Showing results 1 to 8 of approximately 8.(refine search)
House prices and the stance of monetary policy
This paper estimates a Bayesian vector autoregression for the U.S. economy that includes a housing sector and addresses the following questions: Can developments in the housing sector be explained on the basis of developments in real and nominal gross domestic product and interest rates? What are the effects of housing demand shocks on the economy? How does monetary policy affect the housing market? What are the implications of house price developments for the stance of monetary policy? Regarding the latter question, we implement a Cspedes et al. (2006) version of a monetary conditions index.
On implications of micro price data for macro models
The authors review the recent literature that studies new, detailed micro data on prices. They discuss implications of the new micro data for macro models. They argue that the new micro data are helpful for macro models but not decisive. There is no simple mapping from the frequency of price changes in micro data to impulse responses of prices and quantities to shocks. They discuss ideas that promise to deliver macro models matching the impulse responses seen in macro data while being broadly in line with micro data.
Monetary policy in an estimated stochastic dynamic general equilibrium model of the Euro area
This paper, first, develops and estimates a stochastic dynamic general equilibrium (SDGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation and is estimated using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of eight orthogonal structural shocks (including productivity, labour supply, preference, cost-push and monetary policy shocks) allows for ...
On the fit and forecasting performance of New Keynesian models
The paper provides new tools for the evaluation of DSGE models and applies them to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR) and then systematically relax the implied cross-equation restrictions. Let --denote the extent to which the restrictions are being relaxed. We document how the in- and out-of-sample fit of the resulting specification (DSGE-VAR) changes as a function of --. Furthermore, we learn about the precise ...
Commetary: modeling inflation after the crisis
Housing is the business cycle: commentary