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Working Paper
Time-varying U.S. inflation dynamics and the New-Keynesian Phillips curve
Lansing, Kevin J. (2006)
This paper introduces a form of boundedly-rational expectations into an otherwise standard New-Keynesian Phillips curve. The representative agent's forecast rule is optimal (in the sense of minimizing mean squared forecast errors), conditional on a perceived law of motion for inflation and observed moments of the inflation time series. The perceived law of motion allows for both temporary and permanent shocks to inflation, the latter intended to capture the possibility of evolving shifts in the central bank's inflation target. In this case, the agent's optimal forecast rule defined by the ...
Working Paper Series , Paper 2006-15

Working Paper
Interpreting long-horizon estimates in predictive regressions
Hjalmarsson, Erik (2008)
This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-run estimator, given the short-run estimate, is no longer degenerate and the expected pattern of coefficient estimates across horizons differs from that under the null. Importantly, however, under the ...
International Finance Discussion Papers , Paper 928

Discussion Paper
Minimum weighted residual methods for solving aggregate growth models
Judd, Kenneth L. (1991)
Discussion Paper / Institute for Empirical Macroeconomics , Paper 49

Working Paper
Price-level determinacy, lower bounds on the nominal interest rate, and liquidity traps
Alstadheim, Ragna; Henderson, Dale W. (2004)
We consider monetary-policy rules with inflation-rate targets and interest-rate or money-growth instruments using a flexible-price, perfect-foresight model. There is always a locally-unique target equilibrium. There may also be below-target equilibria (BTE) with inflation always below target and constant, asymptotically approaching or eventually reaching a below-target value, or oscillating. Liquidity traps are neither necessary nor sufficient for BTE which can arise if monetary policy keeps the interest rate above a lower bound. We construct monetary rules that preclude BTE when fiscal ...
International Finance Discussion Papers , Paper 795

Working Paper
U.S. monetary policy and econometric modeling: tales from the FOMC transcripts 1984-1991
Marquez, Jaime R.; Edison, Hali J. (1998)
This paper uses the transcripts from the FOMC meetings to characterize the interactions between policymakers and macro models in the formulation of U.S. monetary policy. We develop a taxonomy of these interactions and present two case studies. The first case focuses on the debate on the choice of monetary target and the second case focuses on the 1990/1991 recession. The analysis reveals that U.S. monetary policy relies on models for information. Models give estimates of both the outlook and the response of the economy to policy changes. Models also evolve to recognize the changing context in ...
International Finance Discussion Papers , Paper 607

Journal Article
An error-correction model of the long-term bond rate
Mehra, Yash P. (1994-10)
Economic Quarterly , Issue Fall , Pages 49-68

Working Paper
A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro
Haller, Hans; Lengwiler, Yvan (1998)
Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe that the non-existence problem disappears if bids must come in multiples of smallest units --- a realistic feature. Moreover, we show that most of the analysis can be recast in a discrete action ...
Finance and Economics Discussion Series , Paper 1998-08

Working Paper
The impact of financial frictions on a small open economy: when current account borrowing hits a limit
Valderrama, Diego (2002)
The evidence of the last 20 years of recurring output busts and rapid reversals of the current account in emerging markets indicates that domestic agents may not be able to borrow in international capital markets to fully insure themselves against internal and external shocks. This paper models this phenomenon as a form of excess volatility by introducing a financial friction into a stochastic model of a small open economy. The financial friction limits the current account deficit to a fixed fraction of gross domestic product. The paper shows that conditional volatility and asymmetry are ...
Working Paper Series , Paper 2002-15

Working Paper
Benefits and spillovers of greater competition in Europe: a macroeconomic assessment
Bayoumi, Tamim; Laxton, Douglas; Pesenti, Paolo (2004)
Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labor markets, this paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the rest of the industrial world, the paper draws three conclusions. First, greater competition produces large effects on macroeconomic performance, as measured by standard indicators. In particular, we show that differences in competition can account for over half of the current gap in GDP per capita ...
International Finance Discussion Papers , Paper 803

Journal Article
Commentary on Issues on potential growth measurement and comparison: how structural is the production function approach?
Faust, Jon (2009-07)
Review , Volume 91 , Issue Jul

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