This paper investigates potential changes in monetary policy over the last decades using a nonparametric vector autoregression model. In the proposed model, the conditional mean and variance are time-dependent and estimated using a nonparametric local linear method, which allows for different...

We construct a New Keynesian DSGE model that features financial frictions, investment frictions, long-run productivity risk, and Epstein and Zin (1989) preferences. The model successfully reproduces key features of both asset prices and macroeconomic quantities. Under this set up, we examine the...