IDEAS home Printed from https://ideas.repec.org/p/red/append/22-197.html
   My bibliography  Save this paper

Online Appendix to "Code and data files for "Does my model predict a forward guidance puzzle?"

Author

Listed:
  • Christopher Gibbs

    (University of Sydney)

  • Nigel McClung

    (Bank of Finland)

Abstract

Online appendix for the Review of Economic Dynamics article

Suggested Citation

  • Christopher Gibbs & Nigel McClung, 2023. "Online Appendix to "Code and data files for "Does my model predict a forward guidance puzzle?"," Online Appendices 22-197, Review of Economic Dynamics.
  • Handle: RePEc:red:append:22-197
    Note: The original article was published in the Review of Economic Dynamics
    as

    Download full text from publisher

    File URL: https://red-files-public.s3.amazonaws.com/appendix/22/22-197/22-197.pdf
    Download Restriction: None
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. George-Marios Angeletos & Chen Lian, 2018. "Forward Guidance without Common Knowledge," American Economic Review, American Economic Association, vol. 108(9), pages 2477-2512, September.
    2. Mariano Kulish & Adrian Pagan, 2017. "Estimation and Solution of Models with Expectations and Structural Changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 255-274, March.
    3. Adam Cagliarini & Mariano Kulish, 2013. "Solving Linear Rational Expectations Models with Predictable Structural Changes," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 328-336, March.
    4. Gibbs, Christopher G., 2018. "Learning to believe in secular stagnation," Economics Letters, Elsevier, vol. 163(C), pages 50-54.
    5. Nigel McClung, 2021. "The Power of Forward Guidance and the Fiscal Theory of the Price Level," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-57, December.
    6. Gauti B. Eggertsson & Neil R. Mehrotra, 2014. "A Model of Secular Stagnation," NBER Working Papers 20574, National Bureau of Economic Research, Inc.
    7. Davig, Troy & Leeper, Eric M., 2011. "Monetary-fiscal policy interactions and fiscal stimulus," European Economic Review, Elsevier, vol. 55(2), pages 211-227, February.
    8. Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 297-317, March.
    9. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
    10. Gorodnichenko, Yuriy & Sergeyev, Dmitriy, 2021. "Zero Lower Bound on Inflation Expectations," IZA Discussion Papers 14853, Institute of Labor Economics (IZA).
    11. Michael Kiley, 2016. "Policy Paradoxes in the New-Keynesian Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 1-15, July.
    12. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    13. Eusepi, Stefano & Preston, Bruce, 2011. "Learning the fiscal theory of the price level: Some consequences of debt-management policy," Journal of the Japanese and International Economies, Elsevier, vol. 25(4), pages 358-379.
    14. Cho, Seonghoon & Moreno, Antonio, 2011. "The forward method as a solution refinement in rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 257-272, March.
    15. Carlstrom, Charles T. & Fuerst, Timothy S. & Paustian, Matthias, 2015. "Inflation and output in New Keynesian models with a transient interest rate peg," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 230-243.
    16. Emmanuel Farhi & Iván Werning, 2019. "Monetary Policy, Bounded Rationality, and Incomplete Markets," American Economic Review, American Economic Association, vol. 109(11), pages 3887-3928, November.
    17. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    18. Xavier Gabaix, 2020. "A Behavioral New Keynesian Model," American Economic Review, American Economic Association, vol. 110(8), pages 2271-2327, August.
    19. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2011. "Minimal state variable solutions to Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2150-2166.
    20. Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 273-285, November.
    21. Kulish, Mariano & Morley, James & Robinson, Tim, 2017. "Estimating DSGE models with zero interest rate policy," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 35-49.
    22. Evans, George W. & McGough, Bruce, 2011. "Representations And Sunspot Stability," Macroeconomic Dynamics, Cambridge University Press, vol. 15(1), pages 80-92, February.
    23. Marco Del Negro & Marc P. Giannoni & Christina Patterson, 2023. "The Forward Guidance Puzzle," Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 43-79.
    24. Junior Maih, 2014. "Efficient Perturbation Methods for Solving Regime-Switching DSGE Models," Working Papers No 10/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    25. Jordi Galí, 2008. "Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," Introductory Chapters, in: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press.
    26. Ball, Laurence, 1994. "Credible Disinflation with Staggered Price-Setting," American Economic Review, American Economic Association, vol. 84(1), pages 282-289, March.
    27. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    28. George Evans, 1985. "Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 100(4), pages 1217-1233.
    29. Bilbiie, Florin O., 2020. "The New Keynesian cross," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 90-108.
    30. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
    31. Francesco Bianchi & Giovanni Nicolò, 2021. "A generalized approach to indeterminacy in linear rational expectations models," Quantitative Economics, Econometric Society, vol. 12(3), pages 843-868, July.
    32. James Bullard & Kaushik Mitra, 2007. "Determinacy, Learnability, and Monetary Policy Inertia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1177-1212, August.
