Search Results
Showing results 1 to 10 of approximately 105.
(refine search)
Working Paper
Indeterminacy and Imperfect Information
Mertens, Elmar; Matthes, Christian; Lubik, Thomas A.
(2019-10-08)
We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less informed agents observe only a strict subset of the full information set. All types of agents form expectations rationally, but agents with limited information need to solve a dynamic signal extraction problem to gather information about the variables they do not observe. We show that for parameter values that imply a unique equilibrium under full ...
Working Paper
, Paper 19-17
Working Paper
The Empirical Implications of the Interest-Rate Lower Bound
Gust, Christopher J.; Lopez-Salido, J. David; Smith, Matthew E.; Herbst, Edward
(2012)
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the resulting economic slump. We find that the interest-rate lower bound was a significant constraint on monetary policy that exacerbated the recession and inhibited the recovery, as our mean estimates imply that the zero lower bound (ZLB) accounted for about 30 percent of the sharp contraction in U.S. ...
Finance and Economics Discussion Series
, Paper 2012-83
Working Paper
Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies
Grossman, Valerie; Martinez-Garcia, Enrique; Wynne, Mark A.; Zhang, Ren
(2021-03-05)
This paper estimates the natural rate of interest for six small open economies (Australia, Canada, South Korea, Sweden, Switzerland and the U.K.) with a structural New Keynesian model using Bayesian techniques. Our empirical analysis establishes the following four main findings: First, we show that the open economy framework provides a better fit of the data than its closed economy counterpart for the six countries we investigate. Second, we also show that, in all six countries, a Taylor (1993)-type monetary policy rule that tracks the Wicksellian short-term natural rate fits the data better ...
Globalization Institute Working Papers
, Paper 359
Working Paper
Bayesian Estimation of Time-Changed Default Intensity Models
Szerszen, Pawel J.; Gordy, Michael B.
(2015-01-06)
We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on firm-level time-series of CDS spreads, and find strong in-sample evidence of stochastic volatility in this market. Relative to the widely-used CIR model for the default intensity, we find that stochastic time-change offers modest benefit in fitting the cross-section of CDS spreads at each point in time, ...
Finance and Economics Discussion Series
, Paper 2015-2
Working Paper
Signaling Effects of Monetary Policy
Melosi, Leonardo
(2016-09-16)
We develop a dynamic general equilibrium model in which the policy rate signals the central bank?s view about macroeconomic developments to price setters. The model is estimated with likelihood methods on a U.S. data set that includes the Survey of Professional Forecasters as a measure of price setters? inflation expectations. This model improves upon existing perfect information models in explaining why, in the data, inflation expectations respond with delays to monetary impulses and remain disanchored for years. In the 1970s, U.S. monetary policy is found to signal persistent inflationary ...
Working Paper Series
, Paper WP-2016-14
Working Paper
Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap
Afanasyeva, Elena
(2020-06-12)
Yes, they can. I propose a new method to detect credit booms and busts from multivariate systems -- monetary Bayesian vector autoregressions. When observed credit is systematically higher than credit forecasts justified by real economic activity variables, a positive credit gap emerges. The methodology is tested for 31 advanced and emerging market economies. The resulting credit gaps fit historical evidence well and detect turning points earlier, outperforming the credit-to-GDP gaps in signaling financial crises, especially at longer horizons. The results survive in real time and can shed ...
Finance and Economics Discussion Series
, Paper 2020-045
Working Paper
Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation
Lubik, Thomas A.; Matthes, Christian
(2014-01-31)
We argue in this paper that the Great Inflation of the 1970s can be understood as the result of equilibrium indeterminacy in which loose monetary policy engendered excess volatility in macroeconomic aggregates and prices. We show, however, that the Federal Reserve inadvertently pursued policies that were not anti-inflationary enough because it did not fully understand the economic environment it was operating in. Specifically, it had imperfect knowledge about the structure of the U.S. economy and it was subject to data misperceptions. The real-time data flow at that time did not capture the ...
Working Paper
, Paper 14-2
Working Paper
Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle
Nicolo, Giovanni
(2020-05-05)
I estimate a medium-scale New-Keynesian model and relax the conventional assumption that the central bank adopted an active monetary policy by pursuing inflation and output stability over the entire post-war period. Even after accounting for a rich structure, I find that monetary policy was passive prior to the Volcker disinflation. Sunspot shocks did not represent quantitatively relevant sources of volatility. By contrast, such passive interest rate policy accommodated fundamental productivity and cost shocks that de-anchored inflation expectations, propagated via self-fulfilling inflation ...
