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Density-conditional forecasts in dynamic multivariate models

Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010

When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...

Persistent link: https://www.econbiz.de/10009792830

Should central banks be more aggressive?

Söderström, Ulf - 1999

Simple models of monetary policy often imply optimal policy behavior that is considerably more aggressive than what is commonly observed. This paper argues that such counterfactual implications are due to model restrictions and a failure to account for multiplicative parameter uncertainty,...

Persistent link: https://www.econbiz.de/10011584195

Uncertainty about length of the monetary policy transmission lag : implications for monetary policy

Ha, Yuong - 1999

Using stochastic simulations of the Reserve Bank of New Zealand s macroeconomic model, this paper examines the implications for monetary policy of uncertainty about the length of the monetary policy transmission lag. Uncertainty is examined from two perspectives. The first investigates the...

Persistent link: https://www.econbiz.de/10011585387

Secular economic changes and bond yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2021 - Last updated: March 19, 2021

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth....

Persistent link: https://www.econbiz.de/10012488074

Uncertain potential output : implications for monetary policy

Ehrmann, Michael - 2001

Persistent link: https://www.econbiz.de/10013434349

Non-standard central bank loss functions, skewed risks, and certainty equivalance

Al-Nowaihi, Ali - 2002

Persistent link: https://www.econbiz.de/10013434451

Modeling model uncertainty : international seminar on macroeconomics

Onatski, Alexei - 2002

Persistent link: https://www.econbiz.de/10013434492

International monetary policy coordination and financial market integration

Sutherland, Alan - 2002

Persistent link: https://www.econbiz.de/10013434500

How do agents form macroeconomic expectations? : evidence from inflation uncertainty

Wang, Tao - 2024 - Last updated: February 16, 2024

This paper studies the behaviors of uncertainty through the lens of several popular models of expectation formation. The full-information rational expectations model (FIRE) predicts that both the ex ante uncertainty and the variance of ex post forecast errors are equal to the conditional...

Persistent link: https://www.econbiz.de/10014475397

Perceived versus calibrated income risks in heterogeneous-agent consumption models

Wang, Tao - 2023 - Last updated: December 27, 2023

calibrate the size of income risk to match panel data on household income dynamics. But, for several reasons, what is measured … as risk from such data may not correspond to the risk perceived by the agent. This paper instead uses data from the … differential precautionary saving motives. I also explore the implications of the fact that the perceived risk is lower than the …

Persistent link: https://www.econbiz.de/10014456727

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