Wage stickiness is incorporated to a New-Keynesian model with variable capital in a way that generates endogenous unemployment fluctuations as the log difference between aggregate labor supply and aggregate labor demand. After estimation with U.S. data, the implied second-moment statistics of...

Erceg, Henderson and Levin (2000, Journal of Monetary Economics) introduce sticky wages in a New-Keynesian general-equilibrium model. Alternatively, it is shown here how wage stickiness may bring unemployment fluctuations into a New-Keynesian model. Using Bayesian econometric techniques, both...

Questo lavoro propone un indicatore coincidente di attività economica ad alta frequenza, mediante l’utilizzo di un dynamic factor model costruito secondo l’approccio di Stock e Watson (1998a,b). Tale metodologia prevede l’applicazione dell’analisi delle componenti principali per...

Survey data on manufacturing firms are usually analysed on an aggregate basis, calculating for each question the so-called "balance" between the number of positive and negative replies. The simple average of selected balances is then commonly used to calculate the confidence indicator. While...

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short- and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...

We quantify the impact of government spending shocks in the US. Thereby, we control for fiscal foresight by utilizing the narrative approach. Moreover, we surmount the generic limited information problem inherent in vector autoregressions (VARs) by a factor-augmented VAR (FAVAR) approach. We...

Purpose–The purpose of this paper is to empirically analyze the dynamic relationship between stock market and bond market based on the effect of different information shocks. Design/methodology/approach–This paper decomposes the information of stock market and bond market into public...

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we derive two expressions to approximate the bias of the least...

Present econometric methodology of inference in cointegrating regression is extended to mildly integrated time series of the type introduced by Magdalinos and Phillips (2007, 2009). It is well known that conventional approaches to estimating cointegrat- ing regressions fail to produce even...

Linear cointegration is known to have the important property of invariance un- der temporal translation. The same property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of integrable transformations of non-stationary sequences and time...