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Bauer, Michael D.; Pflueger, Carolin E.; Sunderam, Adi - 2022

We estimate perceptions about the Fed's monetary policy rule from panel data on professional forecasts of interest rates and macroeconomic conditions. The perceived dependence of the federal funds rate on economic conditions is time-varying and cyclical: high during tightening episodes but low...

Persistent link: https://www.econbiz.de/10013475251

Measuring market expectations

Baumeister, Christiane - 2021

applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock …

Persistent link: https://www.econbiz.de/10012622575

Endogenous vs exogenous instability : an out-of-sample comparison

Delli Gatti, Domenico; Gusella, Filippo; Ricchiuti, Giorgio - 2024

Given the unobserved nature of expectations, this paper employs latent variable analysis to examine three financial instability models and assess their out-of-sample forecasting accuracy. We compare a benchmark linear random walk model, which implies exogenous instability phenomena, with a...

Persistent link: https://www.econbiz.de/10014521225

The misspecification of expectations in New Keynesian models : a DSGE-VAR approach

Cole, Stephen J.; Milani, Fabio - 2016

This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...

Persistent link: https://www.econbiz.de/10011541080

Heterogeneity in individual expectations, sentiment, and constant-gain learning

Cole, Stephen J.; Milani, Fabio - 2020

The adaptive learning approach has been fruitfully employed to model the formation of aggregate expectations at the macroeconomic level, as an alternative to rational expectations. This paper uses adaptive learning to understand, instead, the formation of expectations at the micro-level, by...

Persistent link: https://www.econbiz.de/10012226634

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10011566444

Monetary policy analysis in real-time : vintage combination from a real-time dataset

Altavilla, Carlo; Ciccarelli, Matteo - 2011

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

Persistent link: https://www.econbiz.de/10009011352

A high-low model of daily stock price ranges

Cheung, Stephen Y. L. (contributor); … - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10003749656

Uncertainty and monetary policy during extreme events

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2020

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …

Persistent link: https://www.econbiz.de/10012288020

Forty years of oil price fluctuations : why the price of oil may still surprise us

Baumeister, Christiane; Kilian, Lutz - 2016

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

Persistent link: https://www.econbiz.de/10011431626