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Keywords:Econometric models 

Working Paper
New Keynesian optimal-policy models: an empirical assessment

This paper estimates two optimization-based sticky-price New Keynesian models and assesses how well they describe U.S. output, inflation, and interest rate dynamics. We consider models in which either internal habit formation influence consumption behavior, and in which Calvo-pricing and inflation indexation generate price and inflation inertia. Subject to constraints dictated by household and firm behavior, monetary policy is set under discretion and the model's time-consistent equilibrium is employed to estimate key behavioral parameters. We find that specifications estimated on consumption ...
Working Paper Series , Paper 2003-16

Journal Article
An error-correction model of the long-term bond rate

Economic Quarterly , Issue Fall , Pages 49-68

Journal Article
Predicting the money stock: a comparison of alternative approaches

Economic Review , Issue Spr , Pages 38-54

Report
On the existence and uniqueness of nonoptimal equilibria in dynamic stochastic economies

The question of the existence and uniqueness of a stationary equilibrium for distorted versions of the standard neoclassical growth model is addressed in this paper. The conditions presented guaranteeing the existence and uniqueness of nontrivial equilibrium for the class of economies under study are simple and intuitively appealing, while the existence and uniqueness proof developed is elementary. Examples are presented illustrating that economies with distortional taxation, endogenous growth with externalities, and monopolistic competition can all fit into the framework developed.
Staff Report , Paper 151

Report
Markov switching in disaggregate unemployment rates

We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find ...
Staff Reports , Paper 132

Journal Article
Real business cycles: a selective survey

Economic Review , Issue Spr , Pages 3-17

Discussion Paper
Current real business cycle theories and aggregate labor market fluctuations

In the 1930s, Dunlop and Tarshis observed that the correlation between hours worked and the return to working is close to zero. This observation has become a litmus test by which macroeconomic models are judged. Existing real business cycle models fail this test dramatically. Based on this result, we argue that technology shocks cannot be the sole impulse driving post-war U.S. business cycles. We modify prototypical real business cycle models by allowing government consumption shocks to influence labor market dynamics in a way suggested by Aschauer (1985), Baro (1981, 1987), and Kormendi ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 24

Conference Paper
Financial constraints and investment: a critical review of methodological issues and international evidence

Conference Series ; [Proceedings] , Volume 39 , Pages 177-226

Working Paper
Bayesian comparison of econometric models

Working Papers , Paper 532

Journal Article
International spillovers

FRBSF Economic Letter

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Williams, John C. 15 items

Rudebusch, Glenn D. 14 items

Throop, Adrian W. 14 items

Zha, Tao 14 items

Orphanides, Athanasios 12 items

Dennis, Richard 11 items

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