A large literature with canonical New Keynesian models has established that the Fed's policy change from a passive to an active response to inflation led to U.S. macro-economic stability after the Great Inflation of the 1970s. We revisit this view by estimating a staggered price model with trend...

Have the macroeconomic effects of QE programs been overestimated empirically? Using a large set of model specifications that differ in the degree of time-variation in parameters, the answer is yes. Our forecasting exercise suggests that it is crucial to allow for time-variation in parameters,...

This paper studies how United States (US) policy actions impacted mortgage-backed securities (MBS) investors and mortgage borrowers during the subprime mortgage crisis of 2007 to 2010. The effects of the following policy actions on MBS spreads and mortgage lending spreads are studied: (i) US...

The lag in effect of monetary policy contains vital information for the policy evaluation. Allowing for a time-varying treatment effect, we show that inflation targeting effectively lowers inflation for both developed and developing countries. Developed countries reach their targets rapidly with...

Measuring the quantitative effects of monetary policy on the economy has been playing a central role in promoting economic growth and stability. However, in the presence of numerous macroeconomic variables, traditional vector autoregression (VAR) could only accommodate a few data series, and...

Structural vector-autoregressive models are potentially very useful tools for guiding both macro- and microeconomic policy. In this paper, we present a recently developed method for exploiting non-Gaussianity in the data for estimating such models, with the aim of capturing the causal structure...

We present strong empirical evidence favoring the role of effective demand in the US economy, in the spirit of Keynes and Kalecki. Our inference comes from a statistically well-specified VAR model constructed on a quarterly basis from 1980 to 2008. US output is our variable of interest, and it...

This paper attempts to extend empirical investigations about the asymmetric effects of monetary shocks in the Brazilian economy. We specify and estimate a nonlinear smooth transition vector autoregressive model including output, price level, exchange rate and a monetary policy indicator (Selic...