Barksy-Miron [1989] find that the postwar U.S. economy exhibits a regular seasonal cycle, as well as the business cycle phenomenon. Are these findings consistent with current equilibrium business cycle theories as surveyed by Prescott [1986]? We consider a dynamic, stochastic equilibrium...

Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission

The initial release of the Chicago Fed National Activity Index (CFNAI) in early 2001 pointed to the very real possibility that the U.S. economy was teetering on the brink of recession. This article quantifies the statistical ability of the CFNAI to act as an early warning indicator of economic...

Our case study of the 1995 economic slowdown reveals that part of the widespread deterioration in economic indicators was predictable in light of 1994 monetary policy actions. But it was also partly unanticipated due to a modest adverse supply shock in the first quarter of 1995.

This chapter reviews recent research that grapples with the question: What happens after an exogenous shock to monetary policy? We argue that this question is interesting because it lies at the center of a particular approach to assessing the empirical plausibility of structural economic models...

Monetary policy research using time series methods has been criticized for using more information than the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of...

The objective of this paper is to show an alternative technique to smooth time series from Monte Carlo Simulations. The technique considers that time series can contain more than one structural break, coming from movements in coefficients of trend or from intercept. The Hodrick-Prescott Filter...

We ask how macroeconomic and financial variables respond to empirical measures of shocks to technology, labor supply, and monetary policy. These three shocks account for the preponderance of output, productivity, and price fluctuations. Only technology shocks have a permanent impact on economic...