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Journal Article
Financial market imperfections and macroeconomics: conference summary

The Federal Reserve Bank of San Francisco?s annual macroeconomics conference focused this year on the theme ?Financial Market Imperfections and Macroeconomics.? Conference papers> explored the empirical and theoretical performance of the U.S. and international economies before, during, and after a financial crisis. Financial crises are typically associated with severe economic downturns, but monetary policy can help to offset some of these effects. The unconventional monetary policies pursued by many central banks after the most recent crisis may have helped prevent it from becoming much ...
FRBSF Economic Letter

Working Paper
Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters

An emerging and influential literature finds a large and significant decline in macroeconomic volatility since the middle of the 1980's. In this paper, I examine the extent to which the decline in annual and quarterly real output volatility since the onset of this period of Great Moderation can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability. I use point forecasts of future real output growth from the Survey of Professional Forecasters (SPF) between 1969 and 2003 as a proxy for the predictable component of real output growth. The results indicate that ...
Finance and Economics Discussion Series , Paper 2004-52

Journal Article
Review essay on The State of Macroeconomics(1990) edited by Seppo Honkapohja

Economic Review , Issue Jul , Pages 44-47

Conference Paper
Performance of operational policy rules in an estimated semi-classical structural model

Proceedings , Issue Mar

Macroeconomic policy and labor markets: lessons from Dale Mortensen’s research

On April 15?16, 2011, Northwestern University and the Chicago Fed co-sponsored a conference in honor of Dale Mortensen?a Northwestern University professor, Chicago Fed consultant, and co-recipient (along with Peter Diamond and Christopher Pissarides) of the 2010 Nobel Prize in economics, awarded for his analysis of markets with search frictions. This article summarizes one panel that presented work on the current state of the U.S. labor market, using Mortensen?s research.
Chicago Fed Letter , Issue Aug

Working Paper
Using extraneous information to analyze monetary policy in transition economies

Empirical work in macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of transition economies. We use a mixed estimation method incorporating information from OECD country data to estimate the parameters of a reduced-form transition economy model. An exactly identified structural VAR model is then constructed to analyze monetary policy. The OECD information increases the precision of the impulse response functions in the transition economies. The method provides a systematic way to use extraneous information to ...
Working Papers , Paper 2004-034

Working Paper
A two-sector approach to modeling U.S. NIPA data

The one-sector Solow-Ramsey model is the most popular model of long-run economic growth. This paper argues that a two-sector approach, which distinguishes the durable goods sector from the rest of the economy, provides a far better picture of the long-run behavior of the U.S. economy. Real durable goods output has consistently grown faster than the rest of the economy. Because most investment spending is on durable goods, the one-sector model's hypothesis of balanced growth, so that the real aggregates for consumption, investment, output, and the capital stock all grow at the same rate in the ...
Finance and Economics Discussion Series , Paper 2001-04

Benefits and spillovers of greater competition in Europe: a macroeconomic assessment

We estimate the macroeconomic benefits and international spillovers of an increase in competition using a general-equilibrium simulation model with nominal rigidities and monopolistic competition in product and labor markets. We draw three conclusions after calibrating the model to the euro area against the rest of the industrial world. First, greater competition produces large effects on macroeconomic performance, as measured by standard indicators. In particular, we show that differences in competition can account for more than half of the current gap in GDP per capita between the euro area ...
Staff Reports , Paper 182

Working Paper
Estimating the parameters of a small open economy DSGE model: identifiability and inferential validity

This paper estimates the parameters of a stylized dynamic stochastic general equilibrium model using maximum likelihood and Bayesian methods, paying special attention to the issue of weak parameter identification. Given the model and the available data, the posterior estimates of the weakly identified parameters are very sensitive to the choice of priors. We provide a set of tools to diagnose weak identification, which include surface plots of the log-likelihood as a function of two parameters, heat plots of the log-likelihood as a function of three parameters, Monte Carlo simulations using ...
International Finance Discussion Papers , Paper 955

Conference Paper
International interdependence and the constraints on macroeconomic policies




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