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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the...
Persistent link: https://www.econbiz.de/10009385759
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Skill-Biased Technological Change and the Business Cycle
Balleer, Almut; van Rens, Thijs - C.E.P.R. Discussion Papers - 2011
-biased technology shocks in a VAR with long-run restrictions. Hours fall in response to skill-biased technology shocks, indicating that …
Persistent link: https://www.econbiz.de/10009643505
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US Post-war Monetary Policy: What Caused the Great Moderation?
Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2010
Using indirect inference based on a VAR we confront US data from 1972 to 2007 with a standard New Keynesian model in … Acceleration and the Great Moderation. The implication is that changing variances of shocks caused the reduction of volatility …. Smaller Fed policy errors accounted for the fall in inflation volatility. Smaller supply shocks accounted for the fall in …
Persistent link: https://www.econbiz.de/10008692309
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Structural Vector Autoregressions
Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Structural vector autoregressive (VAR) models were introduced in 1980 as an alternative to traditional large … of the structural VAR methodology often were atheoretical in that users paid insufficient attention to the conditions … identifying assumptions the structural VAR literature has continuously evolved since the 1980s. This survey traces the evolution …
Persistent link: https://www.econbiz.de/10009201117
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Testing the Monetary Policy Rule in the US: a Reconsideration of the Fed’s Behaviour
Minford, Patrick; Ou, Zhirong - C.E.P.R. Discussion Papers - 2009
We calibrate a standard New Keynesian model with three alternative representations of monetary policy- an optimal timeless rule, a Taylor rule and another with interest rate smoothing- with the aim of testing which if any can match the data according to the method of indirect inference. We find...
Persistent link: https://www.econbiz.de/10008491715
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The 'Puzzles' Methodology: en route to Indirect Inference?
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data moments. We compare these with the method of Indirect Inference to which they are closely related. We illustrate the comparison with contrasting assessments of a two-country model in...
Persistent link: https://www.econbiz.de/10008496453
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How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data …
Persistent link: https://www.econbiz.de/10008496457
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Some Problems in the Testing of DSGE Models
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2010
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other features with data equivalents. We note that they select, scale and characterise the shocks without reference to the data; crucially they fail to use the joint distribution of the...
Persistent link: https://www.econbiz.de/10008468675
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How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States
Enders, Zeno; Müller, Gernot; Scholl, Almuth - C.E.P.R. Discussion Papers - 2010
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive...
Persistent link: https://www.econbiz.de/10008468685
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International Shocks and the Role of Domestic Policy in Australia
Dungey, Mardi - Research School of Economics, College of Business and … - 2001
Persistent link: https://www.econbiz.de/10004971395