This paper explores the potential of bootstrap methods in the empirical evaluation of dynamic stochastic general equilibrium (DSGE) models and, more generally, in linear rational expectations models featuring unobservable (latent) components. We consider two dimensions. First, we provide mild...

We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic...

This paper extends the existing literature on linear quadratic adjustment cost (LQAC) models under rational expectations to the inferential issues arising when: (i) agents optimise with respect to a vector of endogenous variables; (ii) the behavioural equations stemming from the agent's...

High-frequency (HF) monetary surprises around central bank meetings are extensively employed to jointly identify unconventional monetary policy shocks along with an `information shock'. In this paper we show that HF surprises in the Euro Area after 2008 best reflect the impact of three shocks,...

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous adjustment to the first-order conditions. We suggest approximating the consumption streams of countries belonging to the risk...

This paper proposes the evaluation of the New Keynesian Phillips Curve (NKPC) under a new learning mechanism where VAR learning dynamics is combined with the idea of testing the validity of the forward-looking model of inflation dynamics. The key assumption is that agents’ perceived law of...