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Marco Del Negro

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.

    Mentioned in:

    1. What’s happened so far with the return on safe and liquid assets?
      by ? in FRED blog on 2020-08-31 13:00:00
  2. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.

    Mentioned in:

    1. What caused the Great Recession ?
      by Robert in Robert's Stochastic Thoughts on 2015-11-24 03:41:00
  3. Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2013. "Rare Shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.

    Mentioned in:

    1. Rare shocks, Great Recessions
      by Christian Zimmermann in NEP-DGE blog on 2013-03-03 06:49:08
  4. Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," Staff Report 441, Federal Reserve Bank of Minneapolis.

    Mentioned in:

    1. How to remove tax distortions with revenue neutrality
      by Economic Logician in Economic Logic on 2010-05-11 19:22:00
    2. Ett innovativt skatteförslag
      by Niclas Berggren in Nonicoclolasos on 2010-05-18 14:27:32
  5. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Mentioned in:

    1. Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
      by Christian Zimmermann in NEP-DGE blog on 2014-11-05 21:21:13
  6. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. The Phillips Curve and Inflation
      by thebusinesscycleblog in The business cycle blog on 2016-05-21 23:08:29
  7. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.

    Mentioned in:

    1. Così l’invecchiamento abbassa i tassi di interesse
      by Andrea Papetti in La Voce on 2021-05-25 21:55:46
  8. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.

    Mentioned in:

    1. Bernanke: Monetary Policy and the Housing Bubble
      by Mark Thoma in Economist's View on 2010-01-04 02:06:00
    2. Monetary Policy and the Housing Bubble
      by Guest Author in the big picture on 2010-01-04 17:00:02
    3. Rules versus Discretion
      by Jason DeBacker in econosseur on 2008-12-15 22:37:24

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  2. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  3. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility
  4. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  5. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
  6. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
    2. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  7. Del Negro, Marco, 2002. "Asymmetric shocks among U.S. states," Journal of International Economics, Elsevier, vol. 56(2), pages 273-297, March.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.

    Mentioned in:

    1. Inflation in the Great Recession and New Keynesian Models (AEJ:MA 2015) in ReplicationWiki ()
  2. Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014. "Rare Shocks, Great Recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.

    Mentioned in:

    1. Rare Shocks, Great Recessions (Journal of Applied Econometrics 2014) in ReplicationWiki ()

Working papers

  1. Marco Del Negro & Keshav Dogra & Pranay Gundam & Donggyu Lee & Brian Pacula, 2024. "On the Distributional Consequences of Responding Aggressively to Inflation," Liberty Street Economics 20240703, Federal Reserve Bank of New York.

    Cited by:

    1. Hie Joo Ahn & Lam Nguyen, 2025. "Who's at Risk? Effects of Inflation on Unemployment Risk," Papers 2505.05757, arXiv.org.

  2. Bassetti, Federico & Casarin, Roberto & Del Negro, Marco, 2024. "A Bayesian Approach for Inference on Probabilistic Surveys," CEPR Discussion Papers 19426, C.E.P.R. Discussion Papers.

    Cited by:

    1. Orlik, Anna & Veldkamp, Laura, 2024. "Understanding uncertainty shocks and the role of black swans," Journal of Economic Theory, Elsevier, vol. 222(C).

  3. Marco Del Negro & Keshav Dogra & Aidan Gleich & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2024. "The New York Fed DSGE Model: A Post-Covid Assessment," Staff Reports 1082, Federal Reserve Bank of New York.

    Cited by:

    1. Aguirre, Idoia & Casares, Miguel, 2024. "The post-COVID inflation episode," Economic Modelling, Elsevier, vol. 139(C).

  4. Richard K. Crump & Marco Del Negro & Keshav Dogra & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2023. "The New York Fed DSGE Model Perspective on the Lagged Effect of Monetary Policy," Liberty Street Economics 20231121b, Federal Reserve Bank of New York.

    Cited by:

    1. Bernardino Adão & Sandra Gomes & Laura Alpizar, 2025. "On how to assess the impact of monetary policy," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.

  5. Marco Del Negro & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2023. "The New York Fed DSGE Model Forecast— September 2023," Liberty Street Economics 20230922, Federal Reserve Bank of New York.

    Cited by:

    1. Zarazúa Juárez, Carlos Alberto, 2023. "Understanding the natural rate of interest for a small open economy," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).

  6. Del Negro, Marco & Di Giovanni, Julian & Dogra, Keshav, 2023. "Is the Green Transition Inflationary?," CEPR Discussion Papers 17906, C.E.P.R. Discussion Papers.

    Cited by:

    1. Bettarelli, Luca & Furceri, Davide & Pisano, Loredana & Pizzuto, Pietro, 2025. "Greenflation: Empirical evidence using macro, regional and sectoral data," European Economic Review, Elsevier, vol. 174(C).
    2. Ferrari Minesso, Massimo & Pagliari, Maria Sole, 2023. "No country is an island. International cooperation and climate change," Journal of International Economics, Elsevier, vol. 145(C).
    3. Coenen, Günter & Lozej, Matija & Priftis, Romanos, 2024. "Macroeconomic effects of carbon transition policies: An assessment based on the ECB’s New Area-Wide Model with a disaggregated energy sector," European Economic Review, Elsevier, vol. 167(C).
    4. John Aguirre & Alan Ledesma & Fernando Perez & Youel Rojas, 2025. "Economic activity, inflation, and monetary policy after extreme weather events: ENSO and its economic impact on the Peruvian economy," BIS Working Papers 1276, Bank for International Settlements.
    5. Alexandre Chirat & Basile Clerc, 2025. "A “Climate War Economy”? Medium-run Macroeconomic Disequilibrium of the Green Transition," Working Papers 2025-10, CRESE.
    6. Hensel, Jannik & Mangiante, Giacomo & Moretti, Luca, 2024. "Carbon pricing and inflation expectations: Evidence from France," Journal of Monetary Economics, Elsevier, vol. 147(C).
    7. Luca Fornaro & Veronica Guerrieri & Lucrezia Reichlin, 2025. "Monetary policy for the green transition," BIS Papers, Bank for International Settlements, number 160, February.
    8. Matthias Burgert & Matthieu Darracq Pariès & Luigi Durand & Mario González & Romanos Priftis & Oke Röhe & Matthias Rottner & Edgar Silgado-Gómez & Nikolai Stähler & Janos Varga, 2025. "Macroeconomic effects of carbon-intensive energy price changes: A model comparison," Working Papers 2550, Banco de España.
    9. Ahn, JaeBin, 2025. "Greenflation or greensulation? The case of fuel excise taxes and oil price pass-through," Energy Economics, Elsevier, vol. 148(C).
    10. Pablo Garcia & Pascal Jacquinot & Crt Lenarcic & Kostas Mavromatis & Niki Papadopoulou & Edgar Silgado-Gómez, 2024. "Green Transition in the euro area: Domestic and global factors," BCL working papers 190, Central Bank of Luxembourg.
    11. Yoshihiko Hogen & Yojiro Ito & Kenji Kanai & Naoya Kishi, 2024. "Changes in the Global Economic Landscape and Issues for Japan's Economy," Bank of Japan Working Paper Series 24-E-3, Bank of Japan.
    12. Nerlich, Carolin & Köhler-Ulbrich, Petra & Andersson, Malin & Pasqua, Carlo & Abraham, Laurent & Bańkowski, Krzysztof & Emambakhsh, Tina & Ferrando, Annalisa & Grynberg, Charlotte & Groß, Johannes & H, 2025. "Investing in Europe’s green future - Green investment needs, outlook and obstacles to funding the gap," Occasional Paper Series 367, European Central Bank.
    13. Attílio, Luccas Assis, 2025. "Does energy transition affect domestic inflation?," Energy, Elsevier, vol. 332(C).
    14. Jean-Guillaume Sahuc & Gauthier Vermandel & Frank Smets, 2024. "The New Keynesian Climate Model," Working papers 977, Banque de France.
    15. Guido Ascari & Andrea Colciago & Timo Haber & Stefan Wöhrmüller, 2025. "Inequality along the European green transition," Working Papers 830, DNB.
    16. Annicchiarico, Barbara & Di Dio, Fabio & Diluiso, Francesca, 2024. "Climate actions, market beliefs, and monetary policy," Journal of Economic Behavior & Organization, Elsevier, vol. 218(C), pages 176-208.
    17. Celso Brunetti & Matteo Crosignani & Benjamin Dennis & Gurubala Kotta & Donald P. Morgan & Chaehee Shin & Ilknur Zer, 2024. "Climate-Related Financial Stability Risks for the United States: Methods and Applications," Economic Policy Review, Federal Reserve Bank of New York, vol. 30(1), pages 1-37, October.
    18. Bartocci, Anna & Notarpietro, Alessandro & Pisani, Massimiliano, 2024. "“Green” fiscal policy measures and nonstandard monetary policy in the euro area," Economic Modelling, Elsevier, vol. 136(C).
    19. Angelico, Cristina, 2024. "The green transition and firms' expectations on future prices: Survey evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 221(C), pages 519-543.

  7. Marco Del Negro & Aidan Gleich & Shlok Goyal & Alissa Johnson & Andrea Tambalotti, 2022. "Drivers of Inflation: The New York Fed DSGE Model’s Perspective," Liberty Street Economics 20220301, Federal Reserve Bank of New York.

    Cited by:

    1. Guénette, Justin Damien & Kose, M. Ayhan & Sugawara, Naotaka, 2022. "Is a Global Recession Imminent?," MPRA Paper 114627, University Library of Munich, Germany.
    2. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    3. Ferroni, Filippo & Fisher, Jonas D.M. & Melosi, Leonardo, 2024. "Unusual shocks in our usual models," Journal of Monetary Economics, Elsevier, vol. 147(C).

  8. Michael Cai & Marco Del Negro & Edward P. Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2020. "Online Estimation of DSGE Models," Finance and Economics Discussion Series 2020-023, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    2. Ettmeier, Stephanie & Kriwoluzky, Alexander, 2024. "Active or passive? Revisiting the role of fiscal policy during high inflation," European Economic Review, Elsevier, vol. 170(C).
    3. Zhang, Xiaodi, 2025. "Integrating policy design with agricultural emissions reduction in China: A multi-sector DSGE Approach," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 2019-2048.
    4. Ho, Paul, 2023. "Global robust Bayesian analysis in large models," Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
    5. Masashige Hamano & Munechika Katayama, 2021. "Epidemics and Macroeconomic Dynamics," Working Papers e162, Tokyo Center for Economic Research.
    6. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    7. Fasolo, Angelo M. & Araujo, Eurilton & Jorge, Marcos Valli & Kornelius, Alexandre & Marinho, Leonardo Sousa Gomes, 2024. "Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(2).
    8. Jabeen, Fauzia & Kaur, Puneet & Talwar, Shalini & Malodia, Suresh & Dhir, Amandeep, 2022. "I love you, but you let me down! How hate and retaliation damage customer-brand relationship," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    9. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    10. Jinting Guo, 2025. "On the Identification of Diagnostic Expectations: Econometric Insights from DSGE Models," Papers 2509.08472, arXiv.org, revised Sep 2025.

  9. Benigno, Gianluca & Akinci, Ozge & Del Negro, Marco & Queralto, Albert, 2020. "The Financial (In)Stability Real Interest Rate, R*," CEPR Discussion Papers 15436, C.E.P.R. Discussion Papers.

    Cited by:

    1. Pierre L Siklos & Dora Xia & Hongyi Chen, 2025. "R* in East Asia: business, financial cycles, and spillovers," BIS Working Papers 1285, Bank for International Settlements.
    2. Alessandri, Piergiorgio & Jordà, Òscar & Venditti, Fabrizio, 2025. "Decomposing the monetary policy multiplier," Journal of Monetary Economics, Elsevier, vol. 152(C).
    3. Philip R. Lane, 2021. "La stratégie de politique monétaire de la Banque centrale européenne," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 75-89.

  10. Primiceri, Giorgio & Del Negro, Marco & Lenza, Michele & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, C.E.P.R. Discussion Papers.

    Cited by:

    1. Daniele Siena & Riccardo Zago, 2021. "Job Polarization and the Flattening of the Price Phillips Curve," Working papers 819, Banque de France.
    2. Casoli, Chiara & Manera, Matteo & Valenti, Daniele, 2024. "Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
    3. Rodnyansky, Alexander & Van der Ghote, Alejandro & Wales, Daniel, 2022. "Product quality, measured inflation and monetary policy," Working Paper Series 2680, European Central Bank.
    4. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    5. Eser, Fabian & Karadi, Peter & Lane, Philip R. & Moretti, Laura & Osbat, Chiara, 2020. "The Phillips Curve at the ECB," Working Paper Series 2400, European Central Bank.
    6. Martín Uribe, 2020. "Staggered Price Indexation," NBER Working Papers 27657, National Bureau of Economic Research, Inc.
    7. Clayton, Christopher & Schaab, Andreas, 2022. "A Theory of Dynamic Inflation Targets," TSE Working Papers 22-1389, Toulouse School of Economics (TSE).
    8. Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
    9. Guirguis, Hany & Cwik, Kelly & DeMauro, Joseph & Suen, Michael, 2024. "Can the Phillips curve provide answers to current high inflation rates," Research in Economics, Elsevier, vol. 78(2).
    10. Benigno, Pierpaolo & Rossi, Lorenza, 2021. "Asymmetries in monetary policy," European Economic Review, Elsevier, vol. 140(C).
    11. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    12. Ginters Buss & Guido Traficante, 2025. "The Return of Inflation: Look-Through Policy Under Incomplete Information," Working Papers 2025/02, Latvijas Banka.
    13. Ferrara, Laurent & Karadimitropoulou, Aikaterini & Triantafyllou, Athanasios, 2024. "Oil jump tail risk as a driver of inflation dynamics," Journal of Commodity Markets, Elsevier, vol. 36(C).
    14. Kristen Tauber & Willem Van Zandweghe, 2020. "A Growth-Augmented Phillips Curve," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(16), pages 1-6, July.
    15. Ignazio Visco, 2023. "Inflation Expectations and Monetary Policy in the Euro Area," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(2), pages 111-129, September.
    16. Richard K. Crump & Stefano Eusepi & Marc Giannoni & Ayşegül Şahin, 2022. "The Unemployment-Inflation Trade-off Revisited: The Phillips Curve in COVID Times," NBER Working Papers 29785, National Bureau of Economic Research, Inc.
    17. Paternesi Meloni, Walter & Romaniello, Davide & Stirati, Antonella, 2022. "Inflation and the NAIRU: assessing the role of long-term unemployment as a cause of hysteresis," Economic Modelling, Elsevier, vol. 113(C).
    18. Brzozowski, Michał & Siwińska-Gorzelak, Joanna, 2024. "Did robots make wages less responsive to unemployment?," Technological Forecasting and Social Change, Elsevier, vol. 209(C).
    19. Haschka, Rouven E., 2024. "Examining the New Keynesian Phillips Curve in the U.S.: Why has the relationship between inflation and unemployment weakened?," Research in Economics, Elsevier, vol. 78(4).
    20. Natsuki Arai, 2020. "The FOMC’s New Individual Economic Projections and Macroeconomic Theories," Working Papers 2020-007, The George Washington University, The Center for Economic Research.

  11. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.

    Cited by:

    1. Gelfer, Sacha, 2021. "Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-Rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    2. Nsafoah, Dennis & Dery, Cosmas, 2024. "Effect of conventional and unconventional monetary policy shocks on housing prices in Canada," Journal of Housing Economics, Elsevier, vol. 64(C).
    3. Sarah Mouabbi & Jean-Guillaume Sahuc, 2019. "Evaluating the macroeconomic effects of the ECB s unconventional monetary policies," Working papers 708, Banque de France.
    4. Boriss Siliverstovs, 2021. "New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past?," Econometrics, MDPI, vol. 9(1), pages 1-25, March.
    5. Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.
    6. Girstmair, Stefan, 2024. "The effect of new housing supply in structural models: a forecasting performance evaluation," Working Paper Series 2895, European Central Bank.
    7. Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
    8. Richard Higgins, C., 2020. "Financial frictions and changing macroeconomic volatility," Journal of Macroeconomics, Elsevier, vol. 64(C).
    9. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    10. Foroni, Claudia & Gelain, Paolo & Marcellino, Massimiliano, 2022. "The financial accelerator mechanism: does frequency matter?," Working Paper Series 2637, European Central Bank.
    11. Boehl, Gregor & Strobel, Felix, 2024. "The empirical performance of the financial accelerator since 2008," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    12. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.

  12. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.

