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Author:Brayton, Flint 

Working Paper
The Evolution of Macro Models at the Federal Reserve Board

Large-scale macroeconomic models have been used at the Federal Reserve Board for nearly thirty years. After briefly reviewing the first generation of Fed models, which were based on the IS/LM/Phillips curve paradigm, the paper describes the structure and properties of a new set of models. The new models are more explicit in their treatment of expectations formation and household and firm intertemporal decisionmaking. The incorporation of more rigorous theoretical microfoundations is accomplished while maintaining a high standard of goodness of fit. Simulations illustrate the effects of ...
Finance and Economics Discussion Series , Paper 1997-29

Working Paper
Interest rate policies for price stability

Finance and Economics Discussion Series , Paper 93-22

Working Paper
What's happened to the Phillips curve?

The simultaneous occurrence in the second half of the 1990s of low and falling price inflation and low unemployment appears to be at odds with the properties of a standard Phillips curve. We find this result in a model in which inflation depends on the unemployment rate, past inflation, and conventional measures of price supply shocks. We show that, in such a model, long lags of past inflation are preferred to short lags, and that with long lags, the NAIRU is estimated precisely but is unstable in the 1990s. Two alternative modifications to the standard Phillips curve restore stability. One ...
Finance and Economics Discussion Series , Paper 1999-49

Discussion Paper

The FRB/US model of the U.S. economy is one of several that Federal Reserve Board staff consults for forecasting and the analysis of macroeconomic issues, including both monetary and fiscal policy.
FEDS Notes , Paper 2014-04-03

Discussion Paper
Optimal-Control Monetary Policy in the FRB/US Model

The question of how best to conduct monetary policy has been studied by economists for a long time. Over the past 25 years or so, attention has focused on systematic approaches to setting the short-term interest rate in a manner that effectively balances policymaker objectives.
FEDS Notes , Paper 2014-11-21-1

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

Finance and Economics Discussion Series , Paper 126

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
Two practical algorithms for solving rational expectations models

This paper describes the E-Newton and E-QNewton algorithms for solving rational expectations (RE) models. Both algorithms treat a model's RE terms as exogenous variables whose values are iteratively updated until they (hopefully) satisfy the RE requirement. In E-Newton, the updates are based on Newton's method; E-QNewton uses an efficient form of Broyden's quasi-Newton method. The paper shows that the algorithms are reliable, fast enough for practical use on a mid-range PC, and simple enough that their implementation does not require highly specialized software. The evaluation of the ...
Finance and Economics Discussion Series , Paper 2011-44

Discussion Paper
The macroeconomic and sectoral effects of the Economic Recovery Tax Act : some simulation results

Staff Studies , Paper 148

Conference Paper
Nominal income targeting with the monetary base as instrument: an evaluation of McCallum's rule

Proceedings , Paper 1, pt. 2