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Empirical Significance of Learning in a New Keynesian Model with Firm-Specific Capital
Murray, James - Center for Applied Economics and Policy Research … - 2008
This paper examines the empirical significance of learning, a type of adaptive, boundedly rational expectations, in the … accumulation. Estimation results for learning models can be sensitive to the choice for the initial conditions for agents … conditions with the other parameters of the model. Maximum likelihood results show that learning under all methods for initial …
Persistent link: https://www.econbiz.de/10005727869
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Initial Expectations in New Keynesian Models with Learning
Murray, James - Center for Applied Economics and Policy Research … - 2008
learning is sensitive to the stance taken on agents beliefs at the beginning of the sample. The New Keynesian model is … estimated under rational expectations and under learning with three different frameworks for how expectations are set at the … post-war United States. The results indicate statistical evidence for adaptive learning, however the rational expectations …
Persistent link: https://www.econbiz.de/10005227046
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Learning and judgment shocks in U.S. business cycles
Murray, James - Volkswirtschaftliche Fakultät, … - 2011
-war economic volatility within the context of a New Keynesian model. Agents form expectations using constant gain learning then …
Persistent link: https://www.econbiz.de/10008866153
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Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing
Kurmann, André - EconWPA - 2004
This paper proposes a novel Maximum Likelihood (ML) strategy to estimate Euler equations implied by dynamic stochastic theories. The strategy exploits rational expectations cross-equation restrictions, but circumvents the problem of multiple solutions that arises in Sargent's (1979) original...
Persistent link: https://www.econbiz.de/10005412787
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Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing
Kurmann, André - Centre Interuniversitaire sur le Risque, les Politiques … - 2004
This paper proposes a novel Maximum Likelihood (ML) strategy to estimate Euler equations implied by dynamic stochastic theories. The strategy exploits rational expectations cross-equation restrictions, but circumvents the problem of multiple solutions that arises in Sargent's (1979) original...
Persistent link: https://www.econbiz.de/10005696297
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Time-Varying Business Volatility, Price Setting, and the Real Effects of Monetary Policy
Bachmann, Rüdiger; Born, Benjamin; Elstner, Steffen; … - C.E.P.R. Discussion Papers - 2013
Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy into the real economy? To address this question, we estimate from the firm-level micro data of the German IFO Business Climate Survey the impact of idiosyncratic volatility on the...
Persistent link: https://www.econbiz.de/10011083687
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Time-varying business volatility, price setting, and the real effects of monetary policy
Bachmann, Rüdiger; Born, Benjamin; Elstner, Steffen; … - Sachverständigenrat zur Begutachtung der … - 2013
Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy into the real economy? To address this question, we estimate from the firm-level micro data of the German IFO Business Climate Survey the impact of idiosyncratic volatility on the...
Persistent link: https://www.econbiz.de/10010982272
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Has Globalization Transformed U.S. Macroeconomic Dynamics?
Milani, Fabio - Department of Economics, University of California-Irvine - 2009
This paper estimates a structural New Keynesian model to test whether globalization has changed the behavior of U.S. macroeconomic variables. Several key coefficients in the model - such as the slopes of the Phillips and IS curves, the sensitivities of domestic inflation and output to "global"...
Persistent link: https://www.econbiz.de/10004963997
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Explaining inflation-gap persistence by a time-varying Taylor rule
Conrad, Christian; Eife, Thomas A. - In: Journal of Macroeconomics 34 (2012) 2, pp. 419-428
In a simple New Keynesian model, we derive a closed form solution for the inflation-gap persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...
Persistent link: https://www.econbiz.de/10010875202
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Industrial Transformation, Heterogeneity in Price Stickiness, and the Great Moderation
Flamini, Alessandro; Ascari, Guido; Rossi, Lorenza - Centre pour la Recherche Économique et ses … - 2012
Since the ’80s the volatility of output growth and inflation experienced by several industrialized countries has remarkably declined, what has been dubbed the “Great Moderation”. Various explanations have been proposed and likely all play some role. This paper shows that when an industrial...
Persistent link: https://www.econbiz.de/10011031880