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Working Paper
Measuring the Natural Rate of Interest Redux
Laubach, Thomas; Williams, John C. (2016-02-12)
Persistently low real interest rates have prompted the question whether low interest rates are here to stay. This essay assesses the empirical evidence regarding the natural rate of interest in the United States using the Laubach-Williams model. Since the start of the Great Recession, the estimated natural rate of interest fell sharply and shows no sign of recovering. These results are robust to alternative model specifications. If the natural rate remains low, future episodes of hitting the zero lower bound are likely to be frequent and long-lasting. In addition, uncertainty about the ...
Finance and Economics Discussion Series , Paper 2016-11

Working Paper
The financial accelerator and the flight to quality
Gilchrist, Simon; Gertler, Mark; Bernanke, Ben S. (1994)
Finance and Economics Discussion Series , Paper 94-18

Discussion Paper
Understanding unit rooters: a helicopter tour
Uhlig, Harald F.; Sims, Christopher A. (1988)
Discussion Paper / Institute for Empirical Macroeconomics , Paper 4

Working Paper
Algorithms for solving dynamic models with occasionally binding constraints
Fisher, Jonas D. M.; Christiano, Lawrence J. (1994)
Working Paper Series, Macroeconomic Issues , Paper 94-6

Working Paper
Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence
Hooker, Mark A. (1997)
This paper analyzes tests of the Cagan hyperinflation-money demand model that have several advantages relative to those in the literature. They do not confound specification error with rational bubbles, are implementable with a linear procedure, and are frequently able to detect periodically collapsing bubbles that have challenged existing tests. After a Monte Carlo analysis, the tests are applied to data from hyperinflations in Austria, Germany, Hungary, and Poland. Strong evidence of model misspecification is found for Austria, while the model with a rational, explosive component well ...
Finance and Economics Discussion Series , Paper 1997-49

Conference Paper
The international transmission of asset price volatility
Goodhart, Charles A. E. (1988)
Proceedings - Economic Policy Symposium - Jackson Hole

Working Paper
A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model
Zhou, Hao (2000)
This paper performs a Monte Carlo study on Efficient Method of Moments (EMM), Generalized Method of Moments (GMM), Quasi-Maximum Likelihood Estimation (QMLE), and Maximum Likelihood Estimation (MLE) for a continuous-time square-root model under two challenging scenarios--high persistence in mean and strong conditional volatility--that are commonly found in estimating the interest rate process. MLE turns out to be the most efficient of the four methods, but its finite sample inference and convergence rate suffer severely from approximating the likelihood function, especially in the scenario of ...
Finance and Economics Discussion Series , Paper 2000-45

Report
Parsimonious estimation with many instruments
Kapetanios, George; Groen, Jan J. J. (2009)
We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense, our method is equivalent to instrumental variables estimation that is based on principal components. However, even if the factor structure is weak or nonexistent, our method, unlike the principal components approach, still yields consistent estimates. Indeed, simulations indicate that our approach ...
Staff Reports , Paper 386

Working Paper
Testing long run neutrality
Watson, Mark W.; King, Robert G. (1992)
Working Paper Series, Macroeconomic Issues , Paper 92-18

Discussion Paper
Instrumental variable estimators for state space models
Aoki, Masanao (1989)
The state vector in the innovation representation is asymptotically the most efficient instrumental variable estimator for the observation matrix C. The paper compares small sample properties of IV estimators for C, the dynamic matrix A and other matrices with the system theoretic estimators described in Aoki (1987) by a small scale Monte Carlo simulations. The IV estimators appear to be about the same as the system theoretic ones as far as their small sample properties are concerned. The covariance matrix of the state vector calculated from the IV point of view are also compared with the ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 19

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