Finance and Economics Discussion Series
, Paper 2020-035
Working Paper
Financial Frictions, Financial Shocks, and Aggregate Volatility
Fuentes-Albero, Cristina
(2014-09-19)
I revisit the Great Inflation and the Great Moderation for nominal and real variables. I document an immoderation in corporate balance sheet variables so that the Great Moderation is best described as a period of divergent patterns in volatilities for real, nominal and financial variables. A model with time-varying financial frictions and financial shocks allowing for structural breaks in the size of shocks and the institutional framework is estimated. The paper shows that (i) while the Great Inflation was driven by bad luck, the Great Moderation was mostly due to better institutions; (ii) ...
Finance and Economics Discussion Series
, Paper 2014-84
Working Paper
Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
Carriero, Andrea; Marcellino, Massimiliano; Clark, Todd E.
(2018-03-02)
This paper uses a large vector autoregression (VAR) to measure international macroeconomic uncertainty and its effects on major economies, using two datasets, one with GDP growth rates for 19 industrialized countries and the other with a larger set of macroeconomic indicators for the U.S., euro area, and U.K. Using basic factor model diagnostics, we first provide evidence of significant commonality in international macroeconomic volatility, with one common factor accounting for strong comovement across economies and variables. We then turn to measuring uncertainty and its effects with a large ...
Working Papers (Old Series)
, Paper 1803
FILTER BY year
FILTER BY Bank
Board of Governors of the Federal Reserve System (U.S.) 20 items
Federal Reserve Bank of Cleveland 18 items
Federal Reserve Bank of Dallas 15 items
Federal Reserve Bank of New York 12 items
Federal Reserve Bank of Atlanta 11 items
Federal Reserve Bank of Kansas City 6 items
Federal Reserve Bank of Chicago 5 items
Federal Reserve Bank of Philadelphia 5 items
Federal Reserve Bank of San Francisco 4 items
Federal Reserve Bank of Richmond 3 items
Federal Reserve Bank of St. Louis 3 items
Federal Reserve Bank of Boston 2 items
Federal Reserve Bank of Minneapolis 1 items
show more (8)
show less
FILTER BY Series
Working Papers 19 items
Finance and Economics Discussion Series 18 items
Staff Reports 12 items
Working Papers (Old Series) 12 items
Globalization Institute Working Papers 11 items
FRB Atlanta Working Paper 9 items
Working Paper Series 9 items
Research Working Paper 6 items
Working Paper 3 items
International Finance Discussion Papers 2 items
Policy Hub 2 items
Research Data Report 1 items
Staff Report 1 items
show more (8)
show less
FILTER BY Content Type
FILTER BY Author
Clark, Todd E. 10 items
Herbst, Edward 8 items
Carriero, Andrea 7 items
Marcellino, Massimiliano 7 items
Jensen, Mark J. 6 items
Martínez-García, Enrique 6 items
Del Negro, Marco 5 items
Melosi, Leonardo 5 items
Shin, Minchul 5 items
Wynne, Mark A. 5 items
Bognanni, Mark 4 items
Giannone, Domenico 4 items
Koop, Gary 4 items
Schorfheide, Frank 4 items
Zaman, Saeed 4 items
Benigno, Gianluca 3 items
Bianchi, Francesco 3 items
Cai, Michael 3 items
Chib, Siddhartha 3 items
Fisher, Mark 3 items
Gust, Christopher J. 3 items
Hirose, Yasuo 3 items
Kurozumi, Takushi 3 items
Lenza, Michele 3 items
Lopez-Salido, J. David 3 items
Martinez-Garcia, Enrique 3 items
Matthes, Christian 3 items
Otrok, Christopher 3 items
Owyang, Michael T. 3 items
Primiceri, Giorgio E. 3 items
Richter, Alexander W. 3 items
Throckmorton, Nathaniel A. 3 items
Van Zandweghe, Willem 3 items
Doh, Taeyoung 2 items
Fuentes-Albero, Cristina 2 items
Giannoni, Marc 2 items
Groen, Jan J. J. 2 items
Grossman, Valerie 2 items
Hernandez-Murillo, Ruben 2 items
Hitczenko, Marcin 2 items
Knotek, Edward S. 2 items
