We compare the out-of-sample predictive accuracy of a mixture of bond yield models with that of the individual models. The individual models considered here are the dynamic Nelson--Siegel model, arbitrage-free Nelson--Siegel model, and random-walk model. Out-of-sample forecasts for U.S. bond...

We study the welfare implication of average inflation targeting as a simple interest-rate rule, in which the monetary authority adjusts its short-term policy rate in response to the output gap as well as average inflation deviation from its target instead of reacting to the contemporaneous...

We investigate how conventional and unconventional monetary policies affect the dynamics of the yield curve by assessing the performance of individual yield curve models and their mixtures. Out-of-sample forecasts for U.S. bond yields show that the arbitrage-free Nelson-Siegel model and its...

We distinguish between the goods and services sectors in an otherwise standard unobserved components model of U.S. inflation. Our main finding is that, while both sectors used to contribute to the overall variation in aggregate trend inflation, since the 1990s this variation has been...

We evaluate and compare alternative monetary policy rules, namely average inflation targeting, price level targeting, and traditional inflation targeting rules, in a standard New Keynesian model that features recurring, transient zero lower bound regimes. We use determinacy and expectational...

I propose a Bayesian approach to making an inference about complicated patterns of structural breaks in time series. Structural break models in the literature are mainly considered for a simple case in which all the parameters under the structural changes are restricted to have breaks at the...

We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...