    Cited by:

    1. Edoardo Rainone, 2022. "Currency demand at negative policy rates," Temi di discussione (Economic working papers) 1359, Bank of Italy, Economic Research and International Relations Area.
    2. Goodhart, Charles A.E. & Tsomocos, Dimitrios P. & Wang, Xuan, 2023. "Support for small businesses amid COVID‐19," LSE Research Online Documents on Economics 118164, London School of Economics and Political Science, LSE Library.
    3. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2022. "Monetary policy, rational confidence, and Neo‐Fisherian depressions," Metroeconomica, Wiley Blackwell, vol. 73(4), pages 1179-1199, November.
    4. Alexander Beames & Mariano Kulish & Nadine Yamout, 2022. "Fiscal Policy and the Slowdown in Trend Growth in an Open Economy," Working Papers 143, Red Nacional de Investigadores en Economía (RedNIE).
    5. Philippe Andrade & Jordi Gali & Hervé Le Bihan & Julien Matheron, 2021. "Should the ECB Adjust its Strategy in the Face of a Lower r*?," Working papers 811, Banque de France.
    6. Nitschka, Thomas & Satkurunathan, Shajivan, 2021. "Habits die hard: implications for bond and stock markets internationally," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242358, Verein für Socialpolitik / German Economic Association.
    7. Beyer, Robert & Milivojevic, Lazar, 2021. "Dynamics and synchronization of global equilibrium interest rates," IMFS Working Paper Series 146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    8. Chen, Jiazi & Niu, Linlin, 2023. "How do baby boomers affect interest rates? A functional analysis of the impact of age distribution on macroeconomic trends," Finance Research Letters, Elsevier, vol. 53(C).
    9. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Heterogeneity, co-movements and financial fragmentation within the euro area," Ruhr Economic Papers 927, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    10. Andrew Bailey & Ambrogio Cesa-Bianchi & Marco Garofalo & Richard Harrison & Nick McLaren & Rana Sajedi & Sophie Piton, 2023. "Structural change, global R* and the missing-investment puzzle," Bank of England working papers 997, Bank of England.
    11. Inda Mulaahmetovic, 2022. "Evaluating the Effectiveness of Quantitative Easing Measures of the Federal Reserve and the European Central Bank," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 12(3), pages 141-163.
    12. Billi, Roberto & Galí, Jordi & Nakov, Anton, 2024. "Optimal monetary policy with r∗<0," Journal of Monetary Economics, Elsevier, vol. 142(C).
    13. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    14. Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
    15. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    16. Kim, Duhyeong, 2023. "International effects of quantitative easing and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 145(C).
    17. Asriyan, Vladimir & Laeven, Luc & Martin, Alberto & Van der Ghote, Alejandro & Vanasco, Victoria, 2025. "Falling interest rates and credit reallocation: lessons from general equilibrium," Working Paper Series 3070, European Central Bank.
    18. Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020. "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224546, Verein für Socialpolitik / German Economic Association.
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    96. Thanh Cong Nguyen & Vítor Castro & Justine Wood, 2022. "Political economy of financial crisis duration," Public Choice, Springer, vol. 192(3), pages 309-330, September.
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    102. Juselius, Mikael, 2025. "Navigating the sea of natural real interest rate estimates," BoF Economics Review 3/2025, Bank of Finland.
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    107. Berger, Tino & Ochsner, Christian, 2024. "A note on the synchronisation of the natural rates of interest in Germany and the Euro Area," Working Papers 03/2024, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
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    110. Gaetano Bloise & Pietro Reichlin, 2023. "Low safe interest rates: A case for dynamic inefficiency?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 633-656, December.
    111. Cooke, Dudley & Kara, Engin, 2022. "The role of heterogeneity in price rigidities for delayed nominal exchange rate overshooting," Journal of International Money and Finance, Elsevier, vol. 120(C).
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    113. Wang, Olivier, 2020. "Banks, low interest rates, and monetary policy transmission," Working Paper Series 2492, European Central Bank.
    114. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    115. Kang, Kyu Ho & Do, Kyeongtak, 2024. "Korea’s neutral interest rate: Estimates, determinants, and monetary policy stance," Journal of Asian Economics, Elsevier, vol. 92(C).
    116. Aditya Aladangady & Etienne Gagnon & Benjamin K. Johannsen & William B. Peterman, 2021. "Macroeconomic Implications of Inequality and Income Risk," Finance and Economics Discussion Series 2021-073, Board of Governors of the Federal Reserve System (U.S.).
    117. Daniel O. Beltran & Julio L. Ortiz, 2025. "Core Inflation in the Advanced Economies: A Regional Perspective," International Finance Discussion Papers 1421, Board of Governors of the Federal Reserve System (U.S.).
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  13. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2018. "Fiscal Implications of the Federal Reserve's Balance Sheet Normalization," FRB Atlanta Working Paper 2018-7, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Lorenzo Esposito & Giuseppe Mastromatteo, "undated". "In the Long Run We Are All Herd: On the Nature and Outcomes of the Beauty Contest," Economics Working Paper Archive wp_972, Levy Economics Institute.
    2. Niwa, Hidekazu, 2024. "A fiscal theory of central bank’s solvency: Perils of the quantitative and qualitative monetary easing," Japan and the World Economy, Elsevier, vol. 70(C).
    3. Jörg Bibow, 2018. "Unconventional monetary policies and central bank profits," IMK Studies 62-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    4. Huixin Bi & Wenyi Shen & Shu‐Chun S. Yang, 2022. "Fiscal implications of interest rate normalization in the United States," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(2), pages 868-904, May.
    5. Sayuri Shirai & Eric Alexander Sugandi, 2019. "Cross-Border Portfolio Investment and Financial Markets Development in the Asia and Pacific Region," International Business Research, Canadian Center of Science and Education, vol. 12(5), pages 14-33, May.
    6. Sayuri Shirai & Eric Alexander Sugandi, 2018. "Cross- Border Portfolio Investment and Financial Integration in Asia and the Pacific Region," Working Papers id:12817, eSocialSciences.
    7. Luca Papi, 2024. "Le implicazioni economiche delle perdite delle banche centrali," Working Papers 492, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    8. Sayuri Shirai & Eric Sugandi, 2018. "Cross-Border Portfolio Investment and Financial Integration in Asia and the Pacific Region," ADBI Working Papers 841, Asian Development Bank Institute.
    9. Joseph G. Haubrich, 2023. "Federal Reserve Balance-Sheet Policy in an Ample Reserves Framework: An Inventory Approach," Working Papers 23-25R, Federal Reserve Bank of Cleveland, revised 10 Feb 2026.
    10. Hess T. Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilán & Wei Zheng, 2019. "Monetary Policy Options at the Effective Lower Bound : Assessing the Federal Reserve's Current Policy Toolkit," Finance and Economics Discussion Series 2019-003, Board of Governors of the Federal Reserve System (U.S.).
    11. Benjamín García & Arsenios Skaperdas, 2024. "Central Bank Independence at Low Interest Rates," Working Papers Central Bank of Chile 1003, Central Bank of Chile.
    12. Mark A. Carlson & Stefania D'Amico & Cristina Fuentes-Albero & Bernd Schlusche & Paul R. Wood, 2020. "Issues in the Use of the Balance Sheet Tool," Finance and Economics Discussion Series 2020-071, Board of Governors of the Federal Reserve System (U.S.).
    13. Fegatelli, Paolo, 2024. "Monetary policy and reserve requirements with a zero-interest digital euro," Journal of Macroeconomics, Elsevier, vol. 80(C).
    14. Michal Franta & Tomas Holub & Branislav Saxa, 2018. "Balance Sheet Implications of the Czech National Bank's Exchange Rate Commitment," Working Papers 2018/10, Czech National Bank, Research and Statistics Department.
    15. Joerg Bibow, 2018. "Unconventional Monetary Policies and Central Bank Profits: Seigniorage as Fiscal Revenue in the Aftermath of the Global Financial Crisis," Economics Working Paper Archive wp_916, Levy Economics Institute.
    16. Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilán & Wei Zheng, 2020. "Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserve’s Current Policy Toolkit," CARF F-Series CARF-F-483, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

  14. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017. "Safety, liquidity, and the natural rate of interest," Staff Reports 812, Federal Reserve Bank of New York.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    3. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    4. Ansgar Rannenberg, 2019. "Inequality, the risk of secular stagnation and the increase in household deb," Working Paper Research 375, National Bank of Belgium.
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    150. Hilde C. Bjørnland & Leif Brubakk & Nicolò Maffei-Faccioli, 2024. "Piecing the puzzle: real exchange rates and long-run fundamentals," Working Papers No 07/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    151. Capraro, Santiago & Panico, Carlo & Torres-Gonzalez, Luis Daniel, 2021. "The persistent and generalised decline in the U. S. interest rates: an alternative interpretation," MPRA Paper 110181, University Library of Munich, Germany.
    152. Efrem Castelnuovo & Guay Lim & Giovanni Pellegrino, 2018. "Macroeconomic Policies in a Low Interest Rate Environment: Back to Keynes?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(1), pages 70-86, March.
    153. Nickel, Christiane & Kilponen, Juha & Moral-Benito, Enrique & Koester, Gerrit & Ciccarelli, Matteo & Enders, Almira & Holton, Sarah & Landau, Bettina & Venditti, Fabrizio & Bobeica, Elena & Brand, Cla, 2025. "A strategic view on the economic and inflation environment in the euro area," Occasional Paper Series 371, European Central Bank.
    154. Sims, Eric & Wu, Jing Cynthia, 2021. "Evaluating Central Banks’ tool kit: Past, present, and future," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 135-160.
    155. Adam, Klaus & Pfäuti, Oliver & Reinelt, Timo, 2025. "Subjective housing price expectations, falling natural rates, and the optimal inflation target," Journal of Monetary Economics, Elsevier, vol. 149(C).
    156. Pablo Aguilar & Jesús Vázquez, 2018. "Term structure and real-time learning," Working Papers 1803, Banco de España.
    157. Stephen Williamson, 2019. "Neo‐Fisherism and inflation control," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(3), pages 882-913, August.
    158. Nao Sudo & Masaki Tanaka, 2018. "Do Market Segmentation and Preferred Habitat Theories Hold in Japan? : Quantifying Stock and Flow Effects of Bond Purchases," Bank of Japan Working Paper Series 18-E-16, Bank of Japan.
    159. Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilán & Wei Zheng, 2020. "Monetary Policy Options at the Effective Lower Bound: Assessing the Federal Reserve’s Current Policy Toolkit," CARF F-Series CARF-F-483, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    160. Stephen Williamson, 2019. "Low real interest rates and the zero lower bound," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 36-62, January.
    161. Yunlu He & Bin Wang, 2024. "The natural rate of interest of Hong Kong," Pacific Economic Review, Wiley Blackwell, vol. 29(1), pages 44-54, February.
    162. Carvalho, Carlos & Ferrero, Andrea & Mazin, Felipe & Nechio, Fernanda, 2025. "Demographics and real interest rates across countries and over time," Journal of International Economics, Elsevier, vol. 157(C).
    163. Gourinchas, Pierre-Olivier & Farhi, Emmanuel & Caballero, Ricardo, 2020. "Global Imbalances and Policy Wars at the Zero Lower Bound," CEPR Discussion Papers 14424, C.E.P.R. Discussion Papers.

  15. Marco Del Negro & Marc Giannoni & Micah Smith, 2016. "The Macro Effects of the Recent Swing in Financial Conditions," Liberty Street Economics 20160525, Federal Reserve Bank of New York.

    Cited by:

    1. Lael Brainard, 2016. "The Economic Outlook and Implications for Monetary Policy: a speech at the Council on Foreign Relations, Washington, D.C., June 3, 2016," Speech 899, Board of Governors of the Federal Reserve System (U.S.).
    2. Lael Brainard, 2016. "The \"New Normal\" and What It Means for Monetary Policy : a speech at the Chicago Council on Global Affairs, Chicago, Illinois, September 12, 2016," Speech 907, Board of Governors of the Federal Reserve System (U.S.).

  16. Bonni Brodsky & Marco Del Negro & Joseph Fiorica & Eric LeSueur & Ari Morse & Anthony P. Rodrigues, 2016. "Reconciling Survey- and Market-Based Expectations for the Policy Rate," Liberty Street Economics 20160408, Federal Reserve Bank of New York.

    Cited by:

    1. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2018. "What do Swiss franc Libor futures really tell us?," Working Papers 2018-06, Swiss National Bank.
    2. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.

  17. Bonni Brodsky & Marco Del Negro & Joseph Fiorica & Eric LeSueur & Ari Morse & Anthony P. Rodrigues, 2016. "How Do Survey- and Market-Based Expectations of the Policy Rate Differ?," Liberty Street Economics 20160407, Federal Reserve Bank of New York.

    Cited by:

    1. Lucas Marc Fuhrer & Basil Guggenheim & Matthias Jüttner, 2018. "What do Swiss franc Libor futures really tell us?," Working Papers 2018-06, Swiss National Bank.
    2. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.

  18. Marco Del Negro & Marc Giannoni & Pearl Li & Erica Moszkowski & Micah Smith, 2015. "The FRBNY DSGE Model Meets Julia," Liberty Street Economics 20151203, Federal Reserve Bank of New York.

    Cited by:

    1. Douglas Kiarelly Godoy de Araujo, 2025. "Open-sourced central bank macroeconomic models," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data science in central banking: enhancing the access to and sharing of data, volume 64, Bank for International Settlements.

  19. Matthew Cocci & Marco Del Negro & Marc Giannoni & Sara Shahanaghi & Micah Smith, 2015. "Why Are Interest Rates So Low?," Liberty Street Economics 20150520, Federal Reserve Bank of New York.

    Cited by:

    1. Toni Brown & Aleksandar Vasilev, 2022. "Analysis of Negative Interest Rate Policies and Their Impact on Global Financial Markets – A Review of Relevant Literature," Acta Marisiensis. Series Oeconomica, "George Emil Palade" University of Medicine, Pharmacy, Sciences and Technology of Târgu-Mureș, România - Faculty of Economics and Law, vol. 1, pages 1-14, December.
    2. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    3. Olivier Blanchard & Lawrence H. Summers, 2019. "Ripensare le politiche macroeconomiche: evoluzione o rivoluzione? (Evolution or Revolution? Rethinking Macroeconomic Policy after the Great Recession)," Moneta e Credito, Economia civile, vol. 72(287), pages 171-195.

  20. Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic prediction pools: an investigation of financial frictions and forecasting performance," Staff Reports 695, Federal Reserve Bank of New York.