Lubik, Thomas A. 2 items
Matlin, Ethan 2 items
Mertens, Elmar 2 items
Potter, Simon M. 2 items
Ravazzolo, Francesco 2 items
Rebucci, Alessandro 2 items
Rubio, Margarita 2 items
Sarfati, Reca 2 items
Song, Dongho 2 items
Tambalotti, Andrea 2 items
Tan, Fei 2 items
Zhang, Ren 2 items
Zhong, Molin 2 items
Aastveit, Knut Are 1 items
Afanasyeva, Elena 1 items
Amisano, Gianni 1 items
Arias, Jonas E. 1 items
Atkeson, Andrew 1 items
Atkinson, Tyler 1 items
Beauchemin, Kenneth 1 items
Bech, Morten L. 1 items
Beltran, Daniel O. 1 items
Brunetti, Celso 1 items
Ca' Zorzi, Michele 1 items
Chan, Joshua C. C. 1 items
Chapman, James T. E. 1 items
Chen, Andrew Y. 1 items
Chudik, Alexander 1 items
Croushore, Dean 1 items
Curdia, Vasco 1 items
D'Agostino, Antonello 1 items
Davig, Troy A. 1 items
Dieppe, Alistair 1 items
Draper, David 1 items
Faccini, Renato 1 items
Ferrero, Andrea 1 items
Foerster, Andrew 1 items
Foerster, Andrew T. 1 items
Francis, Neville 1 items
Garratt, Rod 1 items
Gordy, Michael B. 1 items
Gupta, Abhi 1 items
Harris, Jeffrey H. 1 items
Hirata, Hideaki 1 items
Hoesch, Lukas 1 items
Hong, Han 1 items
Huber, Florian 1 items
Izzeldin, Marwan 1 items
Kollmann, Robert 1 items
Kopecky, Karen A. 1 items
Kose, M. Ayhan 1 items
Krueger, Fabian 1 items
Lee, Dong Jin 1 items
Li, Huiyu 1 items
Li, Jessie 1 items
Li, Pearl 1 items
Liu, Laura 1 items
Maheu, John M. 1 items
Mamatzakis, Emmanuel 1 items
Mankad, Shawn 1 items
Massimiliano, Marcellino 1 items
Meyer, Brent 1 items
Modugno, Michele 1 items
Moszkowski, Erica 1 items
Murphy, Anthony 1 items
Ng, Ging Cee 1 items
Nicolo, Giovanni 1 items
Orak, Musa 1 items
Paap, Richard 1 items
Pataracchia, Beatrice 1 items
Pfarrhofer, Michael 1 items
Ratto, Marco 1 items
Roeger, Werner 1 items
Rossi, Barbara 1 items
Rubio-Ramirez, Juan F. 1 items
Schwartzman, Felipe 1 items
Sekhposyan, Tatevik 1 items
Sharma, Padma 1 items
Sill, Keith 1 items
Simoni, Anna 1 items
Smalter Hall, Aaron 1 items
Smith, Andrew Lee 1 items
Smith, Matthew E. 1 items
Soques, Daniel 1 items
Strachan, Rodney W. 1 items
Szerszen, Pawel J. 1 items
Tallman, Ellis W. 1 items
Tang, Jenny 1 items
Tkac, Paula A. 1 items
Tristani, Oreste 1 items
Tsionas, Mike G. 1 items
Vilan, Diego 1 items
Waggoner, Daniel F. 1 items
Wasyk, Rebecca 1 items
Winkler, Fabian 1 items
Zha, Tao 1 items
Zhang, Boyuan 1 items
Zito, John 1 items
in 't Veld, Jan 1 items
show more (135)
show less
FILTER BY Jel Classification
C32 36 items
E32 23 items
E52 18 items
C53 17 items
C13 14 items
F41 14 items
C52 11 items
C15 9 items
E37 9 items
E43 9 items
C14 8 items
E31 8 items
C33 6 items
E44 6 items
E58 6 items
E3 5 items
C22 4 items
C51 4 items
C55 4 items
D83 4 items
E17 4 items
E21 4 items
G12 4 items
C54 3 items
D81 3 items
E4 3 items
E5 3 items
F42 3 items
G11 3 items
G17 3 items
G21 3 items
C1 2 items
C18 2 items
C62 2 items
D12 2 items
E12 2 items
E22 2 items
E30 2 items
E50 2 items
E63 2 items
F44 2 items
G01 2 items
R31 2 items
C01 1 items
C02 1 items
C10 1 items
C23 1 items
C31 1 items
C34 1 items
C38 1 items
C41 1 items
C42 1 items
C5 1 items
C50 1 items
C58 1 items
C83 1 items
D13 1 items
D24 1 items
E10 1 items
E23 1 items
E25 1 items
E27 1 items
E40 1 items
E47 1 items
E51 1 items
E62 1 items
E70 1 items
F31 1 items
F32 1 items
F34 1 items
G10 1 items
G20 1 items
G33 1 items
G38 1 items
I1 1 items
J24 1 items
J31 1 items
J64 1 items
L25 1 items
O52 1 items
Q43 1 items
show more (77)
show less
FILTER BY Keywords
Bayesian estimation 17 items
stochastic volatility 11 items
Monetary Policy 10 items
uncertainty 9 items
Bayesian inference 8 items
Forecasting 8 items
Bayesian Analysis 7 items
Bayesian methods 7 items
particle filter 6 items
Business Cycles 6 items
Bayesian learning 5 items
COVID-19 5 items
DSGE models 5 items
Bayesian VAR 4 items
Density forecasts 4 items
