Search Results
Working Paper
DSGE model-based forecasting of non-modelled variables
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). The authors use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to the state variables of the DSGE model. Predictions for the non-core variables are obtained by applying their measurement equations to DSGE model- generated forecasts of the state variables. Using a medium-scale New Keynesian DSGE model, the authors apply their approach to generate and evaluate ...
Working Paper
The cyclical behavior of regional per capita incomes in the postwar period
This paper examines the cyclical dynamics of per capita personal income for the major U.S. regions during the 1953:3-95:2 period. The analysis reveals considerable differences in the volatility of regional cycles. Controlling for differences in volatility, the authors find a great deal of comovement in the cyclical response of four regions (New England, Southeast, Southwest, and Far West), which the authors call the core region, and the nation. The authors also find a great deal of comovement between the Mideast and Plains regions, but these regions are only weakly correlated with national ...
Working Paper
Common trends and common cycles in regional per capita incomes
Cyclical dynamics at the regional level are investigated using newly developed times-series techniques that allow a decomposition of aggregate data into common trends and common cycles. The authors apply the common-trend/common-cycle representation to per capita personal income for the eight BEA regions using quarterly data for the period 1948:1-93:4. Their analysis reveals considerable differences in the volatility of regional cycles. Controlling for differences in volatility, the authors find a great deal of comovement in the cyclical response of four regions (New England, Mideast, Great ...
Journal Article
Forecast disagreement in the Survey of Professional Forecasters
To enact effective policies and spend resources efficiently, firms, policymakers, and markets need accurate economic forecasts. But even though economists generally work with similar models and data, their projections often range widely. To better understand why, Keith Sill explores what the evidence and theories say about how forecasters form their views.
Working Paper
Monetary policy, oil shocks, and TFP: accounting for the decline in U.S. volatility
The volatility of the U.S. economy since the mid-1980s is much lower than it was during the prior 20-year period. The proximate causes of the increased stability and their relative importance remain unsettled, but the sharpness of the volatility decline and its timing has led authors such as Taylor (2000) to argue that a sudden shift in monetary policy is a prime candidate. The authors assess this claim using a calibrated stochastic dynamic general equilibrium model to quantify the contribution of monetary policy and exogenous shocks to the postwar volatility pattern for U.S. output. Their ...
Journal Article
The evolution of the world income distribution
There is tremendous disparity in the levels of individuals? incomes across countries. However, this disparity in per capita income has not always existed. In ?The Evolution of the World Income Distribution,? Keith Sill investigates some facts about the evolution of per capita income across countries and reviews a simple model that broadly captures the observed evolution of the world income distribution since 1800. He then discusses what predictions can be made about future cross-country distributions of income and some policy prescriptions that follow from our understanding of the past and ...
Working Paper
Expectations and economic fluctuations: an analysis using survey data
Using survey-based measures of future U.S. economic activity from the Livingston Survey and the Survey of Professional Forecasters, the authors study how changes in expectations, and their interaction with monetary policy, contribute to fluctuations in macroeconomic aggregates. They find that changes in expected future economic activity are a quantitatively important driver of economic fluctuations: a perception that good times are ahead typically leads to a significant rise in current measures of economic activity and inflation. The authors also find that the short-term interest rate rises ...
Working Paper
Exchange rates, monetary policy regimes, and beliefs
The authors investigate an international monetary business-cycle model in which agents face monetary policy processes that incorporate regime shifts. In any given period agents cannot directly observe the policy regime, but instead form beliefs that are updated via Bayesian learning. As a result, expectation adjustment displays inertia that adds persistence to the effects of monetary shocks. Monetary policy process for the U.S. and an aggregate of OECD countries are estimated using Hamilton's Markov-switching model. The authors then solve and calibrate a version of the model and examine its ...