    Cited by:

    1. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    2. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    3. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    4. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    5. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    6. Pablo Cuba-Borda & Sanjay R. Singh, 2022. "Understanding Persistent ZLB: Theory and Assessment," Working Papers 346, University of California, Davis, Department of Economics.
    7. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    8. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Working Papers 23-30, Federal Reserve Bank of Cleveland.
    9. Szabolcs Deák & Paul Levine & Afrasiab Mirza & Joseph Pearlman, 2019. "Designing Robust Monetary Policy Using Prediction Pools," School of Economics Discussion Papers 1219, School of Economics, University of Surrey.
    10. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
    11. Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," Reserve Bank of New Zealand Discussion Paper Series DP2016/10, Reserve Bank of New Zealand.
    12. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    13. Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
    14. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    15. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
    16. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    17. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    18. Knüppel, Malte & Krüger, Fabian, 2017. "Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168294, Verein für Socialpolitik / German Economic Association.
    19. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
    20. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    21. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart (L.F.) Hoogerheide & Herman (H.K.) van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Tinbergen Institute Discussion Papers 18-076/III, Tinbergen Institute.
    22. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    23. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    24. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    25. Christoffel, Kai & Farkas, Mátyás, 2025. "Managing the risks of inflation expectation de-anchoring," Working Paper Series 3082, European Central Bank.
    26. Holtemöller, Oliver & Schult, Christoph, 2018. "Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models," IWH Discussion Papers 15/2018, Halle Institute for Economic Research (IWH).
    27. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    28. Suh, Hyunduk & Walker, Todd B., 2016. "Taking financial frictions to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 39-65.
    29. Boriss Siliverstovs & Daniel Wochner, 2020. "Recessions as Breadwinner for Forecasters State-Dependent Evaluation of Predictive Ability: Evidence from Big Macroeconomic US Data," Working Papers 2020/02, Latvijas Banka.
    30. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    31. Cars Hommes & Sebastian Poledna, 2023. "Analyzing and forecasting economic crises with an agent-based model of the euro area," Tinbergen Institute Discussion Papers 23-013/II, Tinbergen Institute.
    32. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    33. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    34. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    35. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    36. Ryan Cumings-Menon & Minchul Shin, 2020. "Probability Forecast Combination via Entropy Regularized Wasserstein Distance," Working Papers 20-31/R, Federal Reserve Bank of Philadelphia.
    37. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2018. "Does a financial accelerator improve forecasts during financial crises?: Evidence from Japan with Prediction Pool Methods," MPRA Paper 85523, University Library of Munich, Germany.
    38. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    39. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
    40. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
    41. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    42. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
    43. Erlan Konebayev, 2023. "Forecasting a Commodity-Exporting Small Open Developing Economy Using DSGE and DSGE-BVAR," International Economic Journal, Taylor & Francis Journals, vol. 37(1), pages 39-70, January.
    44. Deák, Szabolcs & Levine, Paul & Mirza, Afrasiab & Pearlman, Joseph, 2025. "All models are wrong but all can be useful: Robust policy design using prediction pools," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
    45. Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
    46. Juan C. Méndez-Vizcaíno & Alexander Guarin & César Anzola-Bravo & Anderson Grajales-Olarte, 2021. "Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia," Borradores de Economia 1178, Banco de la Republica de Colombia.
    47. Deniz Igan & Thomas Lambert & Prachi Mishra & Eden Zhang, 2024. "The Politics of the Paycheck Protection Program," Working Papers 133, Ashoka University, Department of Economics.
    48. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," PIER Working Paper Archive 19-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    49. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    50. Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M., 2017. "Application of wavelet decomposition in time-series forecasting," Economics Letters, Elsevier, vol. 158(C), pages 41-46.
    51. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    52. Domit, Sílvia & Monti, Francesca & Sokol, Andrej, 2019. "Forecasting the UK economy with a medium-scale Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1669-1678.
    53. Markus Heinrich & Magnus Reif, 2020. "Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters," CESifo Working Paper Series 8054, CESifo.
    54. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic forecast accuracy in a data‐rich environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
    55. Doriane Intungane, 2023. "The impact of macroprudential policies on the transmission of shocks across financially integrated countries," Review of International Economics, Wiley Blackwell, vol. 31(1), pages 249-273, February.
    56. Iiboshi, Hirokuni, 2016. "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, vol. 40(C), pages 1-8.
    57. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
    58. Zheng Fan & Worapree Maneesoonthorn & Yong Song, 2025. "A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage," Papers 2507.14408, arXiv.org.
    59. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
    60. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    61. Wright, Jonathan H., 2019. "Some observations on forecasting and policy," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1186-1192.
    62. Poledna, Sebastian & Miess, Michael Gregor & Hommes, Cars & Rabitsch, Katrin, 2023. "Economic forecasting with an agent-based model," European Economic Review, Elsevier, vol. 151(C).
    63. Shifu Jiang, 2017. "The Ramsey Cooperative and Non-Cooperative Unconventional Monetary Policy," FIW Working Paper series 180, FIW.
    64. Holden, Tom D. & Levine, Paul & Swarbrick, Jonathan M., 2017. "Credit crunches from occasionally binding bank borrowing constraints," EconStor Preprints 168441, ZBW - Leibniz Information Centre for Economics.
    65. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    66. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
    67. Boriss Siliverstovs & Daniel S. Wochner, 2021. "State‐dependent evaluation of predictive ability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 547-574, April.
    68. Marco Del Negro, 2017. "EconomicDynamics Interview: Marco Del Negro about DSGE modelling in policy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 18(1), April.
    69. Virbickaitė, Audronė & Lopes, Hedibert F. & Zaharieva, Martina Danielova, 2025. "Multivariate dynamic mixed-frequency density pooling for financial forecasting," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1184-1198.
    70. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    71. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2018. "Robust Macroprudential Policy Rules under Model Uncertainty," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181503, Verein für Socialpolitik / German Economic Association.
    72. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    73. Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
    74. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2016. "Forecasting US GNP Growth: The Role of Uncertainty," Working Papers 201667, University of Pretoria, Department of Economics.
    75. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    76. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    77. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
    78. Ben S. Bernanke, 2018. "The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 251-342.
    79. Kim, Dohan, 2025. "The Asymmetric Bank Distress Amplifier of Recessions," Policy Research Working Paper Series 11170, The World Bank.
    80. Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2024. "Averaging impulse responses using prediction pools," Journal of Monetary Economics, Elsevier, vol. 146(C).
    81. Onorante, Luca & Raftery, Adrian E., 2016. "Dynamic model averaging in large model spaces using dynamic Occam׳s window," European Economic Review, Elsevier, vol. 81(C), pages 2-14.
    82. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
    83. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    84. Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Financial conditions and density forecasts for US output and inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 24, pages 66-78, March.
    85. McAlinn, Kenichiro & West, Mike, 2019. "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, vol. 210(1), pages 155-169.
    86. Dmitry Kreptsev & Sergei Seleznev, 2018. "Forecasting for the Russian Economy Using Small-Scale DSGE Models," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 51-67, June.
    87. Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    88. Andreas Tryphonides, 2017. "Set Identified Dynamic Economies and Robustness to Misspecification," Papers 1712.03675, arXiv.org, revised Jan 2018.
    89. Shifu Jiang, 2022. "Optimal Credit, Monetary, and Fiscal Policy under Occasional Financial Frictions and the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 18(1), pages 151-197, March.
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    96. Baran, Sándor & Lerch, Sebastian, 2018. "Combining predictive distributions for the statistical post-processing of ensemble forecasts," International Journal of Forecasting, Elsevier, vol. 34(3), pages 477-496.
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    98. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    99. Kapetanios, G. & Mitchell, J. & Price, S. & Fawcett, N., 2015. "Generalised density forecast combinations," Journal of Econometrics, Elsevier, vol. 188(1), pages 150-165.
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    106. Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
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  21. Marco Del Negro & Christopher A. Sims, 2014. "When does a central bank’s balance sheet require fiscal support?," Staff Reports 701, Federal Reserve Bank of New York.

    Cited by:

    1. Reis, Ricardo, 2016. "Funding quantitative easing to target inflation," LSE Research Online Documents on Economics 67883, London School of Economics and Political Science, LSE Library.
    2. Donato Masciandaro, 2016. "More than the Human Appendix: Fed Capital and Central Bank Financial Independence," BAFFI CAREFIN Working Papers 1635, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Bofinger, Peter & Feld, Lars P. & Schmidt, Christoph M. & Schnabel, Isabel & Wieland, Volker, 2018. "Vor wichtigen wirtschaftspolitischen Weichenstellungen. Jahresgutachten 2018/19 [Setting the Right Course for Economic Policy. Annual Report 2018/19]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201819.
    4. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2018. "Fiscal Implications of the Federal Reserve's Balance Sheet Normalization," Finance and Economics Discussion Series 2018-002, Board of Governors of the Federal Reserve System (U.S.).
    5. Arthur Galego Mendes & Tiago Couto Berriel, "undated". "Central Bank Balance Sheet, Liquidity Trap, and Quantitative Easing," Textos para discussão 638, Department of Economics PUC-Rio (Brazil).
    6. Hiro Ito & Robert N McCauley, 2019. "The currency composition of foreign exchange reserves," BIS Working Papers 828, Bank for International Settlements.
    7. Jakob Haan & Christina Bodea & Raymond Hicks & Sylvester C. W. Eijffinger, 2018. "Central Bank Independence Before and After the Crisis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 183-202, June.
    8. Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2021. "(Optimal) Monetary Policy with and without Debt," Staff Working Papers 21-5, Bank of Canada.
    9. Dirk Niepelt, 2020. "Monetary Policy with Reserves and CBDC: Optimality, Equivalence, and Politics," CESifo Working Paper Series 8712, CESifo.
    10. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 2225, European Central Bank.
    11. Ricardo Reis, 2016. "QE in the future: the central bank's balance sheet in a financial crisis," Discussion Papers 1620, Centre for Macroeconomics (CFM).
    12. Stephen Quinn & William Roberds, 2016. "Death of a Reserve Currency," International Journal of Central Banking, International Journal of Central Banking, vol. 12(4), pages 63-103, December.
    13. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    14. Francesco Bianchi & Leonardo Melosi, 2017. "The Dire Effects of the Lack of Monetary and Fiscal Coordination," NBER Working Papers 23605, National Bureau of Economic Research, Inc.
    15. Dimakopoulou, Vasiliki & Economides, George & Philippopoulos, Apostolis & Vassilatos, Vanghelis, 2024. "Can central banks do the unpleasant job that governments should do?," European Economic Review, Elsevier, vol. 165(C).
    16. Óscar Arce & Galo Nuño & Dominik Thaler & Carlos Thomas, 2018. "A large central bank balance sheet? floor vs corridor systems in a new keynesian environment," Working Papers 1851, Banco de España.
    17. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    18. de Haan, J. & Eijffinger, Sylvester, 2016. "The Politics of Central Bank Independence," Discussion Paper 2016-047, Tilburg University, Center for Economic Research.
    19. François Koulischer, 2015. "Asymmetric shocks in a currency union: The role of central bank collateral policy," Working papers 554, Banque de France.
    20. Marco Bassetto & Thomas J. Sargent, 2020. "Shotgun Wedding: Fiscal and Monetary Policy," NBER Working Papers 27004, National Bureau of Economic Research, Inc.
    21. Eric M. Leeper, 2016. "Should Central Banks Care About Fiscal Rules?," NBER Working Papers 22800, National Bureau of Economic Research, Inc.
    22. Mr. Francisco Roch & Harald Uhlig, 2016. "The Dynamics of Sovereign Debt Crises and Bailouts," IMF Working Papers 2016/136, International Monetary Fund.
    23. van Riet, Ad, 2017. "Monetary Policy Stretched to the Limit: How Could Governments Support the European Central Bank?," MPRA Paper 83451, University Library of Munich, Germany.
    24. Roberto Robatto & Pierpaolo Benigno, 2016. "Private Money and Equilibrium Liquidity," 2016 Meeting Papers 690, Society for Economic Dynamics.
    25. Michal Franta & Tomas Holub & Branislav Saxa, 2022. "Exiting from an Exchange Rate Floor in a Small Open Economy: Balance Sheet Implications of the Czech National Bank's Exchange Rate Commitment," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 51-105, June.
    26. Jarociński, Marek & Maćkowiak, Bartosz, 2017. "Monetary-fiscal interactions and the euro area's malaise," Working Paper Series 2072, European Central Bank.
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    30. Jörg Bibow, 2018. "Unconventional monetary policies and central bank profits," IMK Studies 62-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    31. Huixin Bi & Wenyi Shen & Shu‐Chun S. Yang, 2022. "Fiscal implications of interest rate normalization in the United States," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(2), pages 868-904, May.
    32. Atsuki Hirata & Sohei Kaihatsu & Yoshiyasu Kasai & Hiroki Yamamoto & Jouchi Nakajima, 2024. "Effects and Side Effects of Unconventional Monetary Policy: A Shadow Rate Approach," Bank of Japan Working Paper Series 24-E-21, Bank of Japan.
    33. Maćkowiak, Bartosz & Schmidt, Sebastian, 2023. "Passive monetary policy and active fiscal policy in a monetary union," Working Paper Series 2781, European Central Bank.
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    39. Igor Goncharov & Vasso Ioannidou & Martin C. Schmalz, 2020. "(Why) do central banks care about their profits?," ECONtribute Discussion Papers Series 018, University of Bonn and University of Cologne, Germany.
    40. Gauti B. Eggertsson & Kevin B. Proulx, 2016. "Bernanke’s No-Arbitrage Argument Revisited: Can Open Market Operations in Real Assets Eliminate the Liquidity Trap?," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 3, pages 063-104, Central Bank of Chile.
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  22. Matthew Cocci & Marco Del Negro & Stefano Eusepi & Marc Giannoni & Raiden B. Hasegawa & M. Henry Linder & Argia M. Sbordone & Andrea Tambalotti, 2013. "The FRBNY DSGE model," Staff Reports 647, Federal Reserve Bank of New York.

    Cited by:

    1. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," Globalization Institute Working Papers 340, Federal Reserve Bank of Dallas.
    2. Jean-Paul L’Huillier & Sanjay R. Singh & Donghoon Yoo, 2023. "Incorporating Diagnostic Expectations into the New Keynesian Framework," Working Paper Series 2023-19, Federal Reserve Bank of San Francisco.
    3. Albonico, Alice & Paccagnini, Alessia & Tirelli, Patrizio, 2017. "Great recession, slow recovery and muted fiscal policies in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 140-161.
    4. Bowen Fu & Mengheng Li & Qazi Haque, 2025. "Exchange Rates, Uncovered Interest Parity, and Time‐Varying Fama Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(3), pages 310-324, April.
    5. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," LEM Papers Series 2016/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    7. House, Christopher L. & Proebsting, Christian & Tesar, Linda L., 2020. "Austerity in the aftermath of the great recession," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 37-63.
    8. Gelfer, Sacha, 2020. "Re-evaluating Okun’s Law: Why all recessions and recoveries are “different”," Economics Letters, Elsevier, vol. 196(C).
    9. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    10. Olkhov, Victor, 2018. "Economic Transactions Govern Business Cycles," MPRA Paper 88531, University Library of Munich, Germany, revised 19 Aug 2018.
    11. Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge & Wieland, Volker, 2017. "Model uncertainty in macroeconomics: On the implications of financial frictions," IMFS Working Paper Series 114, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    12. Olkhov, Victor, 2018. "The Business Cycle Model Beyond General Equilibrium," MPRA Paper 87204, University Library of Munich, Germany.
    13. Nadav Ben Zeev & Christopher M. Gunn & Hashmat Khan, 2015. "Monetary News Shocks," Carleton Economic Papers 15-02, Carleton University, Department of Economics, revised 17 Feb 2017.
    14. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    15. Cole, Stephen, 2016. "The limits of central bank forward guidance under learning," MPRA Paper 70862, University Library of Munich, Germany.
    16. Gelfer, Sacha, 2024. "Examining business cycles and optimal monetary policy in a regional DSGE model," Economic Modelling, Elsevier, vol. 136(C).
    17. Nikolaos Charalampidis, 2020. "The U.S. Labor Income Share And Automation Shocks," Economic Inquiry, Western Economic Association International, vol. 58(1), pages 294-318, January.
    18. Vasco Curdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2014. "Has U.S. Monetary Policy Tracked the Efficient Interest Rate?," Working Paper Series 2014-12, Federal Reserve Bank of San Francisco.
    19. Naohisa Hirakata & Kazutoshi Kan & Akihiro Kanafuji & Yosuke Kido & Yui Kishaba & Tomonori Murakoshi & Takeshi Shinohara, 2019. "The Quarterly Japanese Economic Model (Q-JEM): 2019 version," Bank of Japan Working Paper Series 19-E-7, Bank of Japan.
    20. Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Reexamination," NBER Chapters, in: NBER Macroeconomics Annual 2014, Volume 29, pages 289-344, National Bureau of Economic Research, Inc.
    21. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    22. Sanha Noh & Ingul Baek, 2022. "What are the Driving Forces of the Economic Downturn in Korea during COVID-19? (Covid-19 Special Issue)," Korean Economic Review, Korean Economic Association, vol. 38, pages 285-322.
    23. Costa Junior, Celso J. & Garcia-Cintado, Alejandro C. & Junior, Karlo Marques, 2021. "Macroeconomic policies and the pandemic-driven recession," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 438-465.
    24. Francesco Sergi, 2020. "The Standard Narrative about DSGE Models in Central Banks’ Technical Reports," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 27(2), pages 163-193, March.
    25. Sophia Panteeva & Sergey Arzhenovskiy & Karen Tumanyants, 2025. "Semi-Structural Model of Economy of the Southern Macroregion of Russia," Russian Journal of Money and Finance, Bank of Russia, vol. 84(2), pages 65-88, June.