Sequential Monte Carlo 4 items
Survey Forecasts 4 items
Vector Autoregressions 4 items
MCMC 3 items
Marginal likelihood 3 items
Bayesian vector autoregression 3 items
Financial frictions 3 items
Great Inflation 3 items
Structural breaks 3 items
forward guidance 3 items
real-time data 3 items
Bayesian 2 items
Bayesian VARs 2 items
Bayesian model averaging 2 items
Business cycle 2 items
Endogeneity 2 items
Equilibrium indeterminacy 2 items
Financial shocks 2 items
Great Moderation 2 items
Indeterminacy 2 items
Kalman filter 2 items
Markov-switching models 2 items
Mexico 2 items
Natural Rate 2 items
Posterior consistency 2 items
Regime-Switching Models 2 items
SR 11-7 2 items
Survey of Consumer Payment Choice 2 items
Wicksellian Natural Rate 2 items
conditional forecasting 2 items
household economics 2 items
inflation expectations 2 items
inflation forecasting 2 items
large datasets 2 items
model risk management 2 items
rational expectations 2 items
reputation 2 items
survey error 2 items
zero lower bound 2 items
Adaptive algorithms 2 items
Endogenous Regime-Switching 2 items
Expectations 2 items
Financial Crises 2 items
Identification 2 items
Macroeconomic Forecasting 2 items
Occasionally Binding Constraints 2 items
Online estimation 2 items
Rare Disasters 2 items
Sequential Monte Carlo methods 2 items
Time-varying parameters 2 items
Trend inflation 2 items
Aggregate Shocks 1 items
Bailouts 1 items
Bank Failures 1 items
Bank holdings 1 items
Bayes 1 items
Bayesian counterfactual analysis 1 items
Bayesian interference 1 items
Bayesian model comparison 1 items
Bayesian nonparametric analysis 1 items
Bayesian nonparametric methods 1 items
Bayesian nonparametrics 1 items
Bayesian predictive density 1 items
Bernstein polynomials 1 items
Bernstein-von Mises theorem 1 items
Business cycle uncertainty 1 items
CDS 1 items
CIR process 1 items
Capital-task complementarity 1 items
Changes in cyclical volatilities 1 items
Comovement 1 items
Concentration index 1 items
Conditional forecast 1 items
Conditional moment restrictions 1 items
Credit boom 1 items
Credit gap 1 items
Current Economic Conditions 1 items
Data revisions 1 items
Data rich environment 1 items
Delphic effects of monetary policy 1 items
Dirichlet process 1 items
Dirichlet process prior 1 items
Dirichlet regression 1 items
Disanchoring of inflation expectations 1 items
Dynamic Factor Models 1 items
Dynamic Heterogeneity 1 items
EU banks 1 items
Early warning 1 items
Econometric modeling 1 items
Economic indicators 1 items
Elasticity of substitution 1 items
Endogenous uncertainty 1 items
Equity Premium Puzzle 1 items
Euro Area 1 items
Excess Volatility 1 items
Exponentially tilted empirical likelihood 1 items
Federal Reserve 1 items
Federal Savings and Loans Insurance Corporation (FSLIC) 1 items
Financial crisis 1 items
Financial linkages 1 items
Finite-horizon planning 1 items
Generalized New Keynesian Phillips curve 1 items
Gibbs sampling 1 items
Great Recession 1 items
Habit 1 items
Housing 1 items
Identifcation 1 items
Immoderation 1 items
Impulse Responses 1 items
Inflation 1 items
Inflation Risk 1 items
Information Channel of Monetary Policy 1 items
Instabilities 1 items
Interest rate rules 1 items
Inversion Filter 1 items
Job polarization 1 items
Korean economy 1 items
Labor share 1 items
Learning 1 items
Least Squares Learning 1 items
Likelihood 1 items
Limited information 1 items
Local identifcation 1 items
Long run risks 1 items
Long-run real interest rate 1 items
Markov chain Monte Carlo 1 items
Markov switching 1 items
Markov-switching 1 items
Maskov Chain Monte Carlo (MCMC) 1 items
Metropolis-Hastings 1 items
Minnesota Prior 1 items
Minsky moment 1 items
Misspecification 1 items
Monetary policy rules 1 items
Monte Carlo Methods 1 items
Moral Hazard 1 items
Multiple Indicators-Multiple Causes (MIMIC) 1 items
