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Journal Article
1989 Fall Academic Conference
Journal Article
Labor market structure and monetary policy
Journal Article
Japan's keiretsu and Korea's chaebol
Working Paper
Causality and correlations of output and nominal variables in a real business cycle model
A dynamic general equilibrium economy in which output is exogenous with respect to money is calibrated and simulated following a procedure commonly used in real business cycle literature. It is then confronted with the key comovement patterns of output and nominal variables in the post-war U.S. time series data. The model economy performs well in matching key second moment patterns involving output, money and price. The model economy - with its embedded 'reverse causation' from output to money - also provides the means for carrying out a probabilistic appraisal of the observed money to output ...
Journal Article
Have recessions become shorter?
Working Paper
Some evidence on the efficacy of the UK inflation targeting regime: an out-of-sample forecast approach
Inflation targeting (IT)--a policy framework that directly targets an explicit inflation goal--has gained widespread attention recently as it has been adopted by several OECD countries. There is a growing body of literature on the ultimate long-term benefits of price stability and on theoretical issues related to inflation targeting. But the short duration of this practice has limited the number of works that empirically analyze the performance of IT regimes. This paper examines the British inflation targeting experience since 1993 by focusing on the out-of-sample forecast performance of ...
Journal Article
Probability of recession
Working Paper
Forecasting industrial production using models with business cycle asymmetry
This paper exploits business cycle asymmetry observed in data, namely, a systematic shift in the dynamic relationship between the output and the interest rate spread across expansionary and contractionary periods in forecasting monthly industrial production. A bivariate model of monthly industrial production and the spread between the 6-month commercial paper and the federal funds rates is used as an example to illustrate forecast exercise. This paper's method does not require a forecaster to make an exact ex-ante determination of turning points in the output series which is being forecasted. ...
Journal Article
Inflation-indexed bonds