  23. Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2013. "Rare Shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
    2. Markku Lanne & Jani Luoto, 2017. "A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 969-995, August.
    3. Yoshiyuki ARATA, 2022. "Is empirical granularity high enough to cause aggregate fluctuations? The closeness to Gaussian," Discussion papers 22039, Research Institute of Economy, Trade and Industry (RIETI).
    4. Philippe Andrade & Filippo Ferroni & Leonardo Melosi, 2025. "Higher-order Moment Inequality Restrictions for SVARs," Working Papers 25-3, Federal Reserve Bank of Boston.
    5. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2016. "VAR models with non-Gaussian shocks," LSE Research Online Documents on Economics 86238, London School of Economics and Political Science, LSE Library.
    6. Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
    7. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    8. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    9. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Lianfeng Song & Hongxia Wang & Huanshui Zhang & Hongdan Li, 2023. "Rational Expectations Models with Multiplicative Noise," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 233-257, October.
    11. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
    12. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
    13. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
    14. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    15. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," LEM Papers Series 2016/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    16. Alessandro Cantelmo, 2020. "Rare disasters, the natural interest rate and monetary policy," Temi di discussione (Economic working papers) 1309, Bank of Italy, Economic Research and International Relations Area.
    17. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    18. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    19. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
    20. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    21. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
    22. Willi Mutschler, 2015. "Higher-order statistics for DSGE models," CQE Working Papers 4315, Center for Quantitative Economics (CQE), University of Muenster.
    23. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    24. Giovanni Dosi & Andrea Roventini, 2019. "More is Different ... and Complex! The Case for Agent-Based Macroeconomics," LEM Papers Series 2019/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    25. Cem Çakmakli & Selva Demi̇ralp & Gökhan Şahi̇n Güneş, 2024. "Do Financial Markets Respond to Populist Rhetoric?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 541-567, June.
    26. Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
    27. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    28. Markus K. Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2019. "Feedbacks: Financial Markets and Economic Activity," Working Papers 257, Princeton University, Department of Economics, Center for Economic Policy Studies..
    29. Angelini, Giovanni & Gorgi, Paolo, 2018. "DSGE Models with observation-driven time-varying volatility," Economics Letters, Elsevier, vol. 171(C), pages 169-171.
    30. Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
    31. Spiros Bougheas & David I. Harvey & Alan Kirman & Douglas Nelson & Alan P. Kirman & Douglas R. Nelson, 2024. "Systemic Risk in Banking, Fire Sales, and Macroeconomic Disasters," CESifo Working Paper Series 10991, CESifo.
    32. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    33. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
    34. Philippe Andrade & Eric Ghysels & Julien Idier., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
    35. Markku Lanne & Jani Luoto, 2013. "A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation," Discussion Papers of DIW Berlin 1285, DIW Berlin, German Institute for Economic Research.
    36. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    37. Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.
    38. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
    39. Franziska Bremus & Thomas Krause & Felix Noth, 2017. "Bank-Specific Shocks and House Price Growth in the U.S," Discussion Papers of DIW Berlin 1636, DIW Berlin, German Institute for Economic Research.
    40. Atalay, Enghin & Drautzburg, Thorsten & Wang, Zhenting, 2018. "Accounting for the sources of macroeconomic tail risks," Economics Letters, Elsevier, vol. 165(C), pages 65-69.
    41. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
    42. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    43. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers 21-02R, Federal Reserve Bank of Cleveland, revised 09 Aug 2021.
    44. Yoshihiro Ohtsuka, 2018. "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 143-178, April.
    45. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
    46. Chetan Dave & Marco Sorge, 2023. "Fat Tailed DSGE Models: A Survey and New Results," Working Papers 2023-03, University of Alberta, Department of Economics.
    47. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
    48. Dalheimer, Bernhard & Herwartz, Helmut & Lange, Alexander, 2021. "The threat of oil market turmoils to food price stability in Sub-Saharan Africa," Energy Economics, Elsevier, vol. 93(C).
    49. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
    50. Markku Lanne, 2013. "Noncausality and Inflation Persistence," Discussion Papers of DIW Berlin 1286, DIW Berlin, German Institute for Economic Research.
    51. Koloch, Grzegorz, 2016. "Plausibility of big shocks within a linear state space setting with skewness," MPRA Paper 69001, University Library of Munich, Germany.
    52. Dave, Chetan & Dressler, Scott J. & Malik, Samreen, 2025. "Cautionary tales of fat tails," Journal of Macroeconomics, Elsevier, vol. 84(C).
    53. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    54. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    55. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris Nanterre, EconomiX.
    56. Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
    57. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    58. Jonathan A. Attey & Casper G. de Vries, 2016. "Monetary Policy in the Presence of Random Wage Indexation," Tinbergen Institute Discussion Papers 16-086/VI, Tinbergen Institute.
    59. Paul Ho & Pierre-Daniel G. Sarte & Felipe Schwartzman, 2022. "Multilateral Comovement in a New Keynesian World: A Little Trade Goes a Long Way," Working Paper 22-10, Federal Reserve Bank of Richmond.
    60. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
    61. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    62. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015. "Testing for Fundamental Vector Moving Average Representations," CAEPR Working Papers 2015-022, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    63. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    64. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    65. Joshua C.C. Chan, 2015. "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers 2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    66. Mutschler, Willi, 2015. "Identification of DSGE models—The effect of higher-order approximation and pruning," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 34-54.
    67. José A. Carrasco-Gallego, 2020. "Real Estate, Economic Stability and the New Macro-Financial Policies," Sustainability, MDPI, vol. 13(1), pages 1-19, December.
    68. Michal Franta, 2015. "Rare Shocks vs. Non-linearities: What Drives Extreme Events in the Economy? Some Empirical Evidence," Working Papers 2015/04, Czech National Bank, Research and Statistics Department.
    69. Chetan Dave & Marco Sorge, 2020. "Equilibrium Indeterminacy and Extreme Outcomes: A Fat Sunspot Ta(i)l(e)," Working Papers 2020-12, University of Alberta, Department of Economics.
    70. Sascha A. Keweloh & Mathias Klein & Jan Pruser, 2023. "Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies," Papers 2302.13066, arXiv.org, revised Aug 2025.
    71. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    72. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
    73. Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
    74. Ferrentino, Rosa & Vota, Luca, 2024. "The development planning of the Italian Mezzogiorno: A statistical-mathematical analysis by a Real Business Cycle model," Socio-Economic Planning Sciences, Elsevier, vol. 96(C).
    75. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    76. Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.
    77. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
    78. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    79. Marco Del Negro & Giorgio E. Primiceri, 2013. "Time-Varying Structural Vector Autoregressions and Monetary Policy: a Corrigendum," Staff Reports 619, Federal Reserve Bank of New York.
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  24. Marco Del Negro & Marc Giannoni & Frank Schorfheide, 2013. "Inflation in the Great Recession and New Keynesian models," Staff Reports 618, Federal Reserve Bank of New York.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    3. Elfsbacka Schmöller, Michaela & Spitzer, Martin, 2022. "Lower for longer under endogenous technology growth," Working Paper Series 2714, European Central Bank.
    4. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy.
    5. Callum Jones & Mariano Kulish & Daniel M. Rees, 2018. "International Spillovers of Forward Guidance Shocks," IMF Working Papers 2018/114, International Monetary Fund.
    6. Valentina Michelangeli & Fabio Massimo Piersanti, 2025. "Business loan characteristics and inflation shocks transmission in the euro area," Temi di discussione (Economic working papers) 1477, Bank of Italy, Economic Research and International Relations Area.
    7. Mark Gertler, 2015. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 29(1), pages 354-365.
    8. Callum Jones, 2018. "Household Leverage and the Recession," 2018 Meeting Papers 933, Society for Economic Dynamics.
    9. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    10. Johannes Ströbel & Joseph Vavra, 2015. "House Prices, Local Demand, and Retail Prices," CESifo Working Paper Series 5607, CESifo.
    11. Čapek, Jan & Crespo Cuaresma, Jesús & Hauzenberger, Niko & Reichel, Vlastimil, 2023. "Macroeconomic forecasting in the euro area using predictive combinations of DSGE models," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1820-1838.
    12. Michael T. Belongia & Peter N. Ireland, 2013. "Instability: Monetary and Real," Boston College Working Papers in Economics 830, Boston College Department of Economics.
    13. Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2021. "(Optimal) Monetary Policy with and without Debt," Staff Working Papers 21-5, Bank of Canada.
    14. Li, Bing & Pei, Pei & Tan, Fei, 2021. "Financial distress and fiscal inflation," Journal of Macroeconomics, Elsevier, vol. 70(C).
    15. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    16. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    17. Joshua Brault & Hashmat Khan & Louis Phaneuf & Jean Gardy Victor, 2021. "Did the Fed Remain at the ZLB Long Enough? Lessons from the 2008-2019 Period," Working Papers 21-09, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    18. Quineche, Ricardo & Zapata, Juan, 2025. "Inflationary and Deflationary Pressures: A Directional Decomposition of U.S. Inflation Dynamics," MPRA Paper 125485, University Library of Munich, Germany.
    19. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    20. Isabel Z. Martinez & Emmanuel Saez & Michael Siegenthaler, 2018. "Intertemporal Labor Supply Substitution? Evidence from the Swiss Income Tax Holidays," NBER Working Papers 24634, National Bureau of Economic Research, Inc.
    21. Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," Working Papers 25-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2025.
    22. Joshua Brault & Hashmat Khan & Louis Phaneuf & Jean Gardy Victor, 2020. "Is Unconventional Monetary Policy Stabilizing? Evidence From the Great Recession and Recovery Years," Working Papers 20-15, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    23. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    24. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    25. Boehl, Gregor & Lieberknecht, Philipp, 2025. "The hockey stick Phillips curve and the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
    26. Hartwig, Benny & Lieberknecht, Philipp, 2020. "Monetary policy, firm exit and productivity," Discussion Papers 61/2020, Deutsche Bundesbank.
    27. Richard Harrison, 2021. "Flexible inflation targeting with active fiscal policy," Bank of England working papers 928, Bank of England.
    28. Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Paper 2021/17, Norges Bank.
    29. Thórarinn G. Pétursson, 2022. "Long‐term inflation expectations and inflation dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 158-174, January.
    30. Ferrante, Francesco, 2019. "Risky lending, bank leverage and unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 100-127.
    31. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    32. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    33. Jan Čapek & Jesús Crespo Cuaresma & Jakub Chalmovianský & Vlastimil Reichel, 2025. "Real‐Time Data, Revisions and the Predictive Ability of DSGE Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 87(6), pages 1059-1080, December.
    34. Simon Gilchrist & Raphael Schoenle & Jae W. Sim & Egon Zakrajšek, 2015. "Inflation Dynamics During the Financial Crisis," Finance and Economics Discussion Series 2015-12, Board of Governors of the Federal Reserve System (U.S.).
    35. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
    36. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2025. "Estimating the natural rate of interest in a macro-finance yield curve model," Working Paper Series 3160, European Central Bank.
    37. Maik H. Wolters, 2015. "Evaluating Point and Density Forecasts of DSGE Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, January.
    38. Stéphane Lhuissier & Fabien Tripier, 2016. "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers 2016-19, CEPII research center.
    39. Felipe Alves, 2022. "Job Ladder and Business Cycles," Staff Working Papers 22-14, Bank of Canada.
    40. Jarociński, Marek & Bobeica, Elena, 2017. "Missing disinflation and missing inflation: the puzzles that aren't," Working Paper Series 2000, European Central Bank.
    41. Granziera, Eleanora & Larsen, Wegard H. & Meggiorini, Greta & Melosi, Leonardo, 2025. "Speaking of Inflation : The Influence of Fed Speeches on Expectations," The Warwick Economics Research Paper Series (TWERPS) 1555, University of Warwick, Department of Economics.
    42. Rannenberg, Ansgar, 2021. "State-dependent fiscal multipliers with preferences over safe assets," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 1023-1040.
    43. Gutiérrez, Germán & Jones, Callum & Philippon, Thomas, 2021. "Entry costs and aggregate dynamics," Journal of Monetary Economics, Elsevier, vol. 124(S), pages 77-91.
    44. Engin Kara & Ahmed Jamal Pirzaday, 2015. "Risk, Intermediate Input Prices and Missing Deflation During the Great Recession," Koç University-TUSIAD Economic Research Forum Working Papers 1521, Koc University-TUSIAD Economic Research Forum.
    45. Atanas Hristov, 2016. "Measuring the Natural Rate of Interest in the Eurozone: A DSGE Perspective," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 17(01), pages 86-91, April.
    46. Eleonora Granziera & Vegard H. Larsen & Greta Meggiorini & Leonardo Melosi, 2025. "Speaking Of Inflation: The Influence Of Fed Speeches On Expectations," Working Papers No 07/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    47. Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2021. "Monetary Policy and Economic Performance Since the Financial Crisis," Review, Federal Reserve Bank of St. Louis, vol. 103(4), pages 425-460, October.
    48. Krustev, Georgi, 2019. "The natural rate of interest and the financial cycle," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 193-210.
    49. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
    50. Canova, Fabio, 2020. "FAQ: How do I measure the Output gap?," CEPR Discussion Papers 14943, C.E.P.R. Discussion Papers.
    51. Ricardo M. Masolo & Francesca Monti, 2017. "Ambiguity, Monetary Policy and Trend Inflation," Discussion Papers 1709, Centre for Macroeconomics (CFM).
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    234. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
    235. Aloui, Donia & Benkraiem, Ramzi & Guesmi, Khaled & Vigne, Samuel, 2023. "The European Central Bank and green finance: How would the green quantitative easing affect the investors' behavior during times of crisis?," International Review of Financial Analysis, Elsevier, vol. 85(C).
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    237. Hilde C. Bjørnland & Julia Skretting, 2024. "The shale oil boom and the US economy: Spillovers and time‐varying effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(6), pages 1000-1020, September.
    238. Ahmed, Shamima & Banerjee, Ameet Kumar & James, Wendy & Moussa, Faten, 2024. "Is the Evergrande crisis spilling beyond China?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    239. Yunlu He & Bin Wang, 2024. "The natural rate of interest of Hong Kong," Pacific Economic Review, Wiley Blackwell, vol. 29(1), pages 44-54, February.
    240. Sanjay B Singh, 2025. "The impact of u.s. monetary policy on carbon emissions: evidence from a TVP-VAR model with stochastic volatility," Economics Bulletin, AccessEcon, vol. 45(1), pages 458-472.
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    Cited by:

