monetary Policy Switches Regimes
Farmer, Roger E. A. - 2007
This paper studies a New-Keynesian model in which monetary policy may switch between regimes. We derive sufficient conditions for indeterminacy that are easy to implement and we show that the necessary and sufficient condition for determinacy, provided by Davig and Leeper, is necessary but not...
Persistent link: https://www.econbiz.de/10012777388
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The Four Equation New Keynesian Model
Sims, Eric R. - 2019
This paper develops a New Keynesian model featuring financial intermediation, short and long term bonds, credit shocks, and scope for unconventional monetary policy. The log-linearized model reduces to four key equations – a Phillips curve, an IS equation, and policy rules for the short term...
Persistent link: https://www.econbiz.de/10012866704
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Does the New Keynesian Model Have a Uniqueness Problem?
Christiano, Lawrence J. - 2018
This paper addresses whether non-uniqueness of equilibrium is a substantive problem for the analysis of fiscal policy in New-Keynesian (NK) models at the zero lower bound (ZLB). There would be a substantive problem if there were no compelling way to select among different equilibria that give...
Persistent link: https://www.econbiz.de/10012918639
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Keynesian, New Keynesian, and New Classical Economics
Greenwald, Bruce C. N.; Stiglitz, Joseph E. - 2021
Much of the new theory of macro-economics that has been built upon micro-economic models of imperfect information leads …
Persistent link: https://www.econbiz.de/10013226085
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Interest-Rate Smoothing
Barro, Robert J. - 2010
monetary base and the price level at these times differed from the post-World War I1 experience in ways predicted by the theory …
Persistent link: https://www.econbiz.de/10013139987
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The Central Tendency : A Second Factor in Bond Yields
Balduzzi, Pierluigi - 2008
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are notquot; sufficient to predict future short-term rates movements, as would be the case if the centralquot; tendency was...
Persistent link: https://www.econbiz.de/10012774919
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A Simple Test of the Effect of Interest Rate Defense
Drazen, Allan - 2007
High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals. We test the effectiveness of the interest rate defense by disaggregating into the effects on future interest rates differentials, expectations of...
Persistent link: https://www.econbiz.de/10012778233
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2010
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...
Persistent link: https://www.econbiz.de/10012761268
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On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates
Pesando, James E. - 2010
The paper first identifies how large must be the range in which ex ante yields on long-relative to short-term bonds vary if term premiums -- are to account for a significant fraction of the variance of the holding- period yields on long-term bonds. This paper then extends Shiller's bound to the...
Persistent link: https://www.econbiz.de/10012763138