Search Results - subject:"new neo-classical synthesis"

A joint econometric model of macroeconomic and term structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - 2004

We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of arbitrage opportunities and a...

Persistent link: https://www.econbiz.de/10011604451

A joint econometric model of macroeconomic and term structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - European Central Bank - 2004

Persistent link: https://www.econbiz.de/10005530738

A joint econometric model of macroeconomic and term structure dynamics

Hoerdahl, Peter; Tristani, Oreste - Econometric Society - 2004

We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale backward/forward-looking rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of...

Persistent link: https://www.econbiz.de/10005063691

An open economy new Keynesian macroeconomic model: The case of Turkey

YILDIRIM, Erhan; LOPCU, Kenan; ÇAKMAKLI, Selim - In: Iktisat Isletme ve Finans 26 (2011) 305, pp. 37-56

international capital flows, the ability of the standard New Neo-Classical Synthesis model to fully take into account economic … dynamics is limited. In this paper, we attempt to extend the New Neo-Classical Synthesis model to a small open economy case by … open economy New Neo-Classical Synthesis model for Turkey can provide a framework to capture the dynamics of the Turkish …

Persistent link: https://www.econbiz.de/10009228679

A Note on NNS Models: Introducing Physical Capital; Avoiding Rationing

DANTHINE, Jean-Pierre; DONALDSON, John B. - Départment d'économétrie et d'économie politique … - 2002

This note makes two comments on recent NNS models. First, it disputes the way physical capital has been introduced into these models arguing that this leads to the dubious postulate that the cost of adjusting physical capital stock is an order of magnitude lower than the cost of changing prices....

Persistent link: https://www.econbiz.de/10005292664

Monetary policy and the expectations hypothesis

Vestin, D.; Hordahl; P. - Society for Computational Economics - SCE - 2004

We document that the expectations puzzle characterising US yield data is strikingly dependent on the monetary policy regime. We then estimate an affine term-structure model built on a parsimonious macroeconomic setup over the 1970-2001 sample. The model allows us to relate deviations from the...

Persistent link: https://www.econbiz.de/10005345245

A Note on NNS Models: Introducing Physical Capital; Avoiding Rationing

Danthine, Jean-Pierre; Donaldson, John B - C.E.P.R. Discussion Papers - 2002

This note makes two comments on recent NNS models. First, it disputes the way physical capital has been introduced into these models, arguing that this leads to the dubious postulate that the cost of adjusting physical capital stock is an order of magnitude lower than the cost of changing...

Persistent link: https://www.econbiz.de/10005661873