Chahrour and Jurado (2018) have shown that news and noise shocks are observationally equivalent when the econometrician only observes a fundamental process and agents' expectations about it. We show that the observational equivalence result no longer holds when the econometrician observes a...

I explore whether time-series methods exploiting the long-run equilibrium properties of the housing market might have detected the disequilibrium in U.S. house prices which pre-dated the Great Recession as it was building up. Based on real-time data, I show that a VAR in levels identified as in...

This paper critically assesses the practice of band-pass filtering (the non-structural, frequency-domain based decomposition of economic time series into trend and cyclical components), making two main points. First, it is shown that: (a) depending on the stochastic properties of the filtered...

Based on standard New Keynesian models I show that policy counterfactuals based on the theoretical structural VAR representations of the models fail to reliably capture the impact of changes in the parameters of the Taylor rule on the (reduced-form) properties of the economy. Based on estimated...