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Working Paper
Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility
Zito, John; Bognanni, Mark
(2019-12-16)
We develop a sequential Monte Carlo (SMC) algorithm for Bayesian inference in vector autoregressions with stochastic volatility (VAR-SV). The algorithm builds particle approximations to the sequence of the model’s posteriors, adapting the particles from one approximation to the next as the window of available data expands. The parallelizability of the algorithm’s computations allows the adaptations to occur rapidly. Our particular algorithm exploits the ability to marginalize many parameters from the posterior analytically and embeds a known Markov chain Monte Carlo (MCMC) algorithm for ...
Working Papers
, Paper 19-29
Working Paper
Output Gap, Monetary Policy Trade-offs, and Financial Frictions
Gelain, Paolo; Sanjani, Marzie; Furlanetto, Francesco
(2020-02-15)
This paper investigates how the presence of pervasive financial frictions and large financial shocks changes the optimal monetary policy prescriptions and the estimated dynamics in a New Keynesian model. We find that financial factors affect the optimal policy only to some extent. A policy of nominal stabilization (with a particular focus on targeting wage inflation) is still the optimal policy, although the central bank is now unable to fully stabilize economic activity around its potential level. In contrast, the presence of financial frictions and financial shocks crucially changes the ...
Working Papers
, Paper 20-05
Working Paper
Assessing the macroeconomic impact of bank intermediation shocks: a structural approach
Chen, Kaiji; Zha, Tao
(2015-08-01)
We take a structural approach to assessing the empirical importance of shocks to the supply of bank-intermediated credit in affecting macroeconomic fluctuations. First, we develop a theoretical model to show how credit supply shocks can be transmitted into disruptions in the production economy. Second, we use the unique micro-banking data to identify and support the model's key mechanism. Third, we find that the output effect of credit supply shocks is not only economically and statistically significant but also consistent with the vector autogression evidence. Our mode estimation indicates ...
FRB Atlanta Working Paper
, Paper 2015-8
Working Paper
A Generalized Approach to Indeterminacy in Linear Rational Expectations Models
Bianchi, Francesco; Nicolo, Giovanni
(2019-05)
We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The method consists of augmenting the original state space with a set of auxiliary exogenous equations to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region ...
Finance and Economics Discussion Series
, Paper 2019-033
Working Paper
Multivariate return decomposition: theory and implications
Gospodinov, Nikolay; Anatolyev, Stanislav
(2015-08-01)
In this paper, we propose a model based on multivariate decomposition of multiplicative?absolute values and signs?components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We outline the construction of the likelihood function and the computation of different conditional measures. The finite-sample properties of the maximum likelihood estimator are assessed by simulation. An application to predicting ...
FRB Atlanta Working Paper
, Paper 2015-7
Working Paper
Reaction functions in a small open economy: What role for non-traded inflation?
Santacreu, Ana Maria
(2005-06-01)
I develop a structural general equilibrium model and estimate it for New Zealand using Bayesian techniques. The estimated model considers a monetary policy regime where the central bank targets overall inflation but is also concerned about output, exchange rate movements, and interest rate smoothing. Taking the posterior mean of the estimated parameters as representing the characteristics of the New Zealand economy, I compare the consequences that two alternative reaction functions have on the central bank's loss, for different specifications of its preferences. I obtain conditions under ...
Working Papers
, Paper 2014-44
Working Paper
Assessing U.S. Aggregate Fluctuations Across Time and Frequencies
Matthes, Christian; Lubik, Thomas A.; Verona, Fabio
(2019-02-28)
We study the behavior of key macroeconomic variables in the time and frequency domain. For this purpose, we decompose U.S. time series into various frequency components. This allows us to identify a set of stylized facts: GDP growth is largely a high-frequency phenomenon whereby inflation and nominal interest rates are characterized largely by low-frequency components. In contrast, unemployment is a medium-term phenomenon. We use these decompositions jointly in a structural VAR where we identify monetary policy shocks using a sign restriction approach. We find that monetary policy shocks ...
Working Paper
, Paper 19-6
Working Paper
How To Go Viral: A COVID-19 Model with Endogenously Time-Varying Parameters
Matthes, Christian; Ho, Paul; Lubik, Thomas A.
(2020-08-21)
This paper estimates a panel model with endogenously time-varying parameters for COVID-19 cases and deaths in U.S. states. The functional form for infections incorporates important features of epidemiological models but is flexibly parameterized to capture different trajectories of the pandemic. Daily deaths are modeled as a spike-and-slab regression on lagged cases. The paper's Bayesian estimation reveals that social distancing and testing have significant effects on the parameters. For example, a 10 percentage point increase in the positive test rate is associated with a 2 percentage point ...
Working Paper
, Paper 20-10
Working Paper
Simultaneous Spatial Panel Data Models with Common Shocks
Lu, Lina
(2017-08-09)
I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a large number of incidental parameters. I propose two estimation approaches, a quasi-maximum likelihood (QML) method and an iterative generalized principal components (IGPC) method. I develop full inferential theories for the estimation approaches and study the trade-off between the model specifications and their respective asymptotic properties. I further ...
Supervisory Research and Analysis Working Papers
, Paper RPA 17-3
Working Paper
Cyclical Lending Standards: A Structural Analysis
Zha, Tao; Chen, Kaiji; Higgins, Patrick C.
(2020-05-21)
Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks tightened bank lending standards during the Great Recession. Our extensive data analysis disciplines how we introduce credit frictions in the banking sector into a macroeconomic model. The model estimation reveals that an exogenous shock to credit supply drives cyclical lending standards and accounts for a ...
FRB Atlanta Working Paper
, Paper 2020-6
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