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Keywords:Econometric models 

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

Journal Article
Changes in monetary policy effectiveness: evidence from large macroeconomic models

This article evaluates changes in the aggregate effectiveness of monetary policy and changes in monetary policy transmission mechanisms by examining how traditional large-scale macroeconometric models have evolved in the last ten to fifteen years. The article analyzes shifts in model structure and sheds some light on the changing relationship between policy and the real economy by reporting simulations that use different historical versions of the models.
Quarterly Review , Volume 17 , Issue Spr

Report
Elasticities of substitution in real business cycle models with home production

Recently, there has been considerable interest in modifying the standard real business cycle model to include home production. In this paper, we construct a simple model of home production that demonstrates the connection between the intertemporal elasticity of substitution (IES), and the elasticity of substitution between home and market consumption. Understanding this connection is important because there is much larger body of empirical evidence on the size of the IES than there is on the size of the static home-market substitution elasticity. We use this framework to shed light on the ...
Research Paper , Paper 9733

Report
Non-linear consumption dynamics

Taking explicitly into account the forward-looking nature of consumption, this paper derives a non-linear equation for consumption growth in which the coefficient of contemporaneous expected income growth is an increasing (decreasing) function of lagged variables positively (negatively) correlated with future income growth. Estimating it with aggregate data, the paper finds statistically and economically significant non-linear consumption dynamics for three major industrial countries. These dynamics imply, among other things, that monetary policy may have a more immediate and profound effect ...
Research Paper , Paper 9726

Report
Macroeconomic forecasts under the prism of error-correction models

When the error correction term exhibits persistence, its change may convey useful information about short-run economic dynamics, which, if not taken sufficiently into account by a forecasting model, could be associated with predictable forecast errors. Such errors are documented in the DRI forecasts for the U.S. consumption, GNP and imports. The strong results, together with the very general assumptions behind the theoretical framework, suggest that similar predictable errors may be pervasive in the forecasts of other large-scale econometric models. Key Words: Error Correction Models, ...
Research Paper , Paper 9728

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Regulatory evaluation of value-at-risk models

Beginning in 1998, commercial banks may determine their regulatory capital requirements for market risk exposure using value-at-risk (VaR) models; i.e., time-series models of the distributions of portfolio returns. Currently, regulators have available three statistical methods for evaluating the accuracy of VaR models: the binomial method, the interval forecast method, and the distribution forecast method. These methods test whether the VaR forecasts in question exhibit properties characteristics of accurate VaR forecasts. However, the statistical tests can have low power against alternative ...
Research Paper , Paper 9710

Report
A general model of brokers' trading, with applications to order flow internalization, insider trading and off-exchange block sales

Multiple informed traders and noise traders pay fees to trade through multiple brokers. Brokers may trade with their customers in the same transaction (simultaneous dual trading) or trade after their customers in a separate transaction (consecutive dual trading). Brokers' expected profits from fees and trading, net of brokerage costs, are zero and so brokers are indifferent between simultaneous and consecutive dual trading. Market depth and price informativeness are higher with consecutive dual trading, compared to both simultaneous dual trading and the no-dual-trading benchmark. If the ...
Research Paper , Paper 9715

Report
A new measure of fit for equations with dichotomous dependent variables

The econometrics literature contains many alternative measures of goodness of fit, roughly analogous to R2, for use with equations with dichotomous dependent variables. There is, however, no consensus as to the measures' relative merits or about which ones should be reported in empirical work. This paper proposes a new measure that possesses several useful properties that the other measures lack. The new measure may be interpreted intuitively in a similar way to R2 in the linear regression context.
Research Paper , Paper 9716

Report
A simple model of conflicting horizons

Research Paper , Paper 9417

Report
Sunspots, asset bubbles, and the store of value motive in overlapping generations models

Research Paper , Paper 9031

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