We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary...

This paper presents a small-sample study of the threeequation- three variable New-Keynesian macro model. While the point estimates imply that the Fed has been stabilizing inflation fluctuations since 1980, our econometric analysis suggests considerable uncertainty regarding the stance of the Fed...

This paper derives a recursive method and the corresponding forward solution for linear Rational Expectations (RE) models in the class of fundamental solutions. Our recursive method is a generalization of the traditional forward method of recursive substitution when predetermined variables are...

A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and...

Department: Economics.

This paper proposes forward convergence as a model refinement scheme for linear rational expectations (LRE) models and an associated no-bubble condition as a solution selection criterion. We relate these two concepts to determinacy and characterize the complete set of economically relevant...

Markov-switching rational expectations (MSRE) models can yield fresh insights beyond what linear rational expectations (LRE) models have done for macroeconomics, as Davig and Leeper (2007) and Farmer, Waggoner and Zha (2009), among others, have noted and predicted. A lack of tractable...

In a general class of Markov-switching rational expectations models, this study derives necessary and sufficient conditions for determinacy, indeterminacy and the case of no stable solution. Classification of the models into these three mutually disjoint and exhaustive subsets is completely...

Many studies have investigated the predictive contents of the term spreads for future inflation and real activity since the 1990s, which was the time when some countries adopted inflation targeting (IT). As notable as the number of studies are the diversity and heterogeneity of the empirical...