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VAR analysis and the Great Moderation
Benati, Luca; Surico, Paolo - 2008
Most analyses of the U.S. Great Moderation have been based on structural VAR methods, and have consistently pointed towards good luck as the main explanation for the greater macroeconomic stability of recent years. Based on an estimated New-Keynesian model in which the only source of change is...
Persistent link: https://www.econbiz.de/10011604912
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The Great Moderation and the ‘Bernanke Conjecture’
Benati, Luca; Surico, Paolo - Society for Computational Economics - SCE - 2006
Was the Great Moderation in the United States due to good policy or good luck? Taking, as data generation process, a New Keynesian sticky-price model in which the only source of change is the move from a passive to an active monetary rule, we show how standard econometric methods, both...
Persistent link: https://www.econbiz.de/10005342934
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Monetary Policy Shifts, Indeterminacy and Inflation Dynamics
Surico, Paolo - EconWPA - 2005
simulations from a purely forward-looking model, this paper shows that indeterminacy can introduce a sizable persistence in the … self full-filling expectations. By neglecting indeterminacy the estimates of the forward- looking term of the Phillips …
Persistent link: https://www.econbiz.de/10005126312
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The Price Puzzle and Indeterminacy
Castelnuovo, Efrem; Surico, Paolo - EconWPA - 2005
omission in the VARs of a variable capturing the high persistence of expected inflation under indeterminacy is found to account …
Persistent link: https://www.econbiz.de/10005126381
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The Empirical Relevance of the Lucas Critique
Surico, Paolo; Lubik, Thomas - Society for Computational Economics - SCE - 2006
central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the …
Persistent link: https://www.econbiz.de/10005132606
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Monetary Policy Shifts, Indeterminacy and Inflation Dynamics
Surico, Paolo - Society for Computational Economics - SCE - 2005
simulations from a purely forward-looking model, this paper shows that indeterminacy can introduce a sizable persistence in the … the policy regime and results from the self full-filling nature of inflation expectations. By neglecting indeterminacy the …
Persistent link: https://www.econbiz.de/10005132684
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The Price Puzzle: Fact or Artefact?
Castelnuovo, Efrem; Surico, Paolo - EconWPA - 2005
the high persistence of expected inflation under indeterminacy is found to account for the price puzzle observed in actual …
Persistent link: https://www.econbiz.de/10005561209
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VAR analysis and the Great Moderation
Benati, Luca; Surico, Paolo - European Central Bank - 2008
Most analyses of the U.S. Great Moderation have been based on structural VAR methods, and have consistently pointed towards good luck as the main explanation for the greater macroeconomic stability of recent years. Based on an estimated New-Keynesian model in which the only source of change is...
Persistent link: https://www.econbiz.de/10005222320