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Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle
Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2009
We assess the time-varying money's role in the post-WWII U.S. business cycle by estimating a new-Keynesian framework … policymakers to money growth. Rolling-window Bayesian estimations a la Canova (2009) are contrasted to a full sample fixed …-coefficient investigation. Our results suggest that the assumption of stable parameters is unwarranted. The omission of money may induce biased …
Persistent link: https://www.econbiz.de/10008533554
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Model uncertainty, optimal monetary policy and the preferences of the Fed
Castelnuovo, Efrem; Surico, Paolo - 2001
Monetary policy in the US is characterized by a substantial degree of inertia. While in principle this may well be the outcome of an optimizing central bank behavior, the ability of any derived policy rule to match the data relies on so large weights for interest rate smoothing into policy...
Persistent link: https://www.econbiz.de/10011608851
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What does monetary policy reveal about central bank's preferences?
Castelnuovo, Efrem; Surico, Paolo - 2002
The design of monetary policy depends upon the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a novel calibration method to identify...
Persistent link: https://www.econbiz.de/10011335670
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Tracking U.S. Inflation Expectations with Domestic and Global Indicators
Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2006
Are foreign variables important for tracking U.S. inflation expectations? This paper estimates a reduced-form model which takes into account both domestic and global indicators of economic slack as well as inflationary pressures. Our main findings point towards the instability of the estimated...
Persistent link: https://www.econbiz.de/10005786731
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Long Memory and Non-Linearities in International Inflation
Caggiano, Giovanni; Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2008
This paper investigates inflation dynamics in a panel of 20 OECD economies using an approach based on the sample autocorrelation function (ACF). We find that inflation is characterized by long-lasting fluctuations, which are similar across countries and that eventually revert to a potentially...
Persistent link: https://www.econbiz.de/10005786773
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Why are Federal Funds Rates so Smooth?
Castelnuovo, Efrem; Surico, Paolo - Royal Economic Society - RES - 2003
US monetary policy is characterized by a substantial degree of inertia. While in principle this may well be the outcome of an optimizing central bank behaviour, the ability of any derived policy rule to match the data relies on so large weights for interest rate smoothing into policy makers'...
Persistent link: https://www.econbiz.de/10005577125
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What does monetary policy reveal about central bank's preferences?
Castelnuovo, Efrem; Surico, Paolo - 2002
The design of monetary policy depends upon the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a novel calibration method to identify...
Persistent link: https://www.econbiz.de/10011594051
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What Does Monetary Policy Reveal About a Central Bank's Preferences?
Castelnuovo, Efrem; Surico, Paolo - 2003
The design of monetary policy depends on the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a calibration method to estimate a central...
Persistent link: https://www.econbiz.de/10014074652
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What Does Monetary Policy Reveal About Central Bank's Preferences?
Surico, Paolo; Castelnuovo, Efrem - 2002
The design of monetary policy depends upon the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a novel calibration method to identify...
Persistent link: https://www.econbiz.de/10014120497
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Model Uncertainty, Optimal Monetary Policy and the Preferences of the Fed
Surico, Paolo; Castelnuovo, Efrem - 2001
Monetary policy in the US is characterized by a substantial degree of inertia. While in principle this may well be the outcome of an optimizing central bank behavior, the ability of any derived policy rule to match the data relies on so large weights for interest rate smoothing into policy...
Persistent link: https://www.econbiz.de/10014122390