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Keywords:Econometric models 

Working Paper
Is monetary policy becoming less effective?

This paper estimates the amount by which the effectiveness of monetary policy in changing real output for a given change in interest rates has declined due to the increased size of the federal government debt.
Working Papers in Applied Economic Theory , Paper 95-05

Journal Article
Macroeconomic models for monetary policy

This Economic Letter summarizes the papers presented at the conference "Macroeconomic Models for Monetary Policy" held at the Federal Reserve Bank of San Francisco on March 1-2, 2002, under the joint sponsorship of the Federal Reserve Bank of San Francisco and the Stanford Institute for Economic Policy Research
FRBSF Economic Letter

Working Paper
Five open questions about prediction markets

Interest in prediction markets has increased in the last decade, driven in part by the hope that these markets will prove to be valuable tools in forecasting, decisionmaking and risk management--in both the public and private sectors. This paper outlines five open questions in the literature, and we argue that resolving these questions is crucial to determining whether current optimism about prediction markets will be realized.
Working Paper Series , Paper 2006-06

Report
Returns on capital assets and variations in economic growth and volatility: a model of Bayesian learning

Research Paper , Paper 9128

Report
No good deals—no bad models

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a model-uncertainty-induced utility function and show that model uncertainty increases investors? effective risk aversion. Using this utility function, we extend the ?no good deals? methodology of Cochrane and Sa-Requejo (2000) to compute lower and upper good-deal bounds in the presence of model uncertainty. We illustrate the methodology using some numerical examples.
Staff Reports , Paper 589

Working Paper
Inference for VARs identified with sign restrictions

There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To date, the methods that have been used are only justified from a Bayesian perspective. This paper develops methods of constructing error bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. The authors also provide a comparison of frequentist and Bayesian error bands in the context of an ...
Working Papers , Paper 11-20

Working Paper
A structural model of real aggregate demand

Working Papers in Applied Economic Theory , Paper 84-03

Working Paper
Solving linear rational expectations models: a horse race

This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998), (Klein, 1999), and (Uhlig, 1999). While all six procedures yield similar results for models with a unique stationary solution, the AIM algorithm of (Anderson and Moore, 1983) provides the highest accuracy; furthermore, this procedure exhibits significant gains in computational efficiency for larger-scale ...
Finance and Economics Discussion Series , Paper 2006-26

Journal Article
Government loan, guarantee, and grant programs: an evaluation

Economic Quarterly , Issue Fall , Pages 25-52

Working Paper
The dynamic effects of government spending shocks on employment and work hours

In this paper, we analyze the dynamic behavior of employment and hours worked per worker in a stochastic general equilibrium model with a matching mechanism between vacancies and unemployed workers. The model is estimated for the U.S. using the Generalized Methods of Moments (GMM) estimation technique. An increase in government spending raises hours worked per worker, and crowds out private consumption due to a negative wealth effect. On the path converging towards the steady state, private consumption is below its long run average and increases, which implies that the interest rate is above ...
Working Paper , Paper 98-09

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Williams, John C. 15 items

Rudebusch, Glenn D. 14 items

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Zha, Tao 14 items

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