    1. Oxana Babecka Kucharcukova & Jan Bruha, 2016. "Nowcasting the Czech Trade Balance," Working Papers 2016/11, Czech National Bank, Research and Statistics Department.
    2. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.
    3. Wieland, Volker & Wolters, Maik, 2013. "Forecasting and Policy Making," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 239-325, Elsevier.
    4. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
    5. Jannsen, Nils & Wolters, Maik H., 2016. "Zu Produktionspotenzial und Produktionslücke in den Vereinigten Staaten," Kiel Insight 2016.2, Kiel Institute for the World Economy.
    6. Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
    7. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
    8. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
    9. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    10. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.
    11. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    12. Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
    13. Gelfer, Sacha & Gibbs, Christopher G., 2023. "Measuring the effects of large-scale asset purchases: The role of international financial markets and the financial accelerator," Journal of International Money and Finance, Elsevier, vol. 131(C).
    14. Altug, Sumru & Çakmaklı, Cem, 2015. "Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey," CEPR Discussion Papers 10419, C.E.P.R. Discussion Papers.
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    16. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
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    20. Gelfer, Sacha, 2021. "Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-Rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
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    22. Maik Wolters, 2017. "How the Baby Boomers' Retirement Wave Distorts Model-Based Output Gap Estimates," Jena Economics Research Papers 2017-008, Friedrich-Schiller-University Jena.
    23. Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
    24. Iversen, Jens & Laséen, Stefan & Lundvall, Henrik & Söderström, Ulf, 2016. "Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank," Working Paper Series 318, Sveriges Riksbank (Central Bank of Sweden).
    25. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    26. José R. Maria & Paulo Júlio, 2018. "An integrated financial amplifier: the role of defaulted loans and occasionally binding constraints in output fluctuations," Working Papers w201813, Banco de Portugal, Economics and Research Department.
    27. Solis-Garcia, Mario, 2017. "Yes we can! Teaching DSGE models to undergraduate students," MPRA Paper 81754, University Library of Munich, Germany.
    28. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
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    32. Shirai, Daichi, 2016. "Persistence and Amplification of Financial Frictions," MPRA Paper 72187, University Library of Munich, Germany.
    33. Villa, Stefania, 2016. "Financial Frictions In The Euro Area And The United States: A Bayesian Assessment," Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1313-1340, July.
    34. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    35. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    36. Ca' Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2016. "Exchange rate forecasting with DSGE models," Working Paper Series 1905, European Central Bank.
    37. Luca Sala, 2013. "DSGE models in the frequency domain," Working Papers 504, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    38. Ángel Estrada & Luis Guirola & Iván Kataryniuk & Jaime Martínez-Martín, 2020. "The use of BVARs in the analysis of emerging economies," Occasional Papers 2001, Banco de España.
    39. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    40. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
    41. Reicher Christopher Phillip & Utlaut Johannes Friederich, 2013. "Monetary policy shocks and real commodity prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 715-749, October.
    42. Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
    43. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    44. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    45. Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers 2014-25, Federal Reserve Bank of St. Louis.
    46. Jaakko Kuorikoski & Aki Lehtinen, 2018. "Model selection in macroeconomics: DSGE and ad hocness," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(3), pages 252-264, July.
    47. Kang, Hyunju & Park, Jaevin & Suh, Hyunduk, 2020. "The rise of part-time employment in the great recession: Its causes and macroeconomic effects," Journal of Macroeconomics, Elsevier, vol. 66(C).
    48. Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
    49. Cars Hommes & Sebastian Poledna, 2023. "Analyzing and forecasting economic crises with an agent-based model of the euro area," Tinbergen Institute Discussion Papers 23-013/II, Tinbergen Institute.
    50. Chen, Han, 2017. "The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 176-192.
    51. Hess Chung & Edward Herbst & Michael T. Kiley, 2014. "Effective Monetary Policy Strategies in New Keynesian Models: A Re-examination," NBER Working Papers 20611, National Bureau of Economic Research, Inc.
    52. Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
    53. 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.
    54. Hasumi, Ryo & Iiboshi, Hirokuni & Matsumae, Tatsuyoshi & Nakamura, Daisuke, 2019. "Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods," Journal of Asian Economics, Elsevier, vol. 60(C), pages 45-68.
    55. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
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    57. Gern, Klaus-Jürgen & Hauber, Philipp & Jannsen, Nils & Kooths, Stefan & Plödt, Martin & Wolters, Maik H., 2016. "Weltkonjunktur im Frühjahr 2016 - Getrübte Aussichten für die Weltkonjunktur [World Economy Spring 2016 - Clouded outlook for the world economy]," Kieler Konjunkturberichte 15, Kiel Institute for the World Economy.
    58. Fritz Breuss, 2016. "Would DSGE Models have Predicted the Great Recession in Austria?," WIFO Working Papers 530, WIFO.
    59. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    60. Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
    61. Dmitry Kreptsev & Sergei Seleznev, 2017. "DSGE Model of the Russian Economy with the Banking Sector," Bank of Russia Working Paper Series wps27, Bank of Russia.
    62. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    63. Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.
    64. Marco Del Negro & Marc Giannoni & Frank Schorfheide, 2013. "Inflation in the Great Recession and New Keynesian models," Staff Reports 618, Federal Reserve Bank of New York.
    65. D’Amico, Stefania & King, Thomas B., 2023. "What does anticipated monetary policy do?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 123-139.
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    67. Smets, Frank & Villa, Stefania, 2016. "Slow recoveries: Any role for corporate leverage?," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 54-85.
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    70. Chamon Wieles & Jan Kwakkel & Willem L. Auping & Jan Willem van den End, 2024. "Scenario discovery to address deep uncertainty in monetary policy," Working Papers 818, DNB.
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    79. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
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    85. Rangan Gupta & Xiaojin Sun, 2022. "Time-Varying Parameter Four-Equation DSGE Model," Working Papers 202234, University of Pretoria, Department of Economics.
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    93. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
    94. Boehl, Gregor & Strobel, Felix, 2024. "Estimation of DSGE models with the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
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    96. Aicha Kharazi, 2022. "Macroeconomic Effects of Collateral Requirements and Financial Shocks," BEMPS - Bozen Economics & Management Paper Series BEMPS93, Faculty of Economics and Management at the Free University of Bozen.
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    104. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
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    24. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2014. "Inflation in the Great Recession and New Keynesian Models," NBER Working Papers 20055, National Bureau of Economic Research, Inc.
    25. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
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    34. Dzmitry Kruk, 2016. "SVAR Approach for Extracting Inflation Expectations Given Severe Monetary Shocks: Evidence from Belarus," BEROC Working Paper Series 39, Belarusian Economic Research and Outreach Center (BEROC).
    35. Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
    36. Cui, W. & Härdle, W.K. & Wang, W., 2016. "Estimation of NAIRU with In ation Expectation Data," Working Papers 16/05, Department of Economics, City St George's, University of London.
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    39. Thuy Lan Nguyen & Wataru Miyamoto, 2014. "News shocks and Business cycles: Evidence from forecast data," 2014 Meeting Papers 259, Society for Economic Dynamics.
    40. Madalina-Gabriela Anghel & Georgeta Lixandru & Marius Popovici & Alina – Georgiana Solomon & Emilia Stanciu, 2017. "Theoretical Elements on the Use of Price Indices for Inflation Measurement," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(3), pages 38-47, July.
    41. Pierdzioch, Christian & Reid, Monique B. & Gupta, Rangan, 2016. "Inflation forecasts and forecaster herding: Evidence from South African survey data," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 62(C), pages 42-50.
    42. Francesco Bianchi & Leonardo Melosi, 2016. "Modeling The Evolution Of Expectations And Uncertainty In General Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 717-756, May.
    43. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2019. "Online Estimation of DSGE Models," PIER Working Paper Archive 19-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    44. Aguilar, Pablo & Vázquez, Jesús, 2021. "An Estimated Dsge Model With Learning Based On Term Structure Information," Macroeconomic Dynamics, Cambridge University Press, vol. 25(7), pages 1635-1665, October.
    45. Eminidou, Snezana & Zachariadis, Marios, 2022. "Firms’ expectations and monetary policy shocks in the euro area," Journal of International Money and Finance, Elsevier, vol. 122(C).
    46. Milani, Fabio, 2017. "Sentiment and the U.S. business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 289-311.
    47. Giovanni Nicolò, 2025. "US Monetary Policy and Indeterminacy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(2), pages 195-213, March.
    48. Pratiti Chatterjee & Fabio Milani, 2020. "Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle," CESifo Working Paper Series 8608, CESifo.
    49. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    50. Roberta Cardani & Alessia Paccagnini & Stelios D. Bekiros, 2017. "The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations," Working Papers 201701, School of Economics, University College Dublin.
    51. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Economics Department, William & Mary.
    52. C. Bora Durdu & Molin Zhong, 2023. "Understanding Bank and Nonbank Credit Cycles: A Structural Exploration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 103-142, February.
    53. Kim, Insu & Kim, Young Se, 2019. "Inattentive agents and inflation forecast error dynamics: A Bayesian DSGE approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
    54. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017. "Safety, liquidity, and the natural rate of interest," Staff Reports 812, Federal Reserve Bank of New York.
    55. Engin Kara & Ahmed Jamal Pirzada, 2016. "A Possible Explanation of the Missing Deflation Puzzle," Bristol Economics Discussion Papers 16/670, School of Economics, University of Bristol, UK, revised 29 Mar 2017.
    56. Francesca Pancotto & Giuseppe Pignataro & Davide Raggi, 2015. "Social Learning and Higher Order Beliefs: A Structural Model of Exchange Rates Dynamics," LEM Papers Series 2015/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    57. Konya Istvan, 2013. "Development accounting with wedges: the experience of six European countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 245-286, June.
    58. Francesco Bianchi & Leonardo Melosi, 2014. "Constrained Discretion and Central Bank Transparency," NBER Working Papers 20566, National Bureau of Economic Research, Inc.
    59. Smets, Frank & Warne, Anders & Wouters, Rafael, 2014. "Professional forecasters and real-time forecasting with a DSGE model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 981-995.
    60. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    61. Travis J. Berge, 2017. "Understanding Survey Based Inflation Expectations," Finance and Economics Discussion Series 2017-046, Board of Governors of the Federal Reserve System (U.S.).
    62. Stefano Eusepi & Richard Crump & Emanuel Moench & Philippe Andrade, 2014. "Noisy Information and Fundamental Disagreement," 2014 Meeting Papers 797, Society for Economic Dynamics.
    63. Khan, Shujaat & Knotek, Edward S., 2015. "Drifting inflation targets and monetary stagflation," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 39-54.
    64. Gilberto Boaretto & Marcelo C. Medeiros, 2023. "Forecasting inflation using disaggregates and machine learning," Papers 2308.11173, arXiv.org.
    65. Vasco Curdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2014. "Has U.S. Monetary Policy Tracked the Efficient Interest Rate?," Working Paper Series 2014-12, Federal Reserve Bank of San Francisco.
    66. Fuhrer, Jeff, 2017. "Expectations as a source of macroeconomic persistence: Evidence from survey expectations in a dynamic macro model," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 22-35.
    67. Young Se Kim & Byeongdeuk Jang, 2015. "Dispersion of Inflation Expectations: Stylized Facts, Puzzles, and Macroeconomic Implications," Korean Economic Review, Korean Economic Association, vol. 31, pages 89-119.
    68. Francesco Bianchi & Leonardo Melosi, 2013. "Dormant Shocks and Fiscal Virtue," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 1-46, National Bureau of Economic Research, Inc.
    69. Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03R, Federal Reserve Bank of Cleveland, revised 06 Mar 2023.
    70. Jasmina Arifovic & Alex Grimaud & Isabelle Salle & Gauthier Vermandel, 2025. "Social Learning and Monetary Policy at the Effective Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 57(2-3), pages 439-475, March.
    71. Kortelainen, Mika & Paloviita, Maritta & Viren, Matti, 2016. "How useful are measured expectations in estimation and simulation of a conventional small New Keynesian macro model?," Economic Modelling, Elsevier, vol. 52(PB), pages 540-550.
    72. Ibhagui, Oyakhilome, 2019. "Explaining Differences in Income Levels of Africa’s Largest Economies – A Development Accounting Perspective," MPRA Paper 95622, University Library of Munich, Germany.
    73. Sara Cecchetti & Davide Fantino & Alessandro Notarpietro & Marianna Riggi & Alex Tagliabracci & Andrea Tiseno & Roberta Zizza, 2021. "Inflation expectations in the euro area: indicators, analyses and models used at Banca d’Italia," Questioni di Economia e Finanza (Occasional Papers) 612, Bank of Italy, Economic Research and International Relations Area.
    74. Carvalho, Carlos & Eusepi, Stefano & , & Preston, Bruce, 2019. "Anchored Inflation Expectations," CEPR Discussion Papers 13900, C.E.P.R. Discussion Papers.
    75. Ahmed Jamal Pirzada, 2017. "Price Stickiness and Intermediate Materials Prices," Bristol Economics Discussion Papers 17/686, School of Economics, University of Bristol, UK.
    76. Grimaud, Alex, 2021. "Precautionary saving and un-anchored expectations," MPRA Paper 108931, University Library of Munich, Germany.
    77. Grimaud, Alex, 2021. "Precautionary saving and un-anchored expectations," MPRA Paper 110651, University Library of Munich, Germany.
    78. Gimeno, Ricardo & Ibáñez, Alfredo, 2018. "The eurozone (expected) inflation: An option's eyes view," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 70-92.
    79. Manu Sharma & Vinish Kathuria, 2025. "Macroeconomic Nowcasting: What can Central Banks Learn from a Structured Literature Review?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 23(2), pages 333-388, June.
    80. Yasuo Hirose & Takushi Kurozumi, 2019. "Identifying News Shocks with Forecast Data," Globalization Institute Working Papers 366, Federal Reserve Bank of Dallas.
    81. Henzel, Steffen R., 2013. "Fitting survey expectations and uncertainty about trend inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 172-185.
    82. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    83. Joshua Brault & Qazi Haque & Louis Phaneuf, 2025. "Time-Varying Inflation Target and Unbiased Taylor Rule Estimation," Working Papers 25-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Jan 2025.
    84. Ibhagui, Oyakhilome, 2015. "Development Accounting of Africa’s Largest Economies – Explaining Differences in Income Levels," MPRA Paper 89081, University Library of Munich, Germany.
    85. Haroon Mumtaz & Konstantinos Theodoridis, 2023. "The Federal Reserve'S Implicit Inflation Target And Macroeconomic Dynamics: An Svar Analysis," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1749-1775, November.
    86. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2021. "State-dependent pricing turns money into a two-edged sword: A new role for monetary policy," Journal of International Money and Finance, Elsevier, vol. 119(C).

  30. Nobuhiro Kiyotaki & Gauti Eggertsson & Andrea Ferrero & Marco Del Negro, 2010. "The Great Escape? A Quantitative Evaluation of the Fed’s Non-Standard Policies," 2010 Meeting Papers 113, Society for Economic Dynamics.

    Cited by:

    1. Javier Bianchi, 2012. "Efficient Bailouts?," 2012 Meeting Papers 162, Society for Economic Dynamics.
    2. Shouyong Shi & Christine Tewfik, 2013. "Financial Frictions, Investment Delay and Asset Market Interventions," Working Papers tecipa-501, University of Toronto, Department of Economics.
    3. Lawrence Christiano & Daisuke Ikeda, 2011. "Government Policy, Credit Markets and Economic Activity," NBER Working Papers 17142, National Bureau of Economic Research, Inc.
    4. Markus Hoermann & Andreas Schabert, 2013. "A Monetary Analysis of Balance Sheet Policies," Working Paper Series in Economics 68, University of Cologne, Department of Economics.
    5. Yue Zhao, 2013. "Financial shocks in Japan : A case for a small open economy," KIER Working Papers 849, Kyoto University, Institute of Economic Research.
    6. Michael Woodford, 2012. "Inflation Targeting and Financial Stability," NBER Working Papers 17967, National Bureau of Economic Research, Inc.
    7. Ekaterina Pirozhkova, 2017. "Financial frictions and robust monetary policy in the models of New Keynesian framework," BCAM Working Papers 1701, Birkbeck Centre for Applied Macroeconomics.
    8. Asani Sarkar & Jeffrey Shrader, 2010. "Financial amplification mechanisms and the Federal Reserve’s supply of liquidity during the crisis," Economic Policy Review, Federal Reserve Bank of New York, vol. 16(Aug), pages 55-74.
    9. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land prices and unemployment," FRB Atlanta Working Paper 2013-06, Federal Reserve Bank of Atlanta.
    10. Chatelain, Jean-Bernard & Ralf, Kirsten, 2012. "The failure of financial macroeconomics and what to do about it," MPRA Paper 38474, University Library of Munich, Germany.
    11. L. Gambacorta & B. Hofmann & G. Peersman, 2011. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/765, Ghent University, Faculty of Economics and Business Administration.
    12. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2011. "Unconventional Monetary Policy in Theory and in Practice," Questioni di Economia e Finanza (Occasional Papers) 102, Bank of Italy, Economic Research and International Relations Area.
    13. Luis Garicano & Claudia Steinwender, 2013. "Survive Another Day: Using Changes in the Composition of Investments to Measure the Cost of Credit Constraints," CEP Discussion Papers dp1188, Centre for Economic Performance, LSE.
    14. Zheng Liu & Pengfei Wang & Tao Zha, 2011. "Land-price dynamics and macroeconomic fluctuations," NBER Working Papers 17045, National Bureau of Economic Research, Inc.
    15. Francesco Furlanetto & Martin Seneca, 2010. "Investment-specific technology shocks and consumption," Working Paper 2010/30, Norges Bank.
    16. Shouyong Shi, 2011. "Liquidity, Assets and Business Cycles," Working Papers tecipa-434, University of Toronto, Department of Economics.
    17. Dedola, Luca & Karadi, Peter & Lombardo, Giovanni, 2013. "Global implications of national unconventional policies," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 66-85.
    18. Naohisa Hirakata & Nao Sudo & Kozo Ueda, 2013. "Capital Injection, Monetary Policy, and Financial Accelerators," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 101-145, June.
    19. Christiane Baumeister & Luca Benati, 2012. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," Staff Working Papers 12-21, Bank of Canada.
    20. Albert Queraltó, 2013. "A Model of Slow Recoveries from Financial Crises," International Finance Discussion Papers 1097, Board of Governors of the Federal Reserve System (U.S.).
    21. Mark Gertler & Peter Karadi, 2013. "QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 5-53, January.
    22. Yue ZHAO, 2013. "Role of Financial and Productivity Shocks in the US and Japan: A Two-Country Economy," KIER Working Papers 881, Kyoto University, Institute of Economic Research.
    23. Corsetti, Giancarlo & Müller, Gernot, 2012. "Multilateral economic cooperation and the international transmission of fiscal policy," CEPR Discussion Papers 8748, C.E.P.R. Discussion Papers.
    24. Markus Hoermann & Andreas Schabert, 2011. "When is Quantitative Easing effective?," Tinbergen Institute Discussion Papers 11-001/2/DSF 6, Tinbergen Institute.
    25. Ajello, Andrea, 2010. "Financial intermediation, investment dynamics and business cycle fluctuations," MPRA Paper 32447, University Library of Munich, Germany, revised Mar 2011.
    26. Vincenzo Quadrini, 2011. "Financial frictions in macroeconomic fluctations," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 97(3Q), pages 209-254.
    27. Michael Woodford & Vasco Curdia, 2010. "The Central Bank's Balance Sheet as an Instrument of Monetary Policy," 2010 Meeting Papers 136, Society for Economic Dynamics.
    28. Francesco Furlanetto & Martin Seneca, 2011. "New perspectives on depreciation shocks as a source of business cycle fluctuations," Working Paper 2011/02, Norges Bank.
    29. Leonardo Gambacorta, 2011. "The Risks of Low Interest Rates," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 14-31.
    30. Baumeister, Christiane & Benati, Luca, 2010. "Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound," Working Paper Series 1258, European Central Bank.
    31. Kotaro Ishi & Mr. Kenji Fujita & Mr. Mark R. Stone, 2011. "Should Unconventional Balance Sheet Policies Be Added to the Central Bank toolkit? a Review of the Experience so Far," IMF Working Papers 2011/145, International Monetary Fund.
    32. Bilal Bagis, 2017. "Central Banking in the New Era," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 5(4), pages 197-225.
    33. Francesco Furlanetto & Nicolas Groshenny, 2012. "Matching efficiency and business cycle fluctuations," Working Paper 2012/07, Norges Bank.
    34. Wesselbaum, Dennis, 2011. "Evaluating the federal reserve's policy," Kiel Policy Briefs 23, Kiel Institute for the World Economy.
    35. Miller, Marcus & Driffill, John, 2011. "Liquidity When It Matters Most: QE and Tobin?s q," CEPR Discussion Papers 8511, C.E.P.R. Discussion Papers.
    36. Volha Audzei, 2012. "Efficiency of Central Bank Policy During the Crisis : Role of Expectations in Reinforcing Hoarding Behavior," CERGE-EI Working Papers wp477, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    37. Leonardo Gambacorta & David Marques-Ibanez, 2011. "The bank lending channel: lessons from the crisis," BIS Working Papers 345, Bank for International Settlements.
    38. De Fiore, Fiorella & Tristani, Oreste, 2018. "(Un)conventional policy and the effective lower bound," Working Paper Series 2183, European Central Bank.
    39. Andrew T. Foerster, 2011. "Financial crises, unconventional monetary policy exit strategies, and agents' expectations," Research Working Paper RWP 11-04, Federal Reserve Bank of Kansas City.
    40. Anton Korinek & Jonathan Kreamer, 2013. "The Redistributive Effects of Financial Deregulation," NBER Working Papers 19572, National Bureau of Economic Research, Inc.
    41. Felipe Schwartzman, 2012. "When do credit frictions matter for business cycles?," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 98(3Q), pages 209-230.
    42. Charles Brendon & Matthias Paustian & Tony Yates, 2013. "The pitfalls of speed-limit interest rate rules at the zero lower bound," Bank of England working papers 473, Bank of England.
    43. Caterina Mendicino, 2012. "Collateral Requirements: Macroeconomic Fluctuations and Macro-Prudential Policy," Working Papers w201211, Banco de Portugal, Economics and Research Department.
    44. Bigio, Saki, 2010. "Liquidity Shocks and the Business Cycle," Working Papers 2010-005, Banco Central de Reserva del Perú.
    45. Sapci, Ayse, 2014. "Costly Financial Intermediation and Excess Consumption Volatility," Working Papers 2014-04, Department of Economics, Colgate University, revised 11 Jun 2014.
    46. Leonardo Barreto, 2018. "Nonconventional monetary policy in a regime-switching model with endogenous financial crises," Documentos CEDE 16382, Universidad de los Andes, Facultad de Economía, CEDE.
    47. Martin Pietrzak, 2016. "Evaluation of unconventional monetary policy in a small open economy," FIW Working Paper series 167, FIW.
    48. Gabriele Galati & Richhild Moessner, 2011. "Macroprudential policy - a literature review," BIS Working Papers 337, Bank for International Settlements.
    49. Ctirad Slavik, 2011. "Asset Prices and Business Cycles with Financial Frictions," 2011 Meeting Papers 587, Society for Economic Dynamics.
    50. Stefan Mittnik & Willi Semmler, 2011. "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers c016_080, DEGIT, Dynamics, Economic Growth, and International Trade.
    51. Schenkelberg, Heike & Watzka, Sebastian, 2013. "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 327-357.
    52. Gert Peersman, 2012. "Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound," 2012 Meeting Papers 400, Society for Economic Dynamics.
    53. Furlanetto, Francesco & Seneca, Martin, 2014. "Investment shocks and consumption," European Economic Review, Elsevier, vol. 66(C), pages 111-126.
    54. R. Anton Braun & Lena Mareen Korber & Yuichiro Waki, 2012. "Some unpleasant properties of loglinearized solutions when the nominal rate is zero," FRB Atlanta Working Paper 2012-05, Federal Reserve Bank of Atlanta.

