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Uncertainty Shocks and Inflation Dynamics in the US

Haque, Qazi; Magnusson, Leandro M. - 2020

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using post- WWII U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid-to-late 1990s and negative thereafter. Our findings...

Persistent link: https://www.econbiz.de/10014090743

Towards technology-news-driven business cycles

Di Casola, Paola; Sichlimiris, Spyridon - 2018

.S. economy. This shock acts like a demand shock: it induces strong positive comovement in real quantities - GDP, consumption …

Persistent link: https://www.econbiz.de/10011930326

Unobserved components model(s) : output gaps and financial cycles

Guillochon, Justine; Le Roux, Julien - 2023

The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...

Persistent link: https://www.econbiz.de/10014343145

Liquidity, inflation and asset prices in a time-varying framework for the euro area

Baumeister, Christiane; Durinck, Eveline; Peersman, Gert - 2008

Persistent link: https://www.econbiz.de/10003769044

Liquidity, inflation and asset prices in a time-varying framework for the euro area

Baumeister, Christiane; Durinck, Eveline; Peersman, Gert - 2008

In this paper, we investigate how the dynamic effects of excess liquidity shocks on economic activity, asset prices and inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity (M1, M3-M1 or credit) and the underlying state...

Persistent link: https://www.econbiz.de/10011610148

Bad Luck, Bad Policy, and Learning? A Markov-Switching Approach to Understanding Postwar U.S. Macroeconomic Dynamics

Best, Gabriela - 2019

In this paper we analyze changes in the Federal Reserve behavior and objectives since the1960s justified by potentially evolving beliefs—through a real-time learning process—aboutthe structure of the economy and shifts in policymakers' preferences in the late 1970s. In addition, we allow for...

Persistent link: https://www.econbiz.de/10012903175

Understanding post-COVID inflation dynamics

Harding, Martín; Lindé, Jesper; Trabandt, Mathias - 2022 - Last updated: December 13, 2022

We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. The nonlinear Phillips curve in our model arises due to a quasi-kinked demand schedule for goods produced by...

Persistent link: https://www.econbiz.de/10013466150

Business cycle implications of mortgage spreads

Walentin, Karl - 2014 - September 2013 (Updated March 2014)

increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively. These …

Persistent link: https://www.econbiz.de/10010202977

Semi-structural VAR and unobserved components models to estimate finance-neutral output gap

Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020

The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced economies using two unobserved components models: a reduced form extended Hodrick-Prescott filter, and a standard semi-structural unobserved components model. To complement...

Persistent link: https://www.econbiz.de/10012320331

Business-cycle consumption risk and asset prices

Bandi, Federico M. - 2020

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 … aggregation of returns and consumption growth over suitable horizons. Consistent with our formalization, we show that the factor … loadings associated with consumption growth aggregated over a 2-year horizon have similar pricing ability as those associated …

Persistent link: https://www.econbiz.de/10012856904