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Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."

Del Negro, Marco - 2003

Cogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables-inflation, unemployment, and the nominal interest rate-and two...

Persistent link: https://www.econbiz.de/10010397377

Learning and monetary policy shifts

Schorfheide, Frank - 2003

This paper estimates a dynamic stochastic equilibrium model in which agents use a Bayesian rule to learn about the state of monetary policy. Monetary policy follows a nominal interest rate rule that is subject to regime shifts. The following results are obtained. First, the author's policy...

Persistent link: https://www.econbiz.de/10010397384

Inflation scares and forecast-based monetary policy

Orphanides, Athanasios; Williams, John C. - 2003

Central banks pay close attention to inflation expectations. In standard models, however, inflation expectations are tied down by the assumption of rational expectations and should be of little independent interest to policy makers. In this paper, the authors relax the assumption of rational...

Persistent link: https://www.econbiz.de/10010397398

Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.

Cogley, Timothy; Sargent, Thomas J. - 2003

For a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of...

Persistent link: https://www.econbiz.de/10010397409

Irrational expectations and econometric practice: discussion of Orphanides and Williams, "Inflation scares and forecast-based monetary policy"

Ireland, Peter N. - 2003

Athanasios Orphanides and John C. Williams' excellent conference paper, "Inflation Scares and Forecast-Based Monetary Policy," contributes importantly to the new and rapidly growing branch of the literature on bounded rationality and learning in macroeconomics. Their paper, like many others,...

Persistent link: https://www.econbiz.de/10010397411

Improving inflation forecasts in the medium to long term

Zaman, Saeed - In: Economic Commentary (2013) Nov

To accurately forecast the future rate of inflation, it is imperative to account for inflation’s underlying trend. This is especially important for medium- to long-run forecasts. In this Commentary I demonstrate a simple but powerful technique for incorporating this trend into standard...

Persistent link: https://www.econbiz.de/10011210724

Comparing inflation expectations of households and economists

Hvidding, James M. - In: Economic Review (1988) Q II, pp. 37-40

Persistent link: https://www.econbiz.de/10005360767

Are Phillips curves useful for forecasting inflation?

Atkeson, Andrew; Lee E. Ohanian. - In: Quarterly Review (2001) Win, pp. 2-11

This study evaluates the conventional wisdom that modern Phillips curve-based models are useful tools for forecasting …

Persistent link: https://www.econbiz.de/10005360876

What do asset prices tell us about the future?

Smith, Stephen D. - In: Economic Review (1999) Q3, pp. 4-13

It is fairly obvious that in market-based economies prices act as a constraint on individual behavior, providing a means by which goods and services flow to those most willing and able to pay for them. But prices play an additional role in the economy-that of signaling the present and expected...

Persistent link: https://www.econbiz.de/10005361112

Real-time inflation forecasting in a changing world

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - Federal Reserve Bank of New York - 2009

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts … evidence of autonomous variance breaks and inflation gap persistence. Through a real-time out-of-sample forecasting exercise … quarterly inflation relative to an extended range of forecasting models that are typically used in the literature. …

Persistent link: https://www.econbiz.de/10005078430

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