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Author:Tinsley, Peter A. 

Discussion Paper
On proximate exploitation of intermediate information in macroeconomic forecasting

Special Studies Papers , Paper 59

Discussion Paper
On the use of optimal control in the design of monetary policy

Special Studies Papers , Paper 76

Working Paper
Shifting endpoints in the term structure of interest rates

This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates needed in empirical term structure models are heavily influenced by the endpoints, or limiting conditional forecasts, of the short rate process. Mean-reversion or unit roots are commonly assumed, but do not provide realistic yield predictions. Failures occur because neither accounts for historical shifts in market perceptions of the policy target for inflation. This paper links endpoint shifts to a learning model where agents must detect shifts in long-term policy goals. With ...
Research Working Paper , Paper 97-08

Discussion Paper
An autopsy of a conventional macroeconomic relation: the case of money demand

Special Studies Papers , Paper 167

Working Paper
A guide to FRB/US: a macroeconomic model of the United States

FRB/US is a large-scale quarterly econometric model of the U.S. economy, developed to replace the MPS model. Most behavioral equations are based on specifications of optimizing behavior containing explicit expectations of firms, households, and financial markets. Although expectations are explicit, the empirical fits of the structural descriptions of macroeconomic behavior are comparable to those of reduced-form time series models. In most instances, tests do not reject overidentifying restrictions of rational expectations or the hypothesis of serially independent residuals. As modeled, ...
Finance and Economics Discussion Series , Paper 96-42

Working Paper
Here's looking at you: modelling and policy use of auction price expectations

Finance and Economics Discussion Series , Paper 126

Working Paper
Term premia : endogenous constraints on monetary policy

Monetary policy evaluation using structural macro models suggests that historical monetary policy responds less aggressively to inflation and the output gap than would an optimal policy rule. However, these results are obtained using models with constant term premia. This paper shows how term premia may depend on the policy rule specification and policy rate uncertainty. A more aggressive policy rule involves an economically important increase in term premia. Consequently, conclusions about the specification of optimal monetary policy rules based on counterfactual simulations of models that ...
Research Working Paper , Paper RWP 02-07

Working Paper
Interest rate policies for price stability

Finance and Economics Discussion Series , Paper 93-22

Working Paper
Dynamic specifications in optimizing trend-deviation macro models

As noted in surveys by Goodfriend and King (1997) and Walsh (1998) and exemplified by models analyzed in Taylor (1999), there is encouraging progress in developing optimizing trend-deviation macro models that provide useful insights into the transmission and design of monetary policy. Several controversial features of a minimalist trend-deviation model, with optimizing households, firms, and bond traders, are examined. Dynamic specifications are suggested to improve the data-based realism, while preserving the simplicity, of the minimalist model.
Research Working Paper , Paper RWP 01-03

Working Paper
Moving endpoints and the internal consistency of agents' ex ante forecasts

Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run "endpoints"--fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of "moving endpoint" time series models provide substantially improved tracking of the historical term structure and generally support the ...
Research Working Paper , Paper 97-01

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