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Conference Paper
Econometric studies at Bank Indonesia
Mailangkay, N. A. L.; Sitorus, Bistok L. (1975)
Proceedings , Issue 1 , Pages 255-270

Journal Article
Can market-clearing models explain U.S. labor market fluctuations?
Li, Victor E. (1999-07)
Throughout the past two decades, market-clearing models of the business cycle have been praised for their ability to explain key empirical features of the post-war U.S. business cycle. Real business cycle (RBC) theory shows that in a model grounded in microeconomic foundations, disturbances to national productivity can explain how aggregate variables such as GDP, consumption and investment behave over time, relative to each other. One of the primary weaknesses of the standard RBC model, however, is its inability to account for some important aspects of U.S. labor market fluctuations. In this ...
Review , Volume 81 , Issue Jul , Pages 35-49

Journal Article
Assessing simple policy rules: a view from a complete macroeconomic model (commentary)
West, Kenneth D. (2001-07)
Review , Volume 83 , Issue Jul , Pages 83-112

Working Paper
The computational experiment: an econometric tool
Kydland, Finn E.; Prescott, Edward C. (1994)
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
Interpreting life-cycle inequality patterns as an efficient allocation: mission impossible?
Huggett, Mark; Badel, Alejandro (2010)
Data on consumption, earnings, wages and hours dispersion over the life cycle is commonly viewed as incompatible with a Pareto efficient allocation. We show that a model with preference and wage shocks and full insurance produces the rise in consumption, wages and hours dispersion over the life cycle found in U.S. data. The efficient allocation model requires an increasing preference shifter dispersion profile to account for an increasing consumption dispersion profile. We examine U.S. data and find support for the view that the dispersion in preference shifters increases with age.
Working Papers , Paper 2010-046

Working Paper
Specifying and estimating New Keynesian models with instrument rules and optimal monetary policies
Dennis, Richard (2004)
This paper estimates several popular sticky-price New Keynesian models in an effort to understand whether and under what circumstances these models can usefully describe observed outcomes. We estimate and compare specifications that contain different forms of habit formation, specifications that have either the gap or real marginal costs driving inflation, and specifications that use either optimal policymaking or a forward-looking Taylor-type rule to summarize monetary policy. Among other results, we find that the different forms of habit formation lead to very similar aggregate behavior, ...
Working Paper Series , Paper 2004-17

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

Conference Paper
Path dependence in aggregate output
Durlauf, Steven N. (1991-11)
Proceedings , Issue Nov

Working Paper
International evidence on the stability of the optimizing IS equation
Nelson, Edward; Kara, Amit (2004)
In this paper we provide international evidence on the issue of whether the optimizing IS equation is more stable than a backward-looking alternative. The international evidence consist of estimates of IS equations on quarterly data for the UK and Australia, both for the full sample of the last 40 years and for the period following major monetary policy shifts in 1979-80. Our results suggest that the parameters in the optimizing IS equations are more empirically stable than those of the backward-looking alternative. The use of dynamic general equilibrium modelling in empirical work does ...
Working Papers , Paper 2003-020

Working Paper
The Taylor rule and forecast intervals for exchange rates
Wang, Jian; http://fedora:8080/fcrepo/rest/objects/authors/ (2009)
This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold. First, we find that in general, Taylor rule models generate tighter ...
International Finance Discussion Papers , Paper 963

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