Showing 1 - 10 of 56
Over the last two centuries, the cross-spectral coherence between either narrow or broad money growth and inflation at the frequency ω=0 has exhibited little variation–being, most of the time, close to one–in the U.S., the U.K., and several other countries, thus implying that the fraction...
Persistent link: https://www.econbiz.de/10011605073
Based on standard New Keynesian models I show that policy counterfactuals based on the theoretical structural VAR representations of the models fail to reliably capture the impact of changes in the parameters of the Taylor rule on the (reduced-form) properties of the economy. Based on estimated...
Persistent link: https://www.econbiz.de/10011605234
We characterise the evolution of the U.S. unemployment-inflation trade-off since the late XIX century era via a Bayesian time-varying parameters structural VAR. The Great Inflation episode appears as historically unique along several dimensions. In particular, the shape of the ‘Phillips...
Persistent link: https://www.econbiz.de/10011605222
We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction,...
Persistent link: https://www.econbiz.de/10011605304
Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent identification schemes (i) spuriously detect...
Persistent link: https://www.econbiz.de/10012625337
Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent identification schemes (i) spuriously detect...
Persistent link: https://www.econbiz.de/10012520175
We search for the presence of hysteresis, which we define as aggregate demand shocks that have a permanent impact on real GDP, in the U.S., the Euro Area, and the U.K. Working with cointegrated structural VARs, we find essentially no evidence of such effects. Within a Classical statistical...
Persistent link: https://www.econbiz.de/10012437679
Evidence from monetary VARs suggests that in the U.S., Canada, and the U.K. 7 the impact of monetary shocks on real house prices is about three to five times as large 8 as that on real GDP. Although these trade-offs are not manifestly unfavorable, in the 9 light of the large differences in the...
Persistent link: https://www.econbiz.de/10012420719
M1 velocity is, approximately, the permanent component of the short-term rate. This implies that agents-in deciding how much wealth to allocate to non interest bearing M1, as opposed to interest-bearing assets-almost uniquely react to permanent shocks to the opportunity cost, essentially...
Persistent link: https://www.econbiz.de/10012420721
We use tests for multiple breaks at unknown points in the sample, and the Stock-Watson (1996, 1998) time-varying parameters median-unbiased estimation methodology, to investigate changes in the equilibrium rate of growth of labor productivity–both per hour and per worker–in the United...
Persistent link: https://www.econbiz.de/10011604764