Showing 1 - 10 of 33
We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions...
Persistent link: https://www.econbiz.de/10005514599
In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...
Persistent link: https://www.econbiz.de/10005402042
If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...
Persistent link: https://www.econbiz.de/10005721646
The authors present a framework for computing and evaluating linear projections of macro variables conditional on hypothetical paths of monetary policy. A modest policy intervention is a change in policy that does not significantly shift agents' beliefs about policy regime and does not generate...
Persistent link: https://www.econbiz.de/10005721710
This paper brings together identification and forecasting in a positive econometric analysis of policy. We contend that a broad range of important policy questions is consistent with the existing policy process and is not subject to Lucas's critique. We analyze the economics of "business as...
Persistent link: https://www.econbiz.de/10005721725
This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors’ alternative rankings. The results show that the...
Persistent link: https://www.econbiz.de/10005721748
This paper reports the results of 15 experimental asset markets designed to investigate the effect of optimistic forecast bias on market behavior. Each market is organized as a double oral auction in which participants trade a single-period asset with uncertain value. Traders are informed of the...
Persistent link: https://www.econbiz.de/10005514568
Models used for policy analysis should generate reliable unconditional forecasts as well as policy simulations (conditional forecasts) that are based on a structural model of the economy. Vector autoregression (VAR) models have been criticized for having inaccurate forecasts as well as being...
Persistent link: https://www.econbiz.de/10005514597
This paper uses a simple New Keynesian monetary DSGE model as a prior for a vector autoregression and shows that the resulting model is competitive with standard benchmarks in terms of forecasting and can be used for policy analysis.
Persistent link: https://www.econbiz.de/10005401886
Persistent link: https://www.econbiz.de/10005401912