Stylized facts on U.S. output and interest rates have so far proved hard to match with simple DSGE models. I estimate covariances between output, nominal and real interest rate conditional on structural shocks, since such evidence has largely been lacking in previous discussions of the...

This article presents a computationally efficient approach to sample from Gaussian state space models. The method is an instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known as precision). The novelty is to handle cases...

Earnings announcement event returns are significantly positive (negative) for loser(winner) stocks. Postevent drift is stronger for earnings surprises running counter totrends associated with stocks' classification as prior winners/losers or value/growth.These results are in accordance with...

When a policymaker is better informed than the public, public beliefs about the hidden informationemerge as additional state variables, managed by the policymaker. General methodsare presented to compute optimal commitment and discretion policies.Under commitment, policy is additive in two...

Monetary policy is most effective when public beliefs about future policies are activelymanaged. This is the appeal of policy rules and commitment strategies, typically absent underdiscretion. But when a policymaker has some private information — as is the case in reality— belief management...

No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, “CEV”) propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, thiscould help alleviate specification problems of SVARs in...