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Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data
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Cited by:
- Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2013.
"Second-order approximation of dynamic models with time-varying risk,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1231-1247.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," NBER Working Papers 16633, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
- Benigno, Pierpaolo & Benigno, Gianluca & Nistico, Salvatore, 2011. "Second Order Approximation of Dynamic Models with Time-Varying Risk," CEPR Discussion Papers 8177, C.E.P.R. Discussion Papers.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," CEP Discussion Papers dp1033, Centre for Economic Performance, LSE.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2011. "Second-order approximation of dynamic models with time-varying risk," LSE Research Online Documents on Economics 119071, London School of Economics and Political Science, LSE Library.
- Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2010. "Second-order approximation of dynamic models with time-varying risk," LSE Research Online Documents on Economics 121707, London School of Economics and Political Science, LSE Library.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2010. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," EIEF Working Papers Series 1021, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2010.
- Francesco Bianchi & Cosmin Ilut, 2017.
"Monetary/Fiscal Policy Mix and Agent's Beliefs,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 26, pages 113-139, October.
- Francesco Bianchi, 2011. "Monetary/Fiscal Policy Mix and Agents' Beliefs," 2011 Meeting Papers 156, Society for Economic Dynamics.
- Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
- Ilut, Cosmin & Bianchi, Francesco, 2013. "Monetary/Fiscal Policy Mix and Agents' Beliefs," CEPR Discussion Papers 9645, C.E.P.R. Discussion Papers.
- Fasani, Stefano & Rossi, Lorenza, 2018.
"Are uncertainty shocks aggregate demand shocks?,"
Economics Letters, Elsevier, vol. 167(C), pages 142-146.
- Stefano Fasani & Lorenza Rossi, 2018. "Are Uncertainty Shocks Aggregate Demand Shocks?," DEM Working Papers Series 148, University of Pavia, Department of Economics and Management.
- Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
- Ekaterina Pirozhkova, 2017. "Banks' balance sheet, uncertainty and macroeconomy," EcoMod2017 10430, EcoMod.
- Bikbov, Ruslan & Chernov, Mikhail, 2013.
"Monetary policy regimes and the term structure of interest rates,"
Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
- Chernov, Mikhail & Bikbov, Ruslan, 2008. "Monetary Policy Regimes and the Term Structure of Interest Rates," CEPR Discussion Papers 7096, C.E.P.R. Discussion Papers.
- Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
- Bidder, R.M. & Smith, M.E., 2012.
"Robust animal spirits,"
Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
- Matthew Smith & Rhys Bidder, 2013. "Robust Animal Spirits," 2013 Meeting Papers 265, Society for Economic Dynamics.
- Francesco Bianchi & Leonardo Melosi, 2017.
"Escaping the Great Recession,"
American Economic Review, American Economic Association, vol. 107(4), pages 1030-1058, April.
- Leonardo Melosi & Francesco Bianchi, 2013. "Escaping the Great Recession," 2013 Meeting Papers 203, Society for Economic Dynamics.
- Francesco Bianchi & Leonardo Melosi, 2014. "Escaping the Great Recession," Working Paper Series WP-2014-17, Federal Reserve Bank of Chicago.
- Francesco Bianchi & Leonardo Melosi, 2016. "Escaping the Great Recession," Working Paper Series WP-2016-16, Federal Reserve Bank of Chicago.
- Francesco Bianchi & Leonardo Melosi, 2014. "Escaping the Great Recession," NBER Working Papers 20238, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Melosi, Leonardo, 2013. "Escaping the Great Recession," CEPR Discussion Papers 9643, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Leonardo Melosi, 2013. "Escaping the Great Recession," Working Papers 13-19, Duke University, Department of Economics.
- Leonardo Melosi & Francesco Bianchi, 2015. "Escaping the Great recession," 2015 Meeting Papers 1035, Society for Economic Dynamics.
- Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010.
"Macroeconomics and Volatility: Data, Models, and Estimation,"
NBER Working Papers
16618, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
- Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015.
"Macroeconomic regimes,"
Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
- Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.
- Baele, L.T.M. & Bekaert, G.R.J. & Cho, S. & Inghelbrecht, K. & Moreno, A., 2015. "Macroeconomic regimes," Other publications TiSEM e92a1993-778e-4ce2-b603-6, Tilburg University, School of Economics and Management.
- Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers 03/12, School of Economics and Business Administration, University of Navarra.
- Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
- L. Baele & G. Bekaert & S. Cho & K. Inghelbrecht & A. Moreno, 2013. "Macroeconomic Regimes," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/870, Ghent University, Faculty of Economics and Business Administration.
- Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015.
"Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination,"
Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
- Mohr, Matthias & Maurin, Laurent & Guérin, Pierre, 2011. "Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination," Working Paper Series 1384, European Central Bank.
- Müller, Ulrich K., 2012. "Measuring prior sensitivity and prior informativeness in large Bayesian models," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 581-597.
- Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012.
"Computing DSGE Models with Recursive Preferences and Stochastic Volatility,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
- Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2018. "Monetary policy shocks, inflation persistence, and long memory," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 117-127.
- Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
- Lee, Junghoon, 2016. "The impact of idiosyncratic uncertainty when investment opportunities are endogenous," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 105-124.
- Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2019.
"Forecasting with instabilities: An application to DSGE models with financial frictions,"
Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
- Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting with Instabilities: an Application to DSGE Models with Financial Frictions," Working Papers 201523, School of Economics, University College Dublin.
- Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
- Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 217-236, May.
- Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
- Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
- Gonzalez-Astudillo, Manuel, 2013.
"Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients,"
MPRA Paper
50040, University Library of Munich, Germany.
- Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
- Pablo A. Guerron‐Quintana & Ryo Jinnai, 2019.
"Financial frictions, trends, and the great recession,"
Quantitative Economics, Econometric Society, vol. 10(2), pages 735-773, May.
- GUERRON-QUINTANA, Pablo A. & JINNAI, Ryo & 陣内, 了, 2015. "Financial Frictions, Trends, and the Great Recession," Discussion paper series HIAS-E-14, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Rhys M. Bidder, 2015. "Animal spirits and business cycles," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012.
"Risk, Monetary Policy, and the Exchange Rate,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
- Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Working Papers 17133, National Bureau of Economic Research, Inc.
- Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
- Steffen R. Henzel & Malte Rengel, 2017.
"Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis,"
Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
- Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," ifo Working Paper Series 167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Steffen Henzel & Malte Rengel, 2014. "Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis," CESifo Working Paper Series 4991, CESifo.
- Henzel, Steffen R. & Rengel, Malte, 2017. "Dimensions of macroeconomic uncertainty: a common factor analysis," Munich Reprints in Economics 49932, University of Munich, Department of Economics.
- Bianchi, Francesco, 2016.
"Methods for measuring expectations and uncertainty in Markov-switching models,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
- Bianchi, Francesco, 2013. "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers 9705, C.E.P.R. Discussion Papers.
- Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 400-408.
- Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramirez, 2010. "Reading the recent monetary history of the United States, 1959-2007," Review, Federal Reserve Bank of St. Louis, vol. 92(May), pages 311-338.
- Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
- Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.