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Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - 2014

We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)

Persistent link: https://www.econbiz.de/10012458272

Macroeconomic Regimes

Baele, Lieven - 2011

We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary...

Persistent link: https://www.econbiz.de/10012461567

Supply Shocks in Macroeconomics

Shapiro, Matthew D. - 1987

Supply shocks played an important role in macroeconomic fluctuations during the 1970's. Supply shocks are also increasingly important in Keynesian and neo-classical models of the business cycle. This paper is a short survey of these theoretical models. It also discusses the history of supply...

Persistent link: https://www.econbiz.de/10012476923

Supply Shocks, Wage Indexation and Monetary Accommodation

Aizenman, Joshua - 1985

This paper develops a unified framework for the analysis of wage indexation and monetary policy in the presence of supply shocks. We first present simple formulae for the optimal wage indexation rule and for the optimal money supply rule. In order to set the stage for an evaluation of departures...

Persistent link: https://www.econbiz.de/10012477473

Macroeconomics Forecasts and Microeconomic Forecasters

Lamont, Owen - 1995

In the presence of principal-agent problems, published macroeconomic forecasts by professional economists may not measure expectations. Forecasters may use their forecasts in order to manipulate beliefs about their ability. I test a cross-sectional implication of models of reputation and...

Persistent link: https://www.econbiz.de/10012473586

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10012467213

When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks

Beaudry, Paul - 2015

When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However,...

Persistent link: https://www.econbiz.de/10012457202

How Important Are Terms Of Trade Shocks?

Schmitt-Grohé, Stephanie - 2015

According to conventional wisdom, terms of trade shocks represent a major source of business cycles in emerging and poor countries. This view is largely based on the analysis of calibrated business-cycle models. We argue that the view that emerges from empirical SVAR models is strikingly...

Persistent link: https://www.econbiz.de/10012457414

Shock Elasticities and Impulse Responses

Borovička, Jaroslav - 2014

We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse … response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure … the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next …

Persistent link: https://www.econbiz.de/10012458560

Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate

Ravn, Morten O. - 2007

government spending shock. In addition, the deep-habit model predicts that in response to an anticipated increase in government …

Persistent link: https://www.econbiz.de/10012465322