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Central Bank Credibility: An Historical and Quantitative Exploration
Bordo, Michael David; Siklos, Pierre L. - National Bureau of Economic Research (NBER) - 2015
significant. Nevertheless, no robust empirical connection between the size of an economic shock (e.g., the Great Depression) and … the shock can be associated with policy errors. …
Persistent link: https://www.econbiz.de/10011119808
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Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective
Bordo, Michael David; Siklos, Pierre - National Bureau of Economic Research (NBER) - 2014
This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...
Persistent link: https://www.econbiz.de/10011079872
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Assessing DSGE Model Nonlinearities
Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013
We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...
Persistent link: https://www.econbiz.de/10010969293
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Estimating Turning Points Using Large Data Sets
Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2010
Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common...
Persistent link: https://www.econbiz.de/10008727872
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DSGE Models in a Data-Rich Environment
Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10005714295
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Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007
Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...
Persistent link: https://www.econbiz.de/10005828664
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Small Noise Asymptotics for a Stochastic Growth Model
Williams, Noah - National Bureau of Economic Research (NBER) - 2003
We develop analytic asymptotic methods to characterize time series properties of nonlinear dynamic stochastic models. We focus on a stochastic growth model which is representative of the models underlying much of modern macroeconomics. Taking limits as the stochastic shocks become small, we...
Persistent link: https://www.econbiz.de/10005828710
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Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production
Sarte, Pierre Daniel; Watson, Mark W.; Foerster, Andrew T. - National Bureau of Economic Research (NBER) - 2008
This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...
Persistent link: https://www.econbiz.de/10005830067
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How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005774407
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Global Business Cycles: Convergence or Decoupling?
Kose, Ayhan; Otrok, Christopher; Prasad, Eswar - National Bureau of Economic Research (NBER) - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10005777599