  31. Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax Buyouts," EIEF Working Papers Series 1007, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2010.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," Staff Reports 467, Federal Reserve Bank of New York.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," NBER Working Papers 15847, National Bureau of Economic Research, Inc.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," Staff Report 441, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Laszlo Goerke, 2014. "Income Tax Buyouts and Income Tax Evasion," IAAEU Discussion Papers 201401, Institute of Labour Law and Industrial Relations in the European Union (IAAEU).

  32. Stefano Eusepi & Marco Del Negro, 2009. "Modeling Inflation Expectations," 2009 Meeting Papers 989, Society for Economic Dynamics.

    Cited by:

    1. Alfarano Simone & Milakovic Mishael, 2012. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
    2. Gabriela Galati & Steven Poelhekke & Chen Zhou, 2011. "Did the Crisis Affect Inflation Expectations?," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 167-207, March.

  33. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.

    Cited by:

    1. Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering," Econometrics, MDPI, vol. 6(4), pages 1-22, December.
    2. Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022. "A neural network ensemble approach for GDP forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    3. Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
    4. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
    5. Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
    6. You, Yu & Lee, Junsoo & Kim, Yoonbai & Yang, Zheng, 2024. "Comovement and Global Imbalances of Current Accounts," Economic Systems, Elsevier, vol. 48(4).
    7. Hui ‘Fox’ Ling & Christian Franzen, 2017. "Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1277-1304, August.
    8. Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011. "Classical time-varying FAVAR models - Estimation, forecasting and structural analysis," CEPR Discussion Papers 8321, C.E.P.R. Discussion Papers.
    9. Gerdie Everaert & Martin Iseringhausen, 2017. "Measuring The International Dimension Of Output Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/928, Ghent University, Faculty of Economics and Business Administration.
    10. Joseph Palardy & Tomi Ovaska, 2015. "Decomposing household, professional and market forecasts on inflation: a dynamic factor model analysis," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2092-2101, April.
    11. Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," IMFS Working Paper Series 132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
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    151. Bhatt, Vipul & Kishor, N Kundan & Ma, Jun, 2017. "The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 206-222.
    152. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    153. Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019. "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 317-329, July.
    154. James Morley, 2014. "Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific," BIS Working Papers 451, Bank for International Settlements.
    155. Xiang, XueTing & Lim, Kian-Ping & Ong, Sheue-Li, 2025. "The dynamics and drivers of global market integration: Regional and cultural factors matter," Research in International Business and Finance, Elsevier, vol. 78(C).
    156. Ductor, Lorenzo & Leiva-Leon, Danilo, 2016. "Dynamics of global business cycle interdependence," Journal of International Economics, Elsevier, vol. 102(C), pages 110-127.
    157. Quint, Dominic, 2014. "Is it really more dispersed? Measuring and comparing the stress from the common monetary policy in the euro area," Discussion Papers 2014/13, Free University Berlin, School of Business & Economics.
    158. Josh Beverly & Shamar L. Stewart & Clinton L. Neill, 2023. "The dynamics of labor force participation: Is all quiet on the Appalachian front?," Empirical Economics, Springer, vol. 65(6), pages 2867-2898, December.
    159. Eller, Markus & Huber, Florian & Schuberth, Helene, 2020. "How important are global factors for understanding the dynamics of international capital flows?," Journal of International Money and Finance, Elsevier, vol. 109(C).
    160. Florian Eckert & Nina Mühlebach, 2023. "Global and local components of output gaps," Empirical Economics, Springer, vol. 65(5), pages 2301-2331, November.
    161. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
    162. Wenting Liao & Xin Sheng & Rangan Gupta & Sayar Karmakar, 2024. "Extreme Weather Shocks and State-Level Inflation of the United States," Working Papers 202402, University of Pretoria, Department of Economics.
    163. Kristina Barauskaite & Anh Dinh Minh Nguyen, 2021. "Direct and network effects of idiosyncratic TFP shocks," Empirical Economics, Springer, vol. 60(6), pages 2765-2793, June.

  34. Marco del Negro & Frank Schorfheide, 2008. "Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile," Working Papers Central Bank of Chile 486, Central Bank of Chile.

    Cited by:

    1. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    2. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
    3. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    4. Carvalho, Carlos Viana de & Vilela, André D., 2015. "What lf Brazil Hadn't Floated the Real in 1999?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(2), March.
    5. Zhang, Bo & Dai, Wei, 2020. "Trend inflation and macroeconomic stability in a small open economy," Economic Modelling, Elsevier, vol. 91(C), pages 769-778.
    6. Stefan Leist, 2013. "Driving Forces of the Swiss Output Gap," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 493-531, December.
    7. Mr. Marco Airaudo & Mr. Edward F Buffie & Luis-Felipe Zanna, 2016. "Inflation Targeting and Exchange Rate Management In Less Developed Countries," IMF Working Papers 2016/055, International Monetary Fund.
    8. Ragna Alstadheim & Hilde C. Bjørnland & Junior Maih, 2013. "Do Central Banks Respond to Exchange Rate Movements? A Markow-Switching Structural Investigation," Working Papers No 9/2013, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    9. Buffie, Edward F. & Zanna, Luis-Felipe, 2018. "Limited Asset Market Participation And Determinacy In The Open Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 22(8), pages 1937-1977, December.
    10. Chen, Xiaoshan & MacDonald, Ronald, 2011. "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers 2011-21, Scottish Institute for Research in Economics (SIRE).
    11. Buffie, Edward F. & Airaudo, M. & Zanna, Felipe, 2018. "Inflation targeting and exchange rate management in less developed countries," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 159-184.
    12. Waqas Ahmed & Muhammad Jahanzeb Malik & Muhammad Rehman, 2014. "Quarterly Bayesian DSGE Model of Pakistan Economy with Informality," SBP Working Paper Series 68, State Bank of Pakistan, Research Department.
    13. Mr. Selim A Elekdag & Mr. Harun Alp, 2011. "The Role of Monetary Policy in Turkey During the Global Financial Crisis," IMF Working Papers 2011/150, International Monetary Fund.
    14. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, vol. 31(C), pages 642-652.
    15. Martin Fukac & Adrian Pagan, 2009. "Structural macro-wconometric modelling in a policy environment," Reserve Bank of New Zealand Discussion Paper Series DP2009/16, Reserve Bank of New Zealand.
    16. Stefan Leist & Klaus Neusser, 2010. "Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 275-300, March.
    17. Alstadheim, Ragna & Bjørnland, Hilde C. & Maih, Junior, 2021. "Do central banks respond to exchange rate movements? A Markov-switching structural investigation of commodity exporters and importers," Energy Economics, Elsevier, vol. 96(C).
    18. Madeira, Carlos & Salazar, Leonardo, 2023. "The impact of monetary policy on a labor market with heterogeneous workers: The case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    19. Choi, Jinho & Hur, Joonyoung, 2015. "An examination of macroeconomic fluctuations in Korea exploiting a Markov-switching DSGE approach," Economic Modelling, Elsevier, vol. 51(C), pages 183-199.
    20. Shayan Zakipour-Saber, 2019. "Monetary policy regimes and inflation persistence in the United Kingdom," Working Papers 895, Queen Mary University of London, School of Economics and Finance.
    21. Ginn, William & Pourroy, Marc, 2020. "Should a central bank react to food inflation? Evidence from an estimated model for Chile," Economic Modelling, Elsevier, vol. 90(C), pages 221-234.
    22. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.
    23. Marco Airaudo, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.

  35. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.

    Cited by:

    1. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
    2. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.

  36. Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.

