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Regime Switching, Learning, and the Great Moderation
Murray, James - 2008
have rational expectations, but instead form expectations through least squares learning with an endogenously changing … learning gain. It has been suggested that this type of endogenously changing learning mechanism can create periods of excess … large variances for structural shocks, and the other state has relatively smaller variances. To assess whether learning can …
Persistent link: https://www.econbiz.de/10014218438
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Time-varying business volatility, price setting, and the real effects of monetary policy
Bachmann, Ruediger; Born, Benjamin; Elstner, Steffen; … - 2013
Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy into the real economy? To address this question, we estimate from the firm-level micro data of the German IFO Business Climate Survey the impact of idiosyncratic volatility on the...
Persistent link: https://www.econbiz.de/10009767295
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Monetary policy after the Great Moderation
Peña, Guillermo - In: Journal of central banking theory and practice 9 (2020) 3, pp. 5-26
The interferences among some financial, economic and monetary variables are checked as an indicator of economic performance in the long run and for the monetary policy applied between the Great Moderation (GM) of 1987-2001 and the Global Financial Crisis of 2007-2009. For achieving this target,...
Persistent link: https://www.econbiz.de/10012306740
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The Great Moderation : inventories, shocks or monetary policy?
Förster, Marcel - 2013
This paper presents a New Keynesian DSGE model with inventory holding firms. The model distinguishes between goods and materials, for both production as well as for inventories. The more detailed treatment of inventory holdings offers new insights into the determinants of business cycles before...
Persistent link: https://www.econbiz.de/10010208560
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10010320772
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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia (contributor) - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10003651439
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Monetary Policy Regimes and the Volatility of Long-Term Interest Rates
Queijo von Heideken, Virginia - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10012724824
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The dynamic volatility nexus of FinTech, innovative technology communication, and cryptocurrency indices during the crises period
Shaik, Muneer; Rabbani, Mustafa Raza; Nasef, Youssef Tarek - In: Journal of open innovation : technology, market, and … 9 (2023) 3, pp. 1-12
In this study, we investigate the dynamic volatility connectedness of FinTech, innovative technology communication, and cryptocurrency indices for the period from June 2018 to June 2022. We investigate the connectivity and risk spillovers before and after the COVID-19 period to understand the...
Persistent link: https://www.econbiz.de/10014504879
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Inflation and the great moderation : evidence from a large panel data set
Karras, Georgios - In: International journal of economic sciences and applied … 6 (2013) 3, pp. 7-19
This paper investigates the relationship between the Great Moderation and two measures of inflation performance: trend inflation and inflation volatility. Using annual data from 1970 to 2011 for a large panel of 180 developed and developing economies, the results show that, as expected, both...
Persistent link: https://www.econbiz.de/10010346738
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Time- or State-Dependence? An Analysis of Inflation Dynamics using German Business Survey Data
Carstensen, Kai; Schenkelberg, Heike - 2011
This paper evaluates the predictions of different price setting theories using a new dataset constructed from a large panel of business surveys of German retail firms over the period 1970-2010. The dataset contains firm-specific information on both price realizations and expectations....
Persistent link: https://www.econbiz.de/10010427610