Showing 1 - 10 of 12
This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors’ alternative rankings. The results show that the...
Persistent link: https://www.econbiz.de/10010397382
This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We...
Persistent link: https://www.econbiz.de/10010397645
In 1994 the FOMC began to release statements after each meeting. This paper investigates whether the public’s views about the current path of the economy and of future policy have been affected by changes in the Federal Reserve’s communications policy as reflected in private sector’s...
Persistent link: https://www.econbiz.de/10011604683
This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We...
Persistent link: https://www.econbiz.de/10005514550
In 1994 the FOMC began to release statements after each meeting. This paper investigates whether the public’s views about the current path of the economy and of future policy have been affected by changes in the Federal Reserve’s communications policy as reflected in private sector’s...
Persistent link: https://www.econbiz.de/10005530931
Persistent link: https://www.econbiz.de/10006430918
Persistent link: https://www.econbiz.de/10006439870
There prevails a view that the monetary policy in the Euro area has changed, especially after the European Monetary System (EMS) came into operation in 1979. The goal of this paper is to quantify (1) the extent to which policy regime has changed and (2) the counterfactual effects of such regimes...
Persistent link: https://www.econbiz.de/10005069588
This paper addresses two substantive issues: (1) Does the magnitude of the expectation effect of regime switching in monetary policy depend on a particular policy regime? (2) Under which regime is the expectation effect quantitatively important? Using two canonical DSGE models, we show that...
Persistent link: https://www.econbiz.de/10005069636
This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors’ alternative rankings. The results show that the...
Persistent link: https://www.econbiz.de/10005721748