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    1. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    2. Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2009. "Stock market wealth effects in an estimated DSGE model for Hong Kong," BOFIT Discussion Papers 14/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    4. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    6. Fuentes H., Fernando & García, Carlos J., 2016. "The business cycle and copper mining in Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    7. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    8. Edward P. Herbst & Frank Schorfheide, 2012. "Sequential Monte Carlo sampling for DSGE models," Working Papers 12-27, Federal Reserve Bank of Philadelphia.
    9. Gary Koop, 2012. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(3), pages 143-167, September.
    10. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
    11. Kamber, Gunes & McDonald, Chris & Sander, Nick & Theodoridis, Konstantinos, 2016. "Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model," Economic Modelling, Elsevier, vol. 59(C), pages 546-569.
    12. NANA DAVIES, Charles, 2018. "Sources of Macroeconomic Fluctuations in a Franc Zone Country: A Bayesian estimation," MPRA Paper 99998, University Library of Munich, Germany.
    13. Axelle Ferriere & Gaston Navarro, 2025. "The Heterogeneous Effects of Government Spending: It’s All About Taxes," PSE-Ecole d'économie de Paris (Postprint) hal-04849051, HAL.
    14. Leonardo Melosi, 2014. "Signaling Effects of Monteray Policy," 2014 Meeting Papers 830, Society for Economic Dynamics.
    15. Jordan Roulleau‐Pasdeloup & Anastasia Zhutova, 2022. "Labor Market Policies in a Deep Recession: Lessons from Hoover's Policies during the U.S. Great Depression," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 247-283, February.
    16. Matteo Iacoviello & Fabio Schiantarelli & Scott Schuh, 2010. "Input and output inventories in general equilibrium," International Finance Discussion Papers 1004, Board of Governors of the Federal Reserve System (U.S.).
    17. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    18. Afrin, Sadia, 2020. "Does oligopolistic banking friction amplify small open economy's business cycles? Evidence from Australia," Economic Modelling, Elsevier, vol. 85(C), pages 119-138.
    19. Jang, Tae-Seok & Sacht, Stephen, 2014. "Animal spirits and the business cycle: Empirical evidence from moment matching," Economics Working Papers 2014-06, Christian-Albrechts-University of Kiel, Department of Economics.
    20. Jarkko Jääskelä & Kristoffer Nimark, 2008. "A Medium-scale Open Economy Model of Australia," RBA Research Discussion Papers rdp2008-07, Reserve Bank of Australia.
    21. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    22. Lhuissier, Stéphane & Zabelina, Margarita, 2015. "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 77-95.
    23. Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
    24. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.
    25. Shovon Sengupta & Sunny Kumar Singh & Tanujit Chakraborty, 2025. "Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks," Papers 2510.23347, arXiv.org.
    26. Xu Zhang, 2018. "Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases," 2018 Meeting Papers 894, Society for Economic Dynamics.
    27. Vasco Curdia & Andrea Ferrero & Han Chen, 2012. "The Macroeconomic Effects of Large-Scale Asset Purchase Programs," 2012 Meeting Papers 372, Society for Economic Dynamics.
    28. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    29. Zheng Liu & Pengfei Wang & Tao Zha, 2009. "Do credit constraints amplify macroeconomic fluctuations?," Working Paper Series 2009-28, Federal Reserve Bank of San Francisco.
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    31. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2010. "A First Look on the New Halle Economic Projection Model," IWH Discussion Papers 6/2010, Halle Institute for Economic Research (IWH).
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    35. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
    36. Lombardi, Marco J. & Nicoletti, Giulio, 2012. "Bayesian prior elicitation in DSGE models: Macro- vs micropriors," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 294-313.
    37. Hyeongwoo Kim & Masao Ogaki, 2011. "Purchasing Power Parity and the Taylor Rule," Auburn Economics Working Paper Series auwp2011-02, Department of Economics, Auburn University.
    38. Wetzels, Ruud & Grasman, Raoul P.P.P. & Wagenmakers, Eric-Jan, 2010. "An encompassing prior generalization of the Savage-Dickey density ratio," Computational Statistics & Data Analysis, Elsevier, vol. 54(9), pages 2094-2102, September.
    39. Lahcen, Mohammed Ait, 2014. "DSGE models for developing economies: an application to Morocco," MPRA Paper 63404, University Library of Munich, Germany.
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    41. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Testing policy effectiveness during COVID-19: An NK-DSGE analysis," Journal of Asian Economics, Elsevier, vol. 84(C).
    42. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
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    44. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    45. Argentiero, Amedeo & Cerqueti, Roy & Sabatini, Fabio, 2018. "Does social capital explain the Solow residual? A DSGE approach," MPRA Paper 87100, University Library of Munich, Germany.
    46. Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2015. "Monetary-fiscal policy interaction and fiscal inflation: A tale of three countries," Discussion Papers 42/2015, Deutsche Bundesbank.
    47. Michael Chin & Thomai Filippeli & Konstantinos Theodoridis, 2015. "Cross-country co-movement in long-term interest rates: a DSGE approach," Bank of England working papers 530, Bank of England.
    48. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2014. "Inflation in the Great Recession and New Keynesian Models," NBER Working Papers 20055, National Bureau of Economic Research, Inc.
    49. Chen, Han, 2017. "The effects of the near-zero interest rate policy in a regime-switching dynamic stochastic general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 176-192.
    50. Leonardo Melosi, 2011. "Public's Inflation Expectations and Monetary Policy," 2011 Meeting Papers 1151, Society for Economic Dynamics.
    51. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012. "The Halle Economic Projection Model," Economic Modelling, Elsevier, vol. 29(4), pages 1461-1472.
    52. Omotosho, Babatunde Samson, 2022. "Oil price shocks and monetary policy in resource-rich economies: Does capital matter?," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
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    54. Stylianos Asimakopoulos & Marco Lorusso & Luca Pieroni, 2021. "Can public spending boost private consumption?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(3), pages 1275-1313, November.
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    59. Renato Faccini & Leonardo Melosi, 2019. "Pigouvian Cycles," 2019 Meeting Papers 977, Society for Economic Dynamics.
    60. Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
    61. Michael Wickens, 2014. "How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics," Discussion Papers 14/17, Department of Economics, University of York.
    62. Alessandro Barattieri & Susanto Basu & Peter Gottschalk, 2010. "Some Evidence on the Importance of Sticky Wages," NBER Working Papers 16130, National Bureau of Economic Research, Inc.
    63. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank.
    64. Amedeo Argentiero, Tarek Atalla, Simona Bigerna, Silvia Micheli, and Paolo Polinori, 2017. "Comparing Renewable Energy Policies in EU-15, U.S. and China: A Bayesian DSGE Model," The Energy Journal, International Association for Energy Economics, vol. 0(KAPSARC S).
    65. Zheng Liu & Pengfei Wang & Tao Zha, 2011. "Land-price dynamics and macroeconomic fluctuations," NBER Working Papers 17045, National Bureau of Economic Research, Inc.
    66. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512, Edward Elgar Publishing.
    67. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," CEPR Discussion Papers 8364, C.E.P.R. Discussion Papers.
    68. Chan, Joshua C.C. & Koop, Gary, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers 2011-22, Scottish Institute for Research in Economics (SIRE).
    69. Amedeo Argentiero & Tarek Atalla & Simona Bigerna & Silvia Micheli & Paolo Polinori, 2017. "Comparing Renewable Energy Policies in E.U.15, U.S. and China: A Bayesian DSGE Model," The Energy Journal, , vol. 38(1_suppl), pages 77-96, June.
    70. Javier García-Cicco, 2010. "Estimating Models for Monetary Policy Analysis in Emerging Countries," Working Papers Central Bank of Chile 561, Central Bank of Chile.
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    72. Marco Lorusso & Luca Pieroni, 2019. "Disentangling Civilian and Military Spending Shocks: A Bayesian DSGE Approach for the US Economy," JRFM, MDPI, vol. 12(3), pages 1-41, September.
    73. Wickens, Michael R. & Pagan, Adrian, 2019. "Checking if the Straitjacket Fits," CEPR Discussion Papers 14140, C.E.P.R. Discussion Papers.
    74. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
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    4. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    5. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    6. Anne Epaulard & Jean-Pierre Laffargue & Pierre Malgrange, 2008. "La nouvelle modélisation macroéconomique appliquée à l'analyse de la conjoncture et à l'évaluation des politiques : les modèles dynamiques stochastiques d'équilibre général (DSGE)," Post-Print halshs-00270900, HAL.
    7. Lombardi, Marco J. & Sgherri, Silvia, 2007. "(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate," Working Paper Series 794, European Central Bank.
    8. Mayer, Eric & Grimm, Oliver, 2008. "Countercyclical taxation and price dispersion," W.E.P. - Würzburg Economic Papers 78, University of Würzburg, Department of Economics.
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    12. Linzert, Tobias & Christoffel, Kai & Kuester, Keith, 2006. "Identifying the role of labor markets for monetary policy in an estimated DSGE model," Working Paper Series 635, European Central Bank.
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    20. Anna Kormilitsina & Sarah Zubairy, 2016. "Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison," Departmental Working Papers 1608, Southern Methodist University, Department of Economics.
    21. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
    22. Paul Levine & Joseph Pearlman & George Perendia & Bo Yang, 2010. "Endogenous Persistence in an Estimated DSGE Model under Imperfect Information," School of Economics Discussion Papers 0310, School of Economics, University of Surrey.
    23. Adolfson, Malin & Laseén, Stefan & Lindé, Jesper & Svensson, Lars E.O., 2008. "Optimal Monetary Policy in an Operational Medium-Sized DSGE Model," Working Paper Series 225, Sveriges Riksbank (Central Bank of Sweden).
    24. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 2), pages 21-37.
    25. Tom Holden, 2010. "Products, patents and productivity persistence: A DSGE model of endogenous growth," Economics Series Working Papers 512, University of Oxford, Department of Economics.
    26. Martin Møller Andreasen, 2008. "Ensuring the Validity of the Micro Foundation in DSGE Models," CREATES Research Papers 2008-26, Department of Economics and Business Economics, Aarhus University.
    27. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
    28. Jesper Lindé, 2005. "Bårdsen, Gunnar; Eitrheim, Øyvind; Jansen, Eilev S. and Nymoen, Ragnar: The Econometrics of Macroeconomic Modelling," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(4), pages 762-767, December.
    29. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    30. Gregor B urle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
    31. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2006. "Evaluation of macroeconomic models for financial stability analysis," Working Paper 2006/01, Norges Bank.
    32. Inoue, Atsushi & Rossi, Barbara, 2008. "Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models," Working Papers 08-02, Duke University, Department of Economics.
    33. Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
    34. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
    35. Wollmershäuser, Timo & Mayer, Eric & Hülsewig, Oliver, 2006. "Bank Behavior and the Cost Channel of Monetary Transmission," W.E.P. - Würzburg Economic Papers 71, University of Würzburg, Department of Economics.
    36. Linde, Jesper & Adolfson, Malin & LASEEN, PER & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," CEPR Discussion Papers 6027, C.E.P.R. Discussion Papers.
    37. Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc.
    38. Liu, G. & Gupta, R. & Schaling, E., 2008. "Forecasting the South African Economy : A DSGE-VAR Approach," Other publications TiSEM adfaca2d-b9dd-4548-93d0-3, Tilburg University, School of Economics and Management.
    39. Strid, Ingvar, 2010. "Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2814-2835, November.
    40. Guido Ascari & Nicola Branzoli, 2015. "Inflation Persistence, Price Indexation and Optimal Simple Interest Rate Rules," Manchester School, University of Manchester, vol. 83, pages 1-30, September.
    41. Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2011. "Investment Shocks and the Relative Price of Investment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 101-121, January.
    42. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España.
    43. Matheson, Troy, 2010. "Assessing the fit of small open economy DSGEs," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 906-920, September.
    44. Andrew T. Levin & Alexei Onatski & John C. Williams & Noah Williams, 2005. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Working Papers 11523, National Bureau of Economic Research, Inc.
    45. Reicher, Christopher Phillip, 2009. "What can a New Keynesian labor matching model match?," Kiel Working Papers 1496, Kiel Institute for the World Economy.
    46. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
    47. Céline Poilly, 2007. "Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective," Working papers 184, Banque de France.
    48. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
    49. Noha Emara, 2012. "The Welfare Effects of Inflation Volatility and Institutions," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 4(1), pages 5-27, January.
    50. Daniel O. Beltran & David Draper, 2016. "Estimating Dynamic Macroeconomic Models : How Informative Are the Data?," International Finance Discussion Papers 1175, Board of Governors of the Federal Reserve System (U.S.).
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    55. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2006. "Nominal Rigidities in an Estimated Two Country," Computing in Economics and Finance 2006 162, Society for Computational Economics.
    56. Abbate, Angela & Thaler, Dominik, 2014. "Monetary policy effects on bank risk taking," Economics Working Papers ECO2014/07, European University Institute.
    57. Francesco Giuli & Massimiliano Tancioni, 2009. "Firm-Specific Capital, Productivity Shocks and Investment Dynamics," Working Papers in Public Economics 120, Department of Economics and Law, Sapienza University of Rome.
    58. Hülsewig, Oliver & Mayer, Eric & Wollmershäuser, Timo, 2009. "Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission," Economic Modelling, Elsevier, vol. 26(6), pages 1310-1327, November.
    59. Iiboshi, Hirokuni & Nishiyama, Shin-Ichi & Watanabe, Toshiaki, 2006. "An Estimated Dynamic Stochastic General Equilibrium Model of the Japanese Economy: A Bayesian Analysis," MPRA Paper 85702, University Library of Munich, Germany.
    60. Viktors Ajevskis & Kristine Vitola, 2009. "Advantages of Fixed Exchange Rate Regime from a General Equilibrium Perspective," Working Papers 2009/04, Latvijas Banka.
    61. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    62. Polgár, Éva Katalin, 2006. "Monetary policy rules in a two-sector small open economy," Discussion Papers 2006/13, Free University Berlin, School of Business & Economics.
    63. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
    64. Carmine Trecroci & Matilde Vassalli, 2006. "Monetary policy regime shifts: new evidence from time-varying interest rate rules," Working Papers 0602, University of Brescia, Department of Economics.
    65. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Rome.
    66. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    67. Eric Jondeau & Jean-Guillaume Sahuc, 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
    68. Vicente Tuesta & Mr. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not," IMF Working Papers 2006/177, International Monetary Fund.
    69. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    70. Renata Wróbel-Rotter, 2016. "Impulse Response Functions in the Dynamic Stochastic General Equilibrium Vector Autoregression Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 8(2), pages 93-114, June.
    71. Stracca, Livio & Bussière, Matthieu, 2010. "A decade (and a global financial crisis) after Blinder: The interaction between researchers and policy-makers in central banks," Working Paper Series 1260, European Central Bank.
    72. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2006. "Forecasting Canadian Time Series with the New Keynesian Model," Staff Working Papers 06-4, Bank of Canada.
    73. Steffen Henzel & Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2007. "The Price Puzzle Revisited: Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?," CESifo Working Paper Series 2039, CESifo.
    74. Uribe, Martín & Schmitt-Grohé, Stephanie, 2005. "Optimal Inflation Stabilization in a Medium-Scale Macroeonomic Model," CEPR Discussion Papers 5424, C.E.P.R. Discussion Papers.
    75. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
    76. Philip Liu & Konstantinos Theodoridis, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
    77. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2008. "Real exchange rate volatility and disconnect: an empirical investigation," Temi di discussione (Economic working papers) 660, Bank of Italy, Economic Research and International Relations Area.
    78. Fritz Breuss & Katrin Rabitsch, 2009. "An estimated two-country DSGE model of Austria and the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 123-158, February.
    79. Pierre Malgrange & Jean-Pierre Laffargue & Anne Epaulard, 2008. "La modélisation macroéconomique DSGE. Présentation générale," Économie et Prévision, Programme National Persée, vol. 183(2), pages 1-13.
    80. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
    81. Eric Mayer & Nikolai Stähler, 2013. "The debt brake: business cycle and welfare consequences of Germany’s new fiscal policy rule," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(1), pages 39-74, February.
    82. Sungbae An & Heedon Kang, 2011. "Oil Shocks in a DSGE Model for the Korean Economy," NBER Chapters, in: Commodity Prices and Markets, pages 295-321, National Bureau of Economic Research, Inc.
    83. Strid, Ingvar, 2008. "Metropolis-Hastings prefetching algorithms," SSE/EFI Working Paper Series in Economics and Finance 706, Stockholm School of Economics, revised 02 Dec 2009.
    84. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
    85. Christoffel, Kai & Kuester, Keith & Linzert, Tobias, 2005. "The Impact of Labor Markets on the Transmission of Monetary Policy in an Estimated DSGE Model," IZA Discussion Papers 1902, IZA Network @ LISER.
    86. Bisio Laura & Faccini Andrea, 2010. "Does cointegration matter? An analysis in a RBC perspective," wp.comunite 0066, Department of Communication, University of Teramo.
    87. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
    88. M. Hashem Pesaran & Ron P. Smith, 2006. "Macroeconometric Modelling with a Global Perspective," CESifo Working Paper Series 1659, CESifo.
    89. Giuli, Francesco & Tancioni, Massimiliano, 2012. "Real rigidities, productivity improvements and investment dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 100-118.
    90. V. Anton Muscatelli & Patrizio Tirelli, 2004. "Analyzing the Interaction of Monetary and Fiscal Policy: Does Fiscal Policy Play a Valuable Role in Stabilisation?," Working Papers 2005_17, Business School - Economics, University of Glasgow, revised Jun 2005.
    91. Pau Rabanal, 2006. "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model," Computing in Economics and Finance 2006 87, Society for Computational Economics.
    92. Martin Fukac & Adrian Pagan, 2006. "Issues In Adopting Dsge Models For Use In The Policy Process," CAMA Working Papers 2006-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    93. Buncic, Daniel & Melecky, Martin, 2007. "An estimated New Keynesian policy model for Australia," MPRA Paper 4138, University Library of Munich, Germany.
    94. Melecky, Ales & Melecky, Martin, 2010. "From inflation to exchange rate targeting: Estimating the stabilization effects for a small open economy," Economic Systems, Elsevier, vol. 34(4), pages 450-468, December.
    95. Adolfson, Malin & Lindé, Jesper & Villani, Mattias, 2005. "Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model," Working Paper Series 190, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
    96. Stähler, Nikolai & Thomas, Carlos, 2011. "FiMod - a DSGE model for fiscal policy simulations," Discussion Paper Series 1: Economic Studies 2011,06, Deutsche Bundesbank.
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    98. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc.
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  38. Marco Del Negro & Christopher Otrok, 2005. "Monetary policy and the house price boom across U.S. states," FRB Atlanta Working Paper 2005-24, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Michael T. Kiley & Jean-Philippe Laforte & Rochelle M. Edge, 2008. "The Sources of Fluctuations in Residential Investment: A View from a Policy-Oriented DSGE Model of the U.S. Economic," 2008 Meeting Papers 990, Society for Economic Dynamics.
    2. Vansteenkiste, Isabel, 2007. "Regional housing market spillovers in the US: lessons from regional divergences in a common monetary policy setting," Working Paper Series 708, European Central Bank.
    3. Ozdemir Dicle, 2020. "Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market," Real Estate Management and Valuation, Sciendo, vol. 28(2), pages 89-99, June.
    4. Olivier de Bandt & Karim Barhoumi & Catherine Bruno, 2010. "The international transmission of house price shocks," Working papers 274, Banque de France.
    5. Robert Eisenbeis & W. Frame & Larry Wall, 2007. "An Analysis of the Systemic Risks Posed by Fannie Mae and Freddie Mac and An Evaluation of the Policy Options for Reducing Those Risks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 31(2), pages 75-99, June.
    6. Shujie Yao & Dan Luo & Lixia Loh, 2013. "On China's monetary policy and asset prices," Applied Financial Economics, Taylor & Francis Journals, vol. 23(5), pages 377-392, March.
    7. Marco Ratto & Werner Roeger & Jan in 't Veld, 2010. "Using a DSGE model to look at the recent boom-bust cycle in the US," European Economy - Economic Papers 2008 - 2015 397, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    8. Matteo Iacoviello & Stefano Neri, 2007. "Housing Market Spillovers: Evidence from an Estimated DSGE Model," Boston College Working Papers in Economics 659, Boston College Department of Economics, revised 23 Oct 2009.
    9. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
    10. Shujie Yao & Dan Luo & Lixia Loh, 2011. "On China’s Monetary Policy and Asset Prices," Discussion Papers 11/04, University of Nottingham, GEP.
    11. Hilde C. Bjørnland & Dag Henning Jacobsen, 2012. "House prices and stock prices: Different roles in the U.S. monetary transmission mechanism," Working Papers No 1/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    12. Del Negro, Marco & Otrok, Christopher, 2007. "99 Luftballons: Monetary policy and the house price boom across U.S. states," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 1962-1985, October.
    13. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
    14. Koetter, Michael & Noth, Felix, 2022. "European real estate prices: Collection and processing of sale and rental prices in 18 European countries," IWH Technical Reports 3/2022, Halle Institute for Economic Research (IWH).
    15. Dimitri B. Papadimitriou & Edward Chilcote & Gennaro Zezza, 2006. "Are Housing Prices, Household Debt, and Growth Sustainable?," Economics Strategic Analysis Archive sa_jan_06, Levy Economics Institute.
    16. Heathcote, Jonathan & Davis, Morris, 2005. "The Price and Quantity of Residential Land in the United States," CEPR Discussion Papers 5333, C.E.P.R. Discussion Papers.
    17. Kenneth N Kuttner, 2012. "Discussant remarks on Filipa Sá, Pascal Towbin and Tomasz Wieladek’s paper "Capital inflows,financial innovation and housing booms"," BIS Papers chapters, in: Bank for International Settlements (ed.), Property markets and financial stability, volume 64, pages 76-82, Bank for International Settlements.

