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Journal Article
Valuation models for default-risky securities: An overview
Nandi, Saikat (1998-10-04)
Valuing financial securities often assumes that the contractual obligations of the security are going to be honored. However, frequently a party to a contract will default on its obligations. Because the contractual features of defaultable securities are usually complex and it is difficult to find comparable securities for which to observe prices, valuation requires formal models that take into account the security's complexities and the uncertainties surrounding future cash flows. Many financial institutions hold large amounts of these securities in their portfolios, and it is important that ...
Economic Review , Volume 83 , Issue Q 4 , Pages 22-35

Journal Article
When more is better: assessing the southeastern economy with lots of data
Vilán, Diego; Silos, Pedro (2007-07-03)
The authors estimate a model that provides a single indicator for the southeastern economy, making it easier for policymakers and analysts to assess regional economic conditions and compare them to the broader economy.
Economic Review , Volume 92 , Issue Q 3 , Pages 17-26

Journal Article
International business cycles: G7 and OECD countries
Yu, Chengxuan; Chauvet, Marcelle (2006-01-01)
The progressive globalization of markets has sparked a worldwide interest in using economic indicators to analyze cyclical fluctuations. Governments and the private sector seeking to conduct their activities in light of both national and international economic conditions could benefit from international indicators that serve as a warning system to detect recessions in major economic partners and in industrialized countries as a whole. ; This article constructs just such a warning system. Using a Markov-switching dynamic factor model with a self-adjusting variable-bandwidth filter, the authors ...
Economic Review , Volume 91 , Issue Q 1 , Pages 43-54

Journal Article
How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models
Del Negro, Marco; Schorfheide, Frank (2006-04-02)
In the constant search for better models to help guide policy decisions, central banks have begun to use and develop dynamic stochastic general equilibrium (DSGE) models. Although such models were until recently considered theoretically sound but overly restrictive, newly developed methods have proved successful in specifying DSGE models that fit the macroeconomic data well. ; Policy institutions that use DSGE models in policymaking need a reliable method for evaluating the models? effectiveness. This article reviews a procedure recently proposed by the authors and their colleagues. The ...
Economic Review , Volume 91 , Issue Q 2 , Pages 21-37

Journal Article
Forces that shape the yield curve
Fisher, Mark (2001-01)
The yield curve shows how the yield on a government bond depends on the bond's maturity. Monetary policymakers and observers pay special attention to the shape of the yield curve as an indicator of the economic impact of current and future monetary policy. Without the proper analytical tools, however, drawing inferences from the yield curve can be difficult. This article uses high-school algebra to introduce those tools in a rigorous but accessible way. ; The author develops the basic ideas about the yield curve using an analogy. Next, he discusses bond pricing in a world of perfect ...
Economic Review , Volume 86 , Issue Q1 , Pages 1-15

Journal Article
How resilient is the modern economy to energy price shocks?
Dhawan, Rajeev; Jeske, Karsten (2006-07-03)
While many empirical economists claim that energy price shocks drive U.S. business cycles, economists using dynamic stochastic general equilibrium (DSGE) models believe that business cycles are caused mainly by productivity shocks. ; The authors reconcile the two views by constructing a DSGE model that incorporates energy use into the production function. Calibrating the model properties to match annual U.S. data from 1970 to 2005, they undertake two different experiments. The first incorporates a negative correlation between energy prices shocks and productivity as observed before 1985, and ...
Economic Review , Volume 91 , Issue Q 3 , Pages 21-32

Journal Article
Inflation persistence: how much can we explain?
Rubio-Ramirez, Juan F.; Rabanal, Pau (2003-04)
Until recently most macroeconomic models in which monetary policy has real effects were based on the assumption that agents in the economy do not use all available information when making a decision. Critics of these models argue that this assumption implies that agents are not rational. ; In response to this criticism, a class of New Keynesian models has recently been proposed. These models combine "old" Keynesian elements with an environment in which agents form their expectations rationally. The simplest version of such models includes only one type of nominal rigidity, either sticky ...
Economic Review , Volume 88 , Issue Q2 , Pages 43-55

Journal Article
Smoothing the shocks of a dynamic stochastic general equilibrium model
Rubio-Ramirez, Juan F.; Haltom, Nicholas; Bauer, Andrew (2005-04-02)
In some ways, the recession of 2001 and the recovery that followed it were unique: During the recession, the contraction in measured output was driven almost entirely by a retrenchment in business capital spending while consumer spending and residential investment remained positive. And the recovery was marked by moderate, uneven gross domestic product growth and job market weakness that were historically unusual. These events raise questions about the conventional wisdom on post?World War II business cycles. ; To help answer these questions, the authors use a general equilibrium model with ...
Economic Review , Volume 90 , Issue Q 2 , Pages 35-47

Journal Article
A dynamic multivariate model for use in formulating policy
Zha, Tao (1998-01-01)
A policy action by the Federal Reserve consists of using any one of various instruments, such as the federal funds rate and different measures of money, to pursue its multiple objectives. Because of long and variable lags in the effects of policy actions, the process of anticipating the future is indispensable in formulating sound monetary policy. For the same reason, projecting policy effects accurately is a challenging task. An essential step is to develop good forecasting models. ; This article presents a forecasting model that seems to overcome conceptual and empirical difficulties ...
Economic Review , Volume 83 , Issue Q 1 , Pages 16-29

Journal Article
Take your model bowling: forecasting with general equilibrium models
Del Negro, Marco; Schorfheide, Frank (2003-10)
During the past two decades, dynamic stochastic general equilibrium (DSGE) models have taken center stage in academic macroeconomics. Nonetheless, these models are still rarely used in policy-making and forecasting. ; This article describes the workings of the DSGE-VAR, a procedure that combines DSGE models and vector autoregressions (VARs). The procedure uses DSGE models as priors to restrict the VAR?s parameters. Since the VAR?s parameters are imprecisely estimated unless a very long time series of data is available, using DSGE priors can improve the VAR?s forecasting performance. Moreover, ...
Economic Review , Volume 88 , Issue Q4 , Pages 35-50

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