Typical dynamic general-equilibrium (DGE) models with stochastic productivity, consumers with state-separable (expected utility) preferences, and capital accumulation imply a small welfare cost of business cycles and a small market price of risk (i.e., equity premium). I present an analytical...

Motivated by issues raised in both the finance and economics literatures, I construct a dynamic general equilibrium model where agents use differing degrees of sophistication when forecasting future economic conditions. All agents solve standard dynamic optimization problems and face strategic...

This paper examines the performance of forecast-based nonlinear Taylor rules in a class of simple microfunded models. The paper shows that even if the policy rule leads to a locally determinate (and stable) inflation target, there exist other learnable "global" equilibria such as cycles and...

This paper revisits a number of data-rich prediction methods that are widely used in macroeconomic forecasting, such as factor models and Bayesian shrinkage regression, and compares these methods with a lesser known alternative: partial least squares regression. In this method, linear,...

Der Aufsatz untersucht einige populäre Methoden zur Messung des Output Gaps auf der Basis von aggregierten Daten für die Euro-Zone. Obwohl die Methoden einige wichtige gemeinsame Eigenschaften aufweisen, zeigen sie auch erhebliche Unterschiede; insbesondere ist die Korrelation zwischen...