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Keywords:Econometric models 

Working Paper
The computational experiment: an econometric tool

A specification of the steps in designing a computational experiment to address a well-posed quantitative question, emphasizing that the computational experiment is an econometric tool used in the task of deriving the quantitative implications of theory.
Working Papers (Old Series) , Paper 9420

Working Paper
Macroeconomic implications of changes in the term premium

Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. We investigate these implications using both a structural model and a reduced-form framework. We show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature.
Working Paper Series , Paper 2006-46

Conference Paper
Price and investment dynamics: theory and plant level data


Forecasting and estimating multiple change-point models with an unknown number of change points

This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter model with a change point every period and the change-point model with a small number of regimes. We focus on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov Chain Monte Carlo posterior sampler is constructed to ...
Staff Reports , Paper 196

Conference Paper
How independent should a central bank be?

Conference Series ; [Proceedings] , Volume 38 , Pages 195-225

Journal Article
Spatial effects upon employment outcomes: the case of New Jersey teenagers

New England Economic Review , Issue May , Pages 41-64

Journal Article
Forecasting industrial production using models with business cycle asymmetry

This paper exploits an observed business cycle asymmetry, namely, a systematic shift in the dynamic relationship between output growth and an index for financial market conditions across expansionary and contractionary periods, to forecast monthly growth in industrial production. A bivariate model of monthly industrial production and the spread between the yield on 10-year Treasury notes and the federal funds rate is used as an example. This paper's method does not require a forecaster to make an exact exante determination of turning points in the output series being forecasted. A ...
Economic Review

Working Paper
Why and when do spot prices of crude oil revert to futures price levels?

Recent studies of crude oil price formation emphasize the role of interest rates and convenience yield (the adjusted spot-futures spread), confirming that spot prices mean-revert and normally exceed discounted futures. However, these studies don't explain why such "backwardation" is normal. Also, models derived in these studies typically explain only about 1 percent of daily returns, suggesting other factors are important, too. In this paper, I specify a structural oil-market model that links returns to convenience yield, inventory news, and revisions of expected production cost (growth ...
Finance and Economics Discussion Series , Paper 2005-30

Journal Article
The role of fiscal policy in the St. Louis equation

Review , Volume 64 , Issue Jan , Pages 17-22

Journal Article
Depression or price controls : a fictitious dilemma for anti-inflation policy

An abstract for this article is not available
Economic Review , Volume 66 , Issue May , Pages 3-6



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Williams, John C. 15 items

Rudebusch, Glenn D. 14 items

Throop, Adrian W. 14 items

Zha, Tao 14 items

Orphanides, Athanasios 12 items

Dennis, Richard 11 items

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