We extend the work done in our “Redux” paper from Oct 2011 to find a weighted composite U.S coincident economic index (CEI) that includes non-zero weightings from all 50 states and when used in a standard Probit model, produces a perfect correlation (R2 of 1) to NBER recession dating. We...

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

The dynamic properties of the The New Keynesian Phillips curve (NPC) is analysed within the framework of a small system of linear di.erence equations.We evaluate the empirical results of existing studies which uses ‘Euroland’ and US data. The debate has been centered around the...

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the increase in liquidity has contributed to the formation of price bubbles in asset markets in the years preceding the financial crisis. If...

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the increase in liquidity has contributed to the formation of price bubbles in asset markets in the years preceding the financial crisis. If...

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane yielding the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated monetary...

This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic...

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...