This paper uses long-run equilibrium relationship between consumption and different components of wealth to estimate the effect of changes in housing wealth and financial wealth on consumption. By exploiting this long-run property, it has been shown that a dollar increase in housing wealth...

"We propose an explanation for the demise of monetarism in the United States. We show that optimal monetary policy would lead to zero correlation between monetary aggregates and inflation if the effect of monetary aggregates on inflation is known precisely and to negative correlations if there...

Conventional VAR estimation and forecasting ignores the fact that economic data are often subject to revision many months or years after their initial release. This paper shows how VAR analysis can be modified to account for such revisions. The proposed approach assumes that government...

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

This paper seeks to answer two questions in the context of the Indian economy. First, are all movements in food and energy prices transitory? Second, is there a significant relationship between permanent and transitory shocks to different components of the aggregate price level? Using monthly...

This paper uses an unobserved component model with heteroskedastic disturbances based on Harvey et al. (1992) to measure the time-varying importance of permanent and transitory components in the U.S. house prices. Our findings show that the cyclical component in the U.S. housing market is highly...

This paper proposes a modified present-value model that takes into account the fact that movements in the price-rent ratio for housing may not be mean-reverting. Our approach decomposes the price-rent ratio into expected real rent growth, expected housing return and a non-present-value (NPV)...