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Working Paper
The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
Zha, Tao; Waggoner, Daniel F.; Wu, Hongwei (2014-11-01)
Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from both the equi-energy sampler and the sequential Monte Carlo sampler by avoiding the weaknesses of the straight Metropolis-Hastings algorithm as well as those of importance sampling. In particular, the DSMH sampler possesses the capacity to cope with incredibly irregular distributions that are full ...
FRB Atlanta Working Paper , Paper 2014-21

Journal Article
Is the Last Mile More Arduous?
Rapach, David E. (2024-01-16)
US inflation surged starting in spring 2021, with Consumer Price Index (CPI) inflation reaching a 40-year high of 9 percent in mid-2022. Together with improving supply-chain conditions, policy tightening by the Fed decreased inflation to within 1 to 2 percentage points of its 2 percent target by late 2023 without a significant increase in unemployment. However, concerns have been raised that the last mile of disinflation to reduce inflation consistently to its 2 percent target will be more arduous than the previous miles. Close examination of such concerns indicates that they do not receive ...
Policy Hub , Volume 2024 , Issue 1

Working Paper
Monetary policy shocks, inventory dynamics, and price-setting behavior
Yun, Tack; Jung, Yongseung (2005)
In this paper, we estimate a VAR model to present an empirical finding that an unexpected rise in the federal funds rate decreases the ratio of sales to stocks available for sales, while it increases finished goods inventories. In addition, dynamic responses of these variables reach their peaks several quarters after a monetary shock. In order to understand the observed relationship between monetary policy and finished goods inventories, we allow for the accumulation of finished goods inventories in an optimizing sticky price model, where prices are set in a staggered fashion. In our model, ...
Working Paper Series , Paper 2006-02

Working Paper
Bad Jobs and Low Inflation
Melosi, Leonardo; Faccini, Renato (2021-02-09)
The low rate of inflation observed in the U.S. over the entire past decade is hard to reconcile with traditional measures of labor market slack. We show that an alternative notion of slack that encompasses workers' propensity to search on the job explains this missing inflation. We derive this novel concept of slack from a model in which a drop in the on-the-job search rate lowers the intensity of interfirm wage competition to retain or hire workers. The on-the-job search rate can be measured directly from aggregate labor-market flows and is countercyclical. Its recent drop is corroborated by ...
Working Paper Series , Paper WP-2020-09

Working Paper
How well does the New Keynesian sticky-price model fit the data?
Roberts, John M. (2001)
The New Keynesian sticky-price model has become increasingly popular for monetary-policy analysis. However, there have been conflicting results on the empirical performance of the model. In this paper, I attempt to reconcile these conflicting claims by examining various specifications of the model within the context of a single framework. I find that the New Keynesian model does not fit the U.S. data well; in particular, the model requires additional lags of inflation not implied by the model under rational expectations. These additional lags have the interpretation that some fraction of the ...
Finance and Economics Discussion Series , Paper 2001-13

Conference Paper
Modeling inflation after the crisis
Watson, Mark W.; Stock, James H. (2010)
Proceedings - Economic Policy Symposium - Jackson Hole

Working Paper
A quantitative comparison of sticky-price and sticky-information models of price setting
Kiley, Michael T. (2006)
I estimate sticky-price and sticky-information models of price setting for the United States via maximum-likelihood techniques, reaching several conclusions. First, the sticky-price model fits best, and captures inflation dynamics as well as reduced-form equations once hybrid-behavior is allowed. Second, the importance of hybrid behavior in sticky-price models is potentially consistent with a role for some information imperfections, such as sticky information, as a complement to nominal price rigidities. Finally, the favorable results herein for the hybrid sticky-price model when evaluated by ...
Finance and Economics Discussion Series , Paper 2006-45

Journal Article
Inflation: mind the gap
Rudebusch, Glenn D.; Liu, Zheng (2010)
This Economic Letter examines recent evidence concerning the connection between unemployment and inflation. We argue that, in a deep economic downturn such as the current one, inflation and unemployment do tend to move together in a manner consistent with the Phillips curve. But, outside of such severe recessions, fluctuations in the inflation and unemployment rates do not line up particularly well. Inflation appears to be buffeted by many other factors. This explains why some studies find only a "loose empirical relationship" between economic slack and inflation. Thus, compared with the ...
FRBSF Economic Letter

Journal Article
Honest money
Wallich, Henry C. (1998)
Economic Insights , Volume 1 , Issue 1 , Pages 2-3

Journal Article
Inflation and unemployment: a layperson's guide to the Phillips curve
Weinberg, John A.; Lacker, Jeffrey M. (2007-07)
Economic Quarterly , Volume 93 , Issue Sum , Pages 201-227

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