In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a rational...

This paper derives the LIML estimator for a spatial autoregressive model with endogenous regressors in the presence of many instruments. The LIML estimator is consistent when the number of instruments increases at a slower rate relative to the sample size. Due to spatial correlation, the LIML...

The concept of NAIRU summarized the observed negative correlation between the unemployment rate and the inflation rate for a number of countries. This correlation persuaded some analysts of the impossibility for governments to simultaneously target both low unemployment and price stability....

A particularly useful approach for analyzing pooled cross sectional and time series data is Swamy's random coefficient panel data (RCPD) model. This paper examines the performance of Swamy's estimators and tests associated with this model by using Monte Carlo simulation. The Monte Carlo study...

Standard simple-sum monetary aggregates, like M3, sum up monetary assets that are imperfect substitutes and provide different transaction and investment services. Divisia monetary aggregates, originated from Barnett (1980), are derived from economic aggregation and index number theory and aim to...

Standard simple-sum monetary aggregates, like M3, sum up monetary assets that are imperfect substitutes and provide different transaction and investment services. Divisia monetary aggregates, originated from Barnett (1980), are derived from economic aggregatio and index number theory and aim to...

The current financial crisis followed the “great moderation,” according to which the world’s central banks had gotten so good at countercyclical policy that the business cycle no longer existed. As more and more economists and media people became convinced that the risk of recessions had...

This paper explores the disconnect of Federal Reserve data from index number theory. A consequence could have been the decreased systemic-risk misperceptions that contributed to excess risk taking prior to the housing bust. We find that most recessions in the past 50 years were preceded by more...

The current financial crisis followed the “great moderation,” according to which some commentators and economists believed that the world’s central banks had gotten so good at countercyclical policy that the business cycle volatility had declined to low levels. As more and more economists...

This paper explores the disconnect of Federal Reserve data from index number theory. A consequence could have been the decreased systemic-risk misperceptions that contributed to excess risk taking prior to the housing bust. We find that most recessions in the past 50 years were preceded by more...