This chapter develops a toolkit of neoclassical macroeconomic models, and applies these models to the US economy from 1929 to 2014. We first filter macroeconomic time series into business cycle and long-run components, and show that the long-run component is typically much larger than the...

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders...

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation seems to be dominated by its trend component, and, perhaps as a result of this, the short-term interest rate is also trend dominated; and (b) consumption also seems to be...