Search Results
Working Paper
Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.
For a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and "activism coefficients" for monetary policy rules. Their posteriors imply substantial variation of all of these objects for post WWII U.S. data. After adjusting for changes in volatility, persistence of inflation increases during the 1970s then falls in the 1980s and 1990s. Innovation ...
Working Paper
Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
This paper studies the effects of applying the Hodrick-Prescott filter to trend and difference stationary time series. Applying the Hodrick-Prescott filter to an integrated process is similar to detrending a random walk. When the data are difference stationary, the Hodrick-Prescott filter can generate business cycle dynamics even if none are present in the original data. We study the implications for interpreting stylized facts about business cycles and for analyzing data generated by real business cycle models.
Journal Article
The baby boom, the baby bust, and asset markets
Journal Article
On the transition to a fully funded Social Security system
Journal Article
What is the optimal rate of inflation?
Working Paper
A simple adaptive measure of core inflation
This paper proposes a new measure of core inflation and compares it with several existing measures. The new measure is adaptive and is designed to track sudden and persistent movements inflation, such as those arising from changes in monetary policy regimes. the adaptive measure is a superior predictor of (locally) mean reverting components of inflation, and appears to filter out transients more effectively than existing measures.
Journal Article
Financial fragility and the lender of last resort
Journal Article
Monetary policy and long-term real interest rates