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Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005
This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...
Persistent link: https://www.econbiz.de/10011583556
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Forecasting performance of an open economy Dynamic Stochastic General Equilibrium model
Adolfson, Malin; Lindé, Jesper; Villani, Mattias - 2006 - Revised
This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …
Persistent link: https://www.econbiz.de/10011584035
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Depression econometrics : a FAVAR model of monetary policy during the great depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009
The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...
Persistent link: https://www.econbiz.de/10003904615
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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DSGE Model-Based Forecasting of Non-Modelled Variables
Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - 2019
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10014214672
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Exchange Rate Pass-Through into Euro Area Inflation. An Estimated Structural Model
Burlon, Lorenzo - 2019
We evaluate the exchange rate pass-through (ERPT) into euro area (EA) inflation by estimating an open economy New Keynesian model with Bayesian methods. In the model ERPT is incomplete because of local currency pricing and distribution services, with the latter allowing to distinguish between...
Persistent link: https://www.econbiz.de/10012867175
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The Effects of Conventional and Unconventional Monetary Policy on Forecasting the Yield Curve
Eo, Yunjong - 2020
. The diminished role of the no-arbitrage restriction in forecasting the yield curve since 2009 can be attributed to …
Persistent link: https://www.econbiz.de/10012849587
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Does money still matter for U.S. output?
Berger, Helge (contributor); Österholm, Pär (contributor) - 2008
-of-sample forecasting ; granger causality ; money ; output ; federal reserve ; Volcker …
Persistent link: https://www.econbiz.de/10003726100
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Modest Policy Interventions
Leeper, Eric M. - 2015
This paper brings together identification and forecasting in a positive econometric analysis of policy. We contend that …
Persistent link: https://www.econbiz.de/10013032673
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Assessing Simple Policy Rules : A View from a Complete Macro Model
Leeper, Eric M.; Zha, Tao A. - 2014
We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions...
Persistent link: https://www.econbiz.de/10014048924