    33. Gauti B. Eggertsson & Neil R. Mehrotra & Jacob A. Robbins, 2019. "A Model of Secular Stagnation: Theory and Quantitative Evaluation," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 1-48, January.
    34. Stefano Eusepi & Christopher G. Gibbs & Bruce Preston, 2022. "Monetary policy trade-offs at the zero lower bound," CAMA Working Papers 2022-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    35. Bilbiie, Florin, 2018. "Monetary Policy and Heterogeneity: An Analytical Framework," CEPR Discussion Papers 12601, C.E.P.R. Discussion Papers.
    36. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    37. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
    38. Campbell Leith & Eric Leeper, 2016. "Understanding Inflation as a Joint Monetary-Fiscal Phenomenon," Working Papers 2016_01, Business School - Economics, University of Glasgow.
    39. McClung, Nigel, 2020. "E-stability vis-à-vis determinacy in regime-switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    40. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    41. Haberis, Alex & Harrison, Richard & Waldron, Matt, 2019. "Uncertain policy promises," European Economic Review, Elsevier, vol. 111(C), pages 459-474.
    42. Diba, Behzad & Loisel, Olivier, 2021. "Pegging the interest rate on bank reserves: A resolution of New Keynesian puzzles and paradoxes," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 230-244.
    43. Evans, George W., 1986. "Selection criteria for models with non-uniqueness," Journal of Monetary Economics, Elsevier, vol. 18(2), pages 147-157, September.
    44. George-Marios Angeletos & Karthik A Sastry, 2021. "Managing Expectations: Instruments Versus Targets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 136(4), pages 2467-2532.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christopher Gibbs & Nigel McClung, 2023. "Does my model predict a forward guidance puzzle?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 393-423, December.
    2. Gibbs, Christopher G. & McClung, Nigel, 2019. "Does my model predict a forward guidance puzzle?," Research Discussion Papers 19, Bank of Finland.
    3. repec:zbw:bofrdp:2019_019 is not listed on IDEAS
    4. repec:zbw:bofrdp:019 is not listed on IDEAS
    5. Haderer, Michaela, 2022. "An Estimated DSGE Model of the Euro Area with Expectations about the Timing and Nature of Liftoff from the Lower Bound," Working Papers 2022-05, University of Sydney, School of Economics.
    6. Hatcher, Michael, 2022. "Solving linear rational expectations models in the presence of structural change: Some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    7. McClung, Nigel, 2020. "E-stability vis-à-vis determinacy in regime-switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    8. Lepetit, Antoine & Fuentes-Albero, Cristina, 2022. "The limited power of monetary policy in a pandemic," European Economic Review, Elsevier, vol. 147(C).
    9. Nakata, Taisuke & Ogaki, Ryota & Schmidt, Sebastian & Yoo, Paul, 2019. "Attenuating the forward guidance puzzle: Implications for optimal monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 90-106.
    10. Nicolas Caramp & Dejanir Silva, 2019. "Fiscal Origins of Monetary Paradoxes," 2019 Meeting Papers 1281, Society for Economic Dynamics.
    11. Philippe Andrade & Gaetano Gaballo & Eric Mengus & Benoît Mojon, 2019. "Forward Guidance and Heterogeneous Beliefs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(3), pages 1-29, July.
    12. Diba, Behzad & Loisel, Olivier, 2021. "Pegging the interest rate on bank reserves: A resolution of New Keynesian puzzles and paradoxes," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 230-244.
    13. Hirose, Yasuo, 2020. "An Estimated Dsge Model With A Deflation Steady State," Macroeconomic Dynamics, Cambridge University Press, vol. 24(5), pages 1151-1185, July.
    14. Andrade, Philippe & Ferroni, Filippo, 2021. "Delphic and odyssean monetary policy shocks: Evidence from the euro area," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
    15. Ehrmann, Michael & Gaballo, Gaetano & Hoffmann, Peter & Strasser, Georg, 2019. "Can more public information raise uncertainty? The international evidence on forward guidance," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 93-112.
    16. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2018. "On DSGE Models," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 113-140, Summer.
    17. Florin O. Bilbiie, 2022. "Neo-Fisherian Policies and Liquidity Traps," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 378-403, October.
    18. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    19. Bilbiie, Florin O., 2020. "The New Keynesian cross," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 90-108.
    20. Campbell, Jeffrey R. & Ferroni, Filippo & Fisher, Jonas D.M. & Melosi, Leonardo, 2019. "The limits of forward guidance," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 118-134.
    21. Callum Jones & Mariano Kulish & Daniel M. Rees, 2022. "International spillovers of forward guidance shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 131-160, January.
    22. Rodríguez Arosemena, Nicolás, 2018. "The Dominium Mundi Game and the Case for Artificial Intelligence in Economics and the Law," MPRA Paper 90560, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:red:append:22-197. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Zimmermann (email available below). General contact details of provider: https://edirc.repec.org/data/sedddea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.