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Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; … - 2022

The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most...

Persistent link: https://www.econbiz.de/10014030604

Forward guidance matters: Disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012670875

Policy errors and business cycle fluctuations : evidence from an emerging economy

Kumar, Abhishek; Mallick, Sushanta Kumar; Sinha, Apra - In: Journal of economic behavior & organization : JEBO 192 (2021), pp. 176-198

Persistent link: https://www.econbiz.de/10013188042

The dynamic impacts of monetary policy uncertainty shocks

Kamara, Ahmed; Koirala, Niraj P. - In: Economies : open access journal 11 (2023) 1, pp. 1-19

This paper assesses whether the impact of monetary policy uncertainty on the U.S. economy has changed over time. Estimating a Time-Varying Parameter Vector Autoregressive model on U.S. data from 1985Q1 to 2022Q3, we find that uncertainty shocks have larger negative effects on output during the...

Persistent link: https://www.econbiz.de/10013500695

MAJA: A two-region DSGE model for Sweden and its main trading partners

Corbo, Vesna; Strid, Ingvar - 2020

-economy dynamic stochastic general equilibrium (DSGE) models to generate substantial cross-country spillovers; see e.g. the seminal … paper of Justiniano and Preston (2010). We present a two-region DSGE model that better captures the dependence on global …

Persistent link: https://www.econbiz.de/10012497743

BEMGIE: Belgian Economy in a Macro General and International Equilibrium model

De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023

This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...

Persistent link: https://www.econbiz.de/10014550243

Optimising Agents, Staggered Wages and Persistence in the Real Effects of Money Shocks

Ascari, Guido - 2000

In this paper we incorporate Taylor's (1979) staggered wage setting into an optimising dynamic general equilibrium framework to study whether staggered wages could induce a high degree of persistence in the real effects of money shocks. We conclude that high persistence is an unlikely outcome....

Persistent link: https://www.econbiz.de/10014151211

Persistency and money demand distortions in a stochastic DGE model with sticky prices

Gail, Michael - 2004 - Revised February 26th, 2004

Recently macroeconomists have intensified their efforts to develop models that are able to generate persistent reactions of real variables to monetary shocks in stochastic DGE models with nominal rigidities. This has proven to be quite difficult in models with price staggering only. Most papers...

Persistent link: https://www.econbiz.de/10011525437

On the Presence of News in a Hybrid Model of the Yield Curve

Davis, Joshua Mark - 2008

This paper presents a 'hybrid' model of the yield curve that systematically incorporates the cross-equation restrictions of a structural dynamic stochastic general equilibrium model into an affine macro-factor model of interest rates. News, factors identified by interest rates that help to...

Persistent link: https://www.econbiz.de/10014217887

Priors from DSGE models for dynamic factor analysis

Bäurle, Gregor - 2008

We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic … DSGE model. In contrast to standard Dynamic Factor Analysis, a direct economic interpretation of the factors is given. We … evaluate the forecast performance of the model with respect to the amount of information from the DSGE model included in the …

Persistent link: https://www.econbiz.de/10003923369