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A state-level analysis of the Great Moderation

Owyang, Michael T.; Piger, Jeremy M.; Wall, Howard J. - Federal Reserve Bank of St. Louis - 2007

the origin of the aggregate volatility reduction. We show that states with relatively high concentrations in the durable-goods …

Persistent link: https://www.econbiz.de/10005360567

International evidence on the stability of the optimizing IS equation

Kara, Amit; Nelson, Edward - Federal Reserve Bank of St. Louis - 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...

Persistent link: https://www.econbiz.de/10005707758

Inflation and economic activity in a multiple matching model of money

Laing, Derek; Li, Victor E.; Wang, Ping - Federal Reserve Bank of St. Louis - 1998

-theoretic environment with divisible money and goods. We find that in such a setting, a positive feedback between work and shopping effort …This paper investigates the relationship between money growth, inflation, and productive activity in a general … equilibrium model where search frictions motivate the transactions role of money. The use of a multiple matching technique, where …

Persistent link: https://www.econbiz.de/10005360588

An approximate dual-self model and paradoxes of choice under risk

Fudenberg, Drew; Levine, David K.; Maniadis, Zacharias - Federal Reserve Bank of St. Louis - 2012

We derive a simplified version of the model of Fudenberg and Levine [2006, 2011] and show how this approximate model is useful in explaining choice under risk. We show that in the simple case of three outcomes, the model can generate indifference curves that “fan out” in the Marshack-Machina...

Persistent link: https://www.econbiz.de/10011027334

The efficient market hypothesis and identification in structural VARs

Sarno, Lucio; Thornton, Daniel L. - Federal Reserve Bank of St. Louis - 2003

Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that if the...

Persistent link: https://www.econbiz.de/10005360546

Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models

Dueker, Michael - Federal Reserve Bank of St. Louis - 2006

A pair of simple modifications-in the forecast error and forecast error variance-to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal and latent. Such recursions are broadly applicable to macroeconometric models, such as...

Persistent link: https://www.econbiz.de/10005707653

The low-frequency impact of daily monetary policy shocks

Francis, Neville; Ghysels, Eric; Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2011

With rare exception, studies of monetary policy tend to neglect the timing of the innovations to the monetary policy instrument. Models which do take timing seriously are often difficult to compare to standard VAR models of monetary policy because of the differences in the frequency that they...

Persistent link: https://www.econbiz.de/10008872024

U.S. monetary policy: a view from macro theory

Gavin, William T.; Keen, Benjamin D. - Federal Reserve Bank of St. Louis - 2012

We use a dynamic stochastic general equilibrium model to address two questions about U.S. monetary policy: 1) Can monetary policy elevate output when it is below potential? and 2) Is the zero lower bound a trap? The model answer to the first question is yes it can, but the effect is only...

Persistent link: https://www.econbiz.de/10010558512

Monetary policy in a Markov-switching VECM: implications for the cost of disinflation and the price puzzle

Francis, Neville; Owyang, Michael T. - Federal Reserve Bank of St. Louis - 2004

Monetary policy VARs typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy...

Persistent link: https://www.econbiz.de/10005490901

Optimal stabilization policy with endogenous firm entry

Berentsen, Aleksander; Waller, Christopher J. - Federal Reserve Bank of St. Louis - 2009

stabilization policy in a DSGE model with microfounded money demand and endogenous firm entry. Due to a congestion externality …

Persistent link: https://www.econbiz.de/10005077874