Showing 1 - 10 of 18
Motivated by the use of forward guidance, we propose a method to estimate DSGE models in which the central bank holds the policy rate fixed for an extended period. Private agents’ beliefs about how long the fixed-rate regime will last influences, among other observable variables, current...
Persistent link: https://www.econbiz.de/10011127211
We investigate the role of public, private, and external debt in explaining the propagation of …nancial shocks during three major …nancial crises from 2007-2013. For our analysis, we construct indices of crisis severity in equity markets based on di¤erent tests of contagion and investigate...
Persistent link: https://www.econbiz.de/10011185448
Why did the volatility of U.S. real GDP decline by more than the volatility of final sales with the Great Moderation in the mid-1980s? One explanation is that firms shifted their inventory behavior towards a greater emphasis on production smoothing. We investigate the role of inventories in the...
Persistent link: https://www.econbiz.de/10011185449
We examine the relative importance of the interest rate, exchange rate, and banklending channels for the transmission mechanism of monetary policy in the United States over the past 50 years. Our analysis is based on a structural vector autoregressive model that includes bank loans and uses sign...
Persistent link: https://www.econbiz.de/10011185450
This paper proposes a modified present-value model that takes into account the fact that movements in the price-rent ratio for housing may not be mean-reverting. Our approach decomposes the price-rent ratio into expected real rent growth, expected housing return and a non-present-value (NPV)...
Persistent link: https://www.econbiz.de/10010765388
This paper proposes a modified present-value model that takes into account the fact that movements in the price-rent ratio for housing may not be mean-reverting. Our approach decomposes the price-rent ratio into expected real rent growth, expected housing return and a non-present-value (NPV)...
Persistent link: https://www.econbiz.de/10010772594
In the aftermath of the global financial crisis, competing measures of the trend in macroeconomic variables such as US real GDP have featured prominently in policy debates. A key question is whether the large shocks to macroeconomic variables will have permanent effects—i.e., in econometric...
Persistent link: https://www.econbiz.de/10010900329
We investigate the eects of government spending on U.S. output with a threshold structural vector autoregressive model. We consider Bayesian model comparison and generalized impulse response analysis to test for nonlinearities in the responses of output to government spending. Our empirical...
Persistent link: https://www.econbiz.de/10010900330
Motivated by the increasing use of forward guidance, we consider DSGE models in which the central bank holds the policy rate fixed for an extended period of time. Private agents' beliefs about how long the fixed-rate regime will last in uences current output and in ation. We estimate the...
Persistent link: https://www.econbiz.de/10010791594
We consider the extent to which different time-series models can generate simulated data with the same business cycle features that are evident in U.S. real GDP. We focus our analysis on whether multivariate linear models can improve on the previously documented failure of univariate linear...
Persistent link: https://www.econbiz.de/10010548632