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On the indeterminacy of determinacy and indeterminacy
Beyer, Andreas; Farmer, Roger E. A. - 2003
A number of authors have attempted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays...
Persistent link: https://www.econbiz.de/10011604323
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On the indeterminacy of new-Keynesian economics
Beyer, Andreas; Farmer, Roger E. A. - 2004
We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiÞed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to...
Persistent link: https://www.econbiz.de/10011604369
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A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models
Beyer, Andreas; Farmer, Roger E. A. - 2006
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...
Persistent link: https://www.econbiz.de/10011604632
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A Method to Generate Structural Impulse-Responses for Measuring the Effects of Shocks in Structural Macro Models
Beyer, Andreas; Farmer, Roger E. A. - 2021
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...
Persistent link: https://www.econbiz.de/10013318029
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Money and payments: a modern perspective
Holthausen, Cornelia; Monnet, Cyril - 2003
The role of money in society has been a controversial topic in economic theory over many years. Particular attention … has been devoted to the analysis whether there should be competition in the supply of money, or whether this is best left … today we have competition between issuers of money, namely in the international context, with electronic money, and in large …
Persistent link: https://www.econbiz.de/10011604291
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Do monetary indicators lead euro area inflation?
Hofmann, Boris - 2008
ability of money-based forecasts relative to a simple random walk benchmark model was high at medium-term forecasting horizons …
Persistent link: https://www.econbiz.de/10011604913
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A theory of pruning
Lombardo, Giovanni; Uhlig, Harald - 2014
Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...
Persistent link: https://www.econbiz.de/10011605741
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Interbank asset-liability networks with fire sale management
Feinstein, Zachary; Ha±aj, Grzegorz - 2023
Interconnectedness is an inherent feature of the modern financial system. While it contributes to efficiency of financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks' capitalization. This has recently been seen during the...
Persistent link: https://www.econbiz.de/10014374594
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A Theory of Pruning
Lombardo, Giovanni - 2014
Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be attractive, but bear the danger of generating explosive solutions in originally stationary models. Kim-Kim-Schaumburg-Sims (2008) proposed pruning to deal with this challenge for...
Persistent link: https://www.econbiz.de/10013051660