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Forecasting (and Explaining) US Business Cycles

Muellbauer, John; Nunziata, Luca - C.E.P.R. Discussion Papers - 2004

This Paper uses multi-step forecasting models at horizons of 4 and 8 quarters to forecast and explain the growth of real per capita US GDP. In the modeling strategy, a priori sign restrictions play an important role. They are imposed not on impulse response functions but directly on the reduced...

Persistent link: https://www.econbiz.de/10005067520

Fiscal Policy: Institutions versus Rules

Wyplosz, Charles - C.E.P.R. Discussion Papers - 2002

The Paper explores how fiscal policy can be made both more disciplined and more counter-cyclical. It first examines whether the decline of public debts observed in the OECD area during the 1990s can be explained either by less activism or by a priority towards consolidation. It then argues that...

Persistent link: https://www.econbiz.de/10005791671

Back to Keynes?

van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2005

After a brief review of classical, Keynesian, New Classical and New Keynesian theories of macroeconomic policy, we assess whether New Keynesian Economics captures the quintessential features stressed by JM Keynes. Particular attention is paid to Keynesian features omitted in New Keynesian...

Persistent link: https://www.econbiz.de/10005504355

Labor-Market Heterogeneity, Aggregation, and the Lucas Critique

Chang, Yongsung; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2010

This paper assesses biases in policy predictions due to the lack of invariance of ``structural'' parameters in representative-agent models. We simulate data under various fiscal policy regimes from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply....

Persistent link: https://www.econbiz.de/10008684682

Estimating Macroeconomic Models: A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - C.E.P.R. Discussion Papers - 2006

This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those...

Persistent link: https://www.econbiz.de/10005504323

Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - C.E.P.R. Discussion Papers - 2004

This Paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller...

Persistent link: https://www.econbiz.de/10005792244

Policy Uncertainty and Aggregate Fluctuations

Mumtaz, Haroon; Surico, Paolo - C.E.P.R. Discussion Papers - 2013

This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt sustainability and (iv) monetary policy. Following a one standard deviation shock, uncertainty about debt sustainability has the largest and most...

Persistent link: https://www.econbiz.de/10011084234

Bank and Sovereign Risk Interdependence in the Euro Area

Kollintzas, Tryphon; Tsoukalas, Konstantinos - C.E.P.R. Discussion Papers - 2015

We develop a dynamic stochastic general equilibrium model to study bank risk and sovereign risk interdependence in the … Euro Area. We find that an increase in capital investment risk shock, results in a considerably deeper recession when … sovereign risk is also present. This result has three policy implications. First, Euro Area policies dealing with failing banks …

Persistent link: https://www.econbiz.de/10011201352

Tax Rate Variability and Public Spending as Sources of Inderterminacy

Lloyd-Braga, Teresa; Modesto, Leonor; Seegmuller, Thomas - C.E.P.R. Discussion Papers - 2006

We consider a constant returns to scale, one sector economy with segmented asset markets, encompassing both the Woodford (1986) and overlapping generations models. We analyze the role of public spending, financed by (labour or capital) income and consumption taxation, on the emergence of...

Persistent link: https://www.econbiz.de/10005067432

The Stabilizing Role of Government Size

Andrés, Javier; Doménech, Rafael; Fatás, Antonio - C.E.P.R. Discussion Papers - 2004

This Paper presents an analysis of how alternative models of the business cycle can replicate the stylized fact that large governments are associated with less volatile economies. Our analysis shows that adding nominal rigidities and costs of capital adjustment to an otherwise standard RBC model...

Persistent link: https://www.econbiz.de/10005067459