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This paper considers the 'real-time' forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model-the Federal Reserve Board's Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using...
Persistent link: https://www.econbiz.de/10008595883
Consumption growth is predictable, a basic violation of the permanent-income hypothesis. This paper examines three possible explanations: rule-of-thumb behavior, in which households allow consumption to track per period income flows rather than permanent income; habit persistence; and...
Persistent link: https://www.econbiz.de/10008740499
We discuss the evolution in macroeconomic thought on the monetary policy transmission mechanism and present related empirical evidence. The core channels of policy transmission - the neoclassical links between short-term policy interest rates, other asset prices such as long-term interest rates,...
Persistent link: https://www.econbiz.de/10008634672
Financial intermediation transforms short-term liquid assets into long-term capital assets. As a result, risk taking, in the form of long-term commitments despite unresolved short-term funding risk, is an essential element of intermediation. If such funding risk must be addressed by costly...
Persistent link: https://www.econbiz.de/10009024045
We develop a macroeconomic model in which the balance sheet/liquidity condition of financial institutions plays an important role in the determination of asset prices and economic activity. The financial intermediaries in our model are required to make investment commitments before a complete...
Persistent link: https://www.econbiz.de/10009024047
While uncovered interest parity (UIP) fails unconditionally, UIP conditional on monetary policy actions remains a cornerstone of macroeconomic models used for monetary policy analysis. We posit that monetary policy actions are partially revealed by FOMC statements and propose a new...
Persistent link: https://www.econbiz.de/10010633067
Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing - both "unconventional" strategies. We examine whether the effect of such actions on Treasury yields have passed through to private yields to a degree comparable to...
Persistent link: https://www.econbiz.de/10010633069
Inflation has been low when productivity growth has been high. This occurs because the Federal Reserve has not adjusted nominal income growth in response to changes in productivity growth, implying that an acceleration in trend productivity growth leads to a deceleration in inflation. The...
Persistent link: https://www.econbiz.de/10005568260
Persistent link: https://www.econbiz.de/10010161177
Persistent link: https://www.econbiz.de/10008082784