The observed decline in the relative price of investment goods to consumption goods in Japan suggests the existence of investment-specific technological (IST) changes. We examine whether IST changes are a major source of business fluctuations in Japan, by estimating a dynamic stochastic general...

Recent studies attempt to quantify the empirical importance of news shocks (ie., anticipated future schocks) in business cycle fluctuations. This paper identifies news schocks in a dynamic stochastic general equilibrium model estimated with not only actual data but also forecast data. The...

This paper structurally investigates the changes in the Federal Reserve's communication strategy during the 1990s by analyzing anticipated and unanticipated disturbances to a Taylor rule. The anticipated monetary policy disturbances are identified by estimating a medium-scale dynamic stochastic...

The observed decline in the relative price of investment goods in Japan suggests the existence of investment-specific technological (IST) changes. This paper examines whether IST changes are a major source of business fluctuations in Japan, by estimating a dynamic stochastic general equilibrium...

The empirical importance of news shocks—anticipated future shocks—in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical...

Recent studies attempt to quantify the empirical importance of news shocks (ie., anticipated future shocks) in business cycle fluctuations. This paper identifies news shocks in a dynamic stochastic general equilibrium model estimated with not only actual data but also forecast data. The...

In a sticky-price model with labor market search and matching frictions, forecast-based interestrate policy almost always induces indeterminacy when it is strictly inflation targeting and satisfies the Taylor principle. Indeterminacy is due to a vacancy channel of monetary policy that makes...