This paper estimates and compares New-Keynesian DSGE monetary models of the business cycle derived under two different pricing schemes - Calvo (1983) and Rotemberg (1982) - under a positive trend inflation rate. Our empirical findings (i) support trend inflation as an empirically relevant...

This paper estimates a new-Keynesian model of the business cycle for the post-WWII U.S. economy and performs theoretical and counterfactual simulations to isolate the role played by systematic monetary policy and macroeconomic shocks in shaping the volatilities of inflation and output. Shocks to...

We estimate a new-Keynesian DSGE model with the cost channel to assess its ability to replicate the price puzzle ie the inflationary impact of a monetary policy shock typically arising in VAR analysis. In order to correctly identify the monetary policy shock, we distinguish between a standard...

This paper investigates the interactions between stock market fluctuations and monetary policy within a DSGE model for the U.S. economy. First, we design a framework in which fluctuations in households financial wealth are allowed--but not necessarily required--to exert an impact on current...

Are foreign variables important for tracking U.S. inflation expectations? This paper estimates a reduced-form model that takes both domestic and global indicators of economic slack and inflationary pressures into account. Our main findings point towards the instability of the estimated...

This article re-examines the VAR evidence on the price puzzle and proposes a new theoretical interpretation. Using actual data and two identification strategies based on zero restrictions and "model-consistent" sign restrictions, we find that the positive response of prices to a monetary policy...

A new-Keynesian DSGE model in which contractionary monetary policy shocks generate recessions is estimated with U.S. data. It is then used in a Monte Carlo exercise to generate artificial data with which VARs are estimated. VAR monetary policy shocks are identified via sign restrictions. Our VAR...

The role of trend inflation shocks for the U.S. macroeconomic dynamics is investigated by estimating two DSGE models of the business cycle. Policymakers are assumed to be concerned with a time-varying inflation target, which is modeled as a persistent and stochastic process. The identification...

What does a monetary policy shock do? We answer this question by estimating a new-Keynesian monetary policy DSGE model for a number of economies with a variety of empirical proxies of the business cycle. The effects of two different policy shocks, an unexpected interest rate hike conditional on...