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Taylor-rule consistent estimates of the natural rate of interest
Brand, Claus; Mazelis, Falk - 2019
We estimate the natural rate of interest for the US and the euro area in a semi-structural model comprising a Taylor rule. Our estimates feature key elements of Laubach and Williams (2003), but are more consistent with using conventional policy rules: we model inflation to be stationary, with...
Persistent link: https://www.econbiz.de/10011994643
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the …
Persistent link: https://www.econbiz.de/10012818429
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Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10011966001
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Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints
Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020 - Current version: October 9, 2020
Persistent link: https://www.econbiz.de/10013206020
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Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints
Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020
Persistent link: https://www.econbiz.de/10012314239
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4707-4716
Persistent link: https://www.econbiz.de/10014430060
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Estimating the US trend short-term interest rate
Beechey, Meredith Jane; Österholm, Pär; Poon, Aubrey - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473294
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Modeling changes in US monetary policy
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - 2016
Persistent link: https://www.econbiz.de/10012176808
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Disentangling permanent and transitory monetary shocks with a nonlinear taylor rule
Lafuente, Juan Angel; Monfort, Mercedes; Pérez, Rafaela; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 150-162
This article provides an estimation method to decompose monetary policy innovations into persistent and transitory … evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the …
Persistent link: https://www.econbiz.de/10012887149
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Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints
Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - In: Review of economic dynamics 41 (2021), pp. 96-120
Persistent link: https://www.econbiz.de/10012872924