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VAR analysis and the Great Moderation
Benati, Luca; Surico, Paolo - 2008
Most analyses of the U.S. Great Moderation have been based on structural VAR methods, and have consistently pointed towards good luck as the main explanation for the greater macroeconomic stability of recent years. Based on an estimated New-Keynesian model in which the only source of change is...
Persistent link: https://www.econbiz.de/10011604912
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Understanding the New Keynesian model when monetary policy switches regimes
Farmer, Roger E. A.; Waggoner, Daniel F.; Zha, Tao - 2007
conditions for indeterminacy that are easy to implement and we show that the necessary and sufficient condition for determinacy … indeterminacy in a passive regime may spill over to an active regime no matter how active the latter regime is. As a result, a …
Persistent link: https://www.econbiz.de/10010292275
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A note on instability and indeterminacy in search and matching models
Krause, Michael U.; Lubik, Thomas A. - 2004
We demonstrate the possibility of indeterminacy and non-existence of equilibrium dynamics in a standard business cycle …
Persistent link: https://www.econbiz.de/10010293499
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A sunspot paradox
Hintermaier, Thomas - 2004
Calibrated models of the business cycle typically assume a certain frequency at which economic agents take decisions. In this paper I show that the local stability properties of dynamic stochastic general equilibrium macro models may depend on the length of a period in the model economy. This...
Persistent link: https://www.econbiz.de/10010293732
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News versus sunspot shocks in a New Keynesian model
Karnizova, Lilia - 2010
Separately, news and sunspot shocks have been shown empirically to be determinants of changes in expectations. This paper considers both of them together in a simple New Keynesian monetary business cycle model. A full set of rational expectations solutions is derived analytically. The analytical...
Persistent link: https://www.econbiz.de/10010300024
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News versus sunspot shocks in a New Keynesian model
Karnizova, Lilia - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-19, pp. 1-27
Separately, news and sunspot shocks have been shown empirically to be determinants of changes in expectations. This paper considers both of them together in a simple New Keynesian monetary business cycle model. A full set of rational expectations solutions is derived analytically. The analytical...
Persistent link: https://www.econbiz.de/10010300732
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Instability and indeterminacy in a simple search and matching model
Krause, Michael; Lubik, Thomas A. - 2010
We demonstrate the possibility of indeterminacy and non-existence of equilibrium dynamics in a standard business cycle …
Persistent link: https://www.econbiz.de/10010303900
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Determinacy of equilibrium under various Phillips curves
Ono, Yoshiyasu - 2008
Determinacy of equilibrium under the original, the backward-looking, the forward-looking and the hybrid Phillips curves is examined. If the monetary authority keeps the nominal money stock to be constant, the equilibrium path is always determinate under the original Phillips curve and the...
Persistent link: https://www.econbiz.de/10010332226
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Local home environment externality is a source of indeterminacy
Kuwahara, Shiro; Yamada, Katsunori - 2008
source of indeterminacy. …
Persistent link: https://www.econbiz.de/10010332308
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Endogenous indeterminacy and volatility of asset prices under ambiguity
Mandler, Michael - In: Theoretical Economics 8 (2013) 3, pp. 729-750
If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in … the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply … systematically. That indeterminacy arises only at a knife-edge set of aggregate supplies allows for a simple explanation of the …
Persistent link: https://www.econbiz.de/10011599497