Multivariate stochastic volatility 1 items
NPI policy 1 items
Naïve Bayes model 1 items
New Keynesian 1 items
New keynesian model 1 items
Nonlinear Filtering 1 items
Nowcasting. 1 items
OccBin 1 items
Open Economy Model 1 items
Open-Economy New Keynesian Model 1 items
PPP half-life deviations 1 items
Panel data 1 items
Phillips correlations 1 items
Policy announcement 1 items
Policy-relevant parameters 1 items
Prediction 1 items
Prior-versus-posterior comparison 1 items
Projection Methods 1 items
Random blocks 1 items
Rao-Blackwellization 1 items
Real Time 1 items
Recession 1 items
Regime switches 1 items
Resolution Trust Corporation (RTC) 1 items
Risk-shifting 1 items
Savings and loans crisis 1 items
Sectoral Data 1 items
Sensitivity analysis 1 items
Sequential Monte Carlo algorithm 1 items
Similarity index 1 items
Small Open Economy Model 1 items
Small Open-Economy Model 1 items
Stochastic volatility. 1 items
Student-t shocks 1 items
Survey Expectations 1 items
Synchronization 1 items
Systemic risk 1 items
Tailored 1 items
Tailored proposal densities 1 items
Technological change 1 items
Term structure of interest rates 1 items
Time Variation 1 items
Time-varying parameter vectorautoregression 1 items
Trade linkages 1 items
U.S. monetary policy 1 items
Uncertainty shocks 1 items
Unemployment rate 1 items
Vector Autoregression (VAR) 1 items
Vector autoregression 1 items
Volatility-in-mean 1 items
Wishart process 1 items
Young firm dynamics 1 items
asymmetry 1 items
belief shocks 1 items
beliefs 1 items
bootstrap 1 items
building permits 1 items
business sentiment 1 items
change points 1 items
cluster analysis 1 items
clustered Markov switching 1 items
cointegration 1 items
comovements 1 items
consumption 1 items
convenience yield 1 items
credit derivatives 1 items
death 1 items
dependent Bayesian nonparametrics 1 items
discrete environment 1 items
dispersion 1 items
downside risk 1 items
employment gap 1 items
endogenous signals 1 items
energy prices 1 items
federal funds 1 items
general equilibrium models 1 items
heterogeneous beliefs 1 items
hierarchical model 1 items
hierarchical priors 1 items
high dimensional data 1 items
hiring frictions 1 items
importance sampling 1 items
impulse response 1 items
infinite variance 1 items
initial conditions 1 items
interbank 1 items
labor market trends 1 items
likelihood estimation 1 items
liquidity 1 items
long-memory 1 items
macroeco-nomic risk 1 items
mean-reverting 1 items
mixed-frequency models 1 items
model comparison 1 items
model selection 1 items
model uncertainty 1 items
models 1 items
money markets 1 items
multivariate threshold models 1 items
mutual fund performance 1 items
mutual funds 1 items
natural rate of interest 1 items
network 1 items
news shocks 1 items
nonlinear structural impulse response 1 items
nonparametric Bayesian estimation 1 items
nonparametric VAR 1 items
nowcasting 1 items
nowcasts 1 items
overfitting 1 items
pandemics 1 items
panel 1 items
productivity growth 1 items
r* 1 items
real-time forecasts 1 items
recursive utility 1 items
regression trees 1 items
relative entropy 1 items
reproduction number 1 items
risk premium 1 items
safety 1 items
shrinkage 1 items
sign restrictions 1 items
simplex regression 1 items
simulation 1 items
slice sampling 1 items
state space model 1 items
stochastic time change 1 items
structural shocks 1 items
structural vector autoregressions 1 items
technical efficiency 1 items
the Great Recession 1 items
time-varying transition probabilities 1 items
time-varying volatility 1 items
topology 1 items
trade policy 1 items
transmission rate 1 items
trimmed-mean estimators 1 items
unsupervised learning 1 items
variance decomposition 1 items
vector error correction model 1 items
wavelets 1 items
wealth effect 1 items
show more (326)
show less