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Global Forces and Monetary Policy Effectiveness

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2008

In this paper, we quantify the changes in the relationship between international forces and many key US macroeconomic variables over the 1984-2005 period, and analyze changes in the monetary policy transmission mechanism. We do so by estimating a Factor-Augmented VAR on a large set of US and...

Persistent link: https://www.econbiz.de/10005050455

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

Ng, Serena; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2013

This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...

Persistent link: https://www.econbiz.de/10010821736

Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models

Levin, Andrew Theo; Onatski, Alexei; Williams, John C.; … - National Bureau of Economic Research (NBER) - 2005

We use a micro-founded macroeconometric modeling framework to investigate the design of monetary policy when the central bank faces uncertainty about the true structure of the economy. We apply Bayesian methods to estimate the parameters of the baseline specification using postwar U.S. data, and...

Persistent link: https://www.econbiz.de/10005050058

Modeling Inflation After the Crisis

Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2010

In the United States, the rate of price inflation falls in recessions. Turning this observation into a useful inflation forecasting equation is difficult because of multiple sources of time variation in the inflation process, including changes in Fed policy and credibility. We propose a tightly...

Persistent link: https://www.econbiz.de/10008684846

The Economics of Options-Implied Inflation Probability Density Functions

Wright, Jonathan; Kitsul, Yuriy - National Bureau of Economic Research (NBER) - 2012

announcements, and find that the implied odds of deflation are sensitive to certain macroeconomic news releases. We compare the … deflation or high inflation) than do their time series counterparts. This yields a U-shaped empirical pricing kernel, with … investors having high marginal utility in states of the world characterized by either deflation or high inflation. …

Persistent link: https://www.econbiz.de/10011276419

Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective

Bordo, Michael David; Siklos, Pierre - National Bureau of Economic Research (NBER) - 2014

This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...

Persistent link: https://www.econbiz.de/10011079872

Central Bank Credibility: An Historical and Quantitative Exploration

Bordo, Michael David; Siklos, Pierre L. - National Bureau of Economic Research (NBER) - 2015

In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...

Persistent link: https://www.econbiz.de/10011119808

Relative Goods' Prices, Pure Inflation, and the Phillips Correlation

Reis, Ricardo; Watson, Mark W. - National Bureau of Economic Research (NBER) - 2007

This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices to separate them into three independent components: idiosyncratic relative-price changes, a low-dimensional index of aggregate relative-price changes, and an index of equiproportional changes in all...

Persistent link: https://www.econbiz.de/10005037711

Forecasting Inflation

Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 1999

This paper investigates forecasts of U.S. inflation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out of sample forecasting framework. Inflation forecasts produced by the Phillips curve generally have been more...

Persistent link: https://www.econbiz.de/10005720740

A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series

Stock, James H.; Watson, Mark W. - National Bureau of Economic Research (NBER) - 1998

A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...

Persistent link: https://www.econbiz.de/10005575252