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The Time Varying Volatility of Macroeconomic Fluctuations
Justiniano, Alejandro - Society for Computational Economics - SCE - 2006
In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of the structural innovations. We apply our estimation...
Persistent link: https://www.econbiz.de/10005342978
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New Evidence on the Puzzles: Monetary Policy and Exchange Rates
Scholl, Almuth; Uhlig, Harald - Society for Computational Economics - SCE - 2006
Past empirical research on monetary policy in open economies has found the “delayed overshootingâ€, the “forward discount†and the “exchange rate†puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhlig's (2005) identification procedure...
Persistent link: https://www.econbiz.de/10005342942
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Inflation Globalization and the Fall of Country Specific Fluctuations
Mumtaz, Haroon; Surico, Paolo - Society for Computational Economics - SCE - 2006
Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent...
Persistent link: https://www.econbiz.de/10005342903
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Monetary Policy Switch, the Taylor Curve, and the Great Moderation
Castelnuovo, Efrem - Society for Computational Economics - SCE - 2006
curve". The computation is performed both under equilibrium uniqueness and under indeterminacy. While under uniqueness the … indeterminacy a new result arises. We find that the tighter is the monetary policy, the higher is the inflation/output gap … volatility. This is due to impact of systematic monetary policy on inflation and output persistence. In fact, under indeterminacy …
Persistent link: https://www.econbiz.de/10005706215
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The Empirical Relevance of the Lucas Critique
Surico, Paolo; Lubik, Thomas - Society for Computational Economics - SCE - 2006
central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the …
Persistent link: https://www.econbiz.de/10005132606
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The Great Moderation and the ‘Bernanke Conjecture’
Benati, Luca; Surico, Paolo - Society for Computational Economics - SCE - 2006
Was the Great Moderation in the United States due to good policy or good luck? Taking, as data generation process, a New Keynesian sticky-price model in which the only source of change is the move from a passive to an active monetary rule, we show how standard econometric methods, both...
Persistent link: https://www.econbiz.de/10005342934
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The Role of Consumer's Risk Aversion on Price Rigidity
Alves, Sergio A Lago; Bugarin, Mirta N S - Society for Computational Economics - SCE - 2006
This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on...
Persistent link: https://www.econbiz.de/10005537399
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Global sensitivity analysis for macro-economic models
Ratto, Marco - Society for Computational Economics - SCE - 2006
DSGE models are customarily built in the presence of uncertainties of various levels, such as the specification of behavioural equations of economic agents, the actual values of model parameters, and so on. When the degree of complexity of the model structure and its parameterization increases,...
Persistent link: https://www.econbiz.de/10005706176
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Back to square one: identification issues in DSGE models
Canova, Fabio; Sala, Luca - Society for Computational Economics - SCE - 2006
We investigate identifiability issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model impulse responses. We show that observational equivalence, partial and weak identification...
Persistent link: https://www.econbiz.de/10005706199
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Fiscal Policy in an estimated open-economy model for the EURO area.
Marco, Ratto; Werner, Roeger; Jan, Veld - Society for Computational Economics - SCE - 2006
This paper presents an open economy DSGE model, which is estimated on a euro area data set using Bayesian techniques. It extents current models by allowing for a detailed empirical analysis of fiscal stabilisation policies. Reaction functions for expenditure categories are estimated in order to...
Persistent link: https://www.econbiz.de/10005706261