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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

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

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

Monetary Policy Indeterminacy and Identification Failures in the US: Results from a Robust Test

Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Economiche "Marco Fanno", … - 2013

We propose a novel robust test to assess whether an estimated new-Keynesian model is consistent with a unique stable solution, as opposed to multiple equilibria. Our strategy is designed to handle identification failures as well as the misspecification of the relevant propagation mechanisms. We...

Persistent link: https://www.econbiz.de/10011156745

Uncertainty Shocks and Unemployment Dynamics: An Analysis of Post-WWII U.S. Recessions

Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas - Dipartimento di Scienze Economiche "Marco Fanno", … - 2013

We investigate the effects of uncertainty shocks on unemployment dynamics in the post-WWII U.S. recessions via non-linear (Smooth-Transition) VARs. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of i) magnitude of the reaction...

Persistent link: https://www.econbiz.de/10011156749

Fitting U.S. Trend Inflation: A Rolling-Window Approach.

Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2012

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...

Persistent link: https://www.econbiz.de/10010702037

Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions

Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas - Melbourne Institute of Applied Economic and Social … - 2014

We investigate the effects of uncertainty shocks on unemployment dynamics in the post- WWII U.S. recessions via non-linear (Smooth-Transition) VARs. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of (i) magnitude of the...

Persistent link: https://www.econbiz.de/10010858801

Estimating fiscal multipliers: evidence from a nonlinear world

Caggiano, Giovanni; Castelnuovo, Efrem; Colombo, Valentina - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

We estimate nonlinear VARs to assess to what extent fiscal spending multipliers are countercyclical in the United States. We deal with the issue of nonfundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated...

Persistent link: https://www.econbiz.de/10010842576

Calvo vs. Rotemberg in a trend inflation world: An empirical investigation

Ascari, Guido; Castelnuovo, Efrem; Rossi, Lorenza - In: Journal of Economic Dynamics and Control 35 (2011) 11, pp. 1852-1867

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...

Persistent link: https://www.econbiz.de/10011051881

Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test

Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

We propose a novel identification-robust test for the null hypothesis that an estimated new-Keynesian model has a reduced form consistent with the unique stable solution against the alternative of sunspot-driven multiple equilibria. Our strategy is designed to handle identification failures as...

Persistent link: https://www.econbiz.de/10011123415