  39. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.

    Cited by:

    1. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
    2. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    3. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, University Library of Munich, Germany.
    4. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    5. Martin Beraja, 2017. "Counterfactual Equivalence in Macroeconomics," 2017 Meeting Papers 1400, Society for Economic Dynamics.
    6. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    7. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
    8. Wieland, Volker & Cwik, Tobias & Müller, Gernot J. & Schmidt, Sebastian & Wolters, Maik Hendrik, 2012. "A new comparative approach to macroeconomic modeling and policy analysis," IMFS Working Paper Series 49, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    9. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
    10. Vasco Cúrdia & Ricardo Reis, 2010. "Correlated Disturbances and U.S. Business Cycles," NBER Working Papers 15774, National Bureau of Economic Research, Inc.
    11. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
    12. Hirokazu Mizobata & Hiroki Toyoda, 2016. "Business Cycles, Asset Prices, and the Frictions of Capital and Labor," KIER Working Papers 953, Kyoto University, Institute of Economic Research.
    13. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    14. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
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    19. Atsushi Inoue & Mototsugu Shintania, 2014. "Quasi-Bayesian Model Selection," Departmental Working Papers 1402, Southern Methodist University, Department of Economics.
    20. Pablo A. Guerron-Quintana, 2010. "What you match does matter: the effects of data on DSGE estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 774-804.
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    22. Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
    23. Zhongjun Qu & Fan Zhuo, 2015. "Likelihood Ratio Based Tests for Markov Regime Switching," Boston University - Department of Economics - Working Papers Series wp2015-003, Boston University - Department of Economics.
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    34. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    35. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    36. Batini, Nicoletta & Justiniano, Alejandro & Levine, Paul & Pearlman, Joseph, 2006. "Robust inflation-forecast-based rules to shield against indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1491-1526.
    37. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    38. Hatcher, Michael & Minford, Patrick, 2023. "Chameleon models in economics: A note," Cardiff Economics Working Papers E2023/10, Cardiff University, Cardiff Business School, Economics Section.
    39. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
    40. Fanelli, Luca, 2007. "Evaluating the New Keynesian Phillips Curve under VAR-based learning," MPRA Paper 1616, University Library of Munich, Germany.
    41. Claire A. Reicher, 2016. "A Note on the Identification of Dynamic Economic Models with Generalized Shock Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(3), pages 412-423, June.
    42. Frank Schorfheide & Francis X. Diebold & Marco Del Negro, 2008. "Priors from Frequency-Domain Dummy Observations," 2008 Meeting Papers 310, Society for Economic Dynamics.
    43. Zidong An & Salem Abo‐Zaid & Xuguang Simon Sheng, 2023. "Inattention and the impact of monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 623-643, June.
    44. Iiboshi, Hirokuni, 2016. "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, vol. 40(C), pages 1-8.
    45. Dario Caldara & Richard Harrison & Anna Lipinska, 2012. "Practical tools for policy analysis in DSGE models with missing channels," Finance and Economics Discussion Series 2012-72, Board of Governors of the Federal Reserve System (U.S.).
    46. 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.
    47. Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2020. "Identifying the sources of model misspecification," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 1-18.
    48. Alexander Kriwoluzky & Christian A. Stoltenberg, 2009. "Nested models and model uncertainty," Economics Working Papers ECO2009/37, European University Institute.
    49. Paola Mariell Brens Ortega, 2020. "An Econometric Analysis of a Calibrated Macroeconomic Model for the Dominican Republic: A Closer Look into Monetary Policy," Documentos de Trabajo 18253, The Latin American and Caribbean Economic Association (LACEA).
    50. Lance Kent, 2015. "Relaxing Rational Expectations," Working Papers 159, Economics Department, William & Mary.
    51. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    52. Reicher, Christopher Phillip, 2013. "A note on the identification of dynamic economic models with generalized shock processes," Kiel Working Papers 1821, Kiel Institute for the World Economy.
    53. Meyer-Gohde, Alexander & Neuhoff, Daniel, 2015. "Solving and estimating linearized DSGE models with VARMA shock processes and filtered data," Economics Letters, Elsevier, vol. 133(C), pages 89-91.
    54. Marcin Kolasa & Michał Rubaszek & Paweł Skrzypczyński, 2012. "Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1301-1324, October.
    55. Hall, Jamie & Pitt, Michael K. & Kohn, Robert, 2014. "Bayesian inference for nonlinear structural time series models," Journal of Econometrics, Elsevier, vol. 179(2), pages 99-111.
    56. Schorfheide, Frank & Moon, Hyungsik Roger, 2006. "Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions," CEPR Discussion Papers 5605, C.E.P.R. Discussion Papers.
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    60. Marco Del Negro & Frank Schorfheide, 2008. "Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile," Staff Reports 329, Federal Reserve Bank of New York.
    61. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
    62. Norman R. Swanson & Oleg Korenok & Stanislav Radchenko, 2011. "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Departmental Working Papers 201104, Rutgers University, Department of Economics.
    63. Canova, Fabio, 2008. "How much structure in empirical models?," CEPR Discussion Papers 6791, C.E.P.R. Discussion Papers.
    64. Jarkko P. Jääskelä & Kristoffer Nimark, 2011. "A Medium‐Scale New Keynesian Open Economy Model of Australia," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 11-36, March.
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    66. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.
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    73. Oleg Korenok & Norman R. Swanson, 2007. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1481-1508, September.
    74. Endong Wang, 2024. "Local projections identify the same policy counterfactuals as empirical and structural models," Papers 2409.09577, arXiv.org, revised Feb 2026.
    75. Giovanni Angelini & Luca Fanelli & Marco M. Sorge, 2025. "Is Time an Illusion? A Bootstrap Likelihood Ratio Test for Shock Transmission Delays in DSGE Models," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2477-2503, May.
    76. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2015. "Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US," Working Papers 292, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    77. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    78. David Gbaguidi, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119.
    79. Stephen J. Cole & Fabio Milani, 2016. "The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach," CESifo Working Paper Series 6099, CESifo.
    80. Cover, James P. & Mallick, Sushanta K., 2012. "Identifying sources of macroeconomic and exchange rate fluctuations in the UK," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1627-1648.
    81. Yi-Hua Wu & Chih-Chin Ho & Eric S. Lin, 2017. "Measuring the Impact of Military Spending: How Far Does a DSGE Model Deviate from Reality?," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(5), pages 585-608, September.
    82. Michael Dotsey, 2013. "DSGE models and their use in monetary policy," Business Review, Federal Reserve Bank of Philadelphia, issue Q2, pages 10-16.
    83. Oleg Korenok & Norman R. Swanson, 2005. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models vs. Simple Linear Econometric Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 905-930, December.

  40. Mr. Marco Del Negro & Mr. Robin Brooks, 2005. "A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns," IMF Working Papers 2005/052, International Monetary Fund.

    Cited by:

    1. Peng Chen & Shu Wu, 2013. "On international stock market co-movements and macroeconomic risks," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 978-982, July.
    2. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
    3. Barbara Pfeffer, 2006. "Trade Policy and Risk Diversification," Volkswirtschaftliche Diskussionsbeiträge 126-06, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    4. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
    5. Antoine Djogbenou & Razvan Sufana, 2021. "Tests for Group-Specific Heterogeneity in High-Dimensional Factor Models," Papers 2109.09049, arXiv.org, revised Feb 2022.
    6. Andrieș, Alin Marius & Nistor, Simona & Ongena, Steven & Sprincean, Nicu, 2020. "On Becoming an O-SII (“Other Systemically Important Institution”)," Journal of Banking & Finance, Elsevier, vol. 111(C).
    7. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020. "Crisis transmission: Visualizing vulnerability," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    8. Chen, Peng, 2018. "Understanding international stock market comovements: A comparison of developed and emerging markets," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 451-464.
    9. Campolieti, Michele & Gefang, Deborah & Koop, Gary, 2014. "A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 257-275.
    10. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "A new look at variation in employment growth in Canada," Working Papers 26145565, Lancaster University Management School, Economics Department.

  41. Brooks, Robin & Del Negro, Marco, 2005. "Firm-Level Evidence on International Stock Market Comovement," Kiel Working Papers 1244, Kiel Institute for the World Economy.

    Cited by:

    1. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    2. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
    3. Cai, Fang & Warnock, Francis E., 2005. "International diversification at home and abroad," Discussion Paper Series 1: Economic Studies 2005,06, Deutsche Bundesbank.
    4. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
    5. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
    6. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
    7. Allayannis, George & Simko, Paul J., 2022. "Discretionary earnings smoothing, credit quality, and firm value," Journal of Banking & Finance, Elsevier, vol. 140(C).
    8. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
    9. Deligonul, Seyda Z., 2020. "Multinational country risk: Exposure to asset holding risk and operating risk in international business," Journal of World Business, Elsevier, vol. 55(2).
    10. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    11. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    12. Julian di Giovanni & Galina Hale, 2020. "Stock market spillovers via the global production network: Transmission of U.S. monetary policy," Economics Working Papers 1747, Department of Economics and Business, Universitat Pompeu Fabra.
    13. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2023. "Industry regulation and the comovement of stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 206-219.
    14. Ikeda, Taro, 2017. "A detrended cross correlation analysis for stock markets of the United States, Japan, and the Europe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 194-198.
    15. Lupu, Radu, 2011. "Shock transmission among the European Stock markets - Conferinta CRESTERE ECONOMICA SI SUSTENABILITATE SOCIALA. PROVOCARI SI PERSPECTIVE EUROPENE>," Institute for Economic Forecasting Conference Proceedings 101101, Institute for Economic Forecasting.
    16. Zulfiqar Ali Imran & Muhammad Ahad, 2022. "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
    17. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
    18. Kuo-Hao Lee, 2014. "The Effect of Different Corporate Market Capitalizations in International Portfolio Strategy in Eleven Asian Countries," Accounting and Finance Research, Sciedu Press, vol. 3(3), pages 107-107, August.
    19. Moshirian, Fariborz & Nguyen, Huong Giang (Lily) & Pham, Peter Kien, 2012. "Overnight public information, order placement, and price discovery during the pre-opening period," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2837-2851.
    20. Faias, José A. & Ferreira, Miguel A., 2017. "Does institutional ownership matter for international stock return comovement?," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 64-83.
    21. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
    22. Nikolaos L. Hourvouliades, 2009. "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-78.
    23. Bekaert, Geert & Mehl, Arnaud, 2019. "On the global financial market integration “swoosh” and the trilemma," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 227-245.
    24. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    25. Vicente J. Bermejo & José M. Campa & Rodolfo G. Campos & Mohammed Zakriya, 2020. "Do foreign stocks substitute for international diversification?," European Financial Management, European Financial Management Association, vol. 26(5), pages 1191-1223, November.
    26. Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
    27. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
    28. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
    29. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    30. Lieven Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, vol. 35(4), pages 433-448, November.
    31. Wenjing Xie & João Paulo Vieito & Ephraim Clark & Wing-Keung Wong, 2020. "Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX," Sustainability, MDPI, vol. 12(20), pages 1-25, October.
    32. John Ammer & Jon Wongswan, 2004. "Cash flows and discount rates, industry and country effects, and co-movement in stock returns," International Finance Discussion Papers 818, Board of Governors of the Federal Reserve System (U.S.).
    33. Dumas, Bernard & Gabuniya, Tymur & Marston, Richard C., 2022. "Firms’ exposures to geographic risks," Journal of International Money and Finance, Elsevier, vol. 122(C).
    34. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
    35. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
    36. Cai, Fang & Warnock, Francis E., 2012. "Foreign exposure through domestic equities," Finance Research Letters, Elsevier, vol. 9(1), pages 8-20.
    37. Nitschka, Thomas, 2006. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports 2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    38. De Moor, Lieven & Sercu, Piet, 2011. "Country versus sector factors in equity returns: The roles of non-unit exposures," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 64-77, January.
    39. Coroneo, Laura & Jackson, Laura E. & Owyang, Michael T., 2020. "International Stock Comovements with Endogenous Clusters," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    40. Antonios Antoniou & Olasupo Olusi & Krishna Paudyal, 2010. "Equity Home†Bias: A Suboptimal Choice for UK investors?," European Financial Management, European Financial Management Association, vol. 16(3), pages 449-479, June.
    41. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
    42. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2025. "Trends and key determinants of firm-level integration," Journal of International Money and Finance, Elsevier, vol. 157(C).
    43. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    44. Julijana Angelovska, 2017. "Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(2), pages 11-20, November.
    45. Jessica Dye & Aaron Gilbert & Gail Pacheco, 2017. "Does integration lead to lower costs of equity?," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 86-112, February.
    46. Hsu, Ching-Chi & Chen, Miao-Ling, 2021. "Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    47. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.

  42. Marco Del Negro & Frank Schorfheide, 2004. "Policy predictions if the model doesn’t fit," FRB Atlanta Working Paper 2004-38, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    2. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    3. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
    4. Stephen Cole & Fabio Milani, 2014. "The Misspecification of Expectations in New Keynesian Models: A DSGE-VAR Approach," Working Papers 131407, University of California-Irvine, Department of Economics.
    5. Brock,W.A. & Durlauf,S.N. & West,K.D., 2004. "Model uncertainty and policy evaluation : some theory and empirics," Working papers 19, Wisconsin Madison - Social Systems.
    6. Jansen, Eilev S., 2004. "Modelling inflation in the euro area," Working Paper Series 322, European Central Bank.
    7. Canova, Fabio, 2008. "How much structure in empirical models?," CEPR Discussion Papers 6791, C.E.P.R. Discussion Papers.
    8. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.

  43. Robin Brooks & Marco Del Negro, 2003. "International stock returns and market integration: A regional perspective," FRB Atlanta Working Paper 2002-20, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Tavares, José, 2009. "Economic integration and the comovement of stock returns," Economics Letters, Elsevier, vol. 103(2), pages 65-67, May.
    2. Robin Brooks & Marco Del Negro, 2003. "Firm-level evidence on international stock market movement," FRB Atlanta Working Paper 2003-8, Federal Reserve Bank of Atlanta.
    3. Christian Aubin & Jean-Pierre Berdot & Daniel Goyeau & Jacques Léonard, 2005. "Quelle convergence financière pour les pecos ?. Une analyse économétrique de l'évolution des marchés d'actions (1998-2003)," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 147-169.
    4. Wim Meeusen (ed.), 2011. "The Economic Crisis and European Integration," Books, Edward Elgar Publishing, number 14130.
    5. Peter, Manuel, 2015. "Konvergenz der europäischen Aktienmärkte: Eine Analyse der Entwicklungen und Herausforderungen für Investoren," Arbeitspapiere 150, University of Münster, Institute for Cooperatives.
    6. Wälti, Sébastien, 2011. "Stock market synchronization and monetary integration," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 96-110, February.
    7. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
    8. Donadelli, Michael & Persha, Lauren, 2014. "Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 30(C), pages 284-309.
    9. Alexandra Horobet & Sorin Dumitrescu, 2011. "Time-varying Diversification Benefits: The Impact of Capital Market Integration on European Portfolio Holdings," Chapters, in: Wim Meeusen (ed.), The Economic Crisis and European Integration, chapter 13, Edward Elgar Publishing.
    10. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," FRB Atlanta Working Paper 2002-23, Federal Reserve Bank of Atlanta.
    11. Marcella Lucchetta & Michael Donadelli, 2012. "Emerging Stock Premia: Do Industries Matter?," Working Papers 2012_22, Department of Economics, University of Venice "Ca' Foscari".
    12. Iulia LUPU, 2015. "European Stock Markets Correlations In A Markov Switching Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 103-119, September.

  44. Marco Del Negro, 2003. "Discussion of Cogley and Sargent's \"Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S.\"," FRB Atlanta Working Paper 2003-26, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
    2. Ellis W. Tallman, 2003. "Monetary policy and learning: Some implications for policy and research," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q3), pages 1-9.
    3. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    4. Haroon Mumtaz & Laura Sunder-Plassmann, 2010. "Time-varying dynamics of the real exchange rate. A structural VAR analysis," Bank of England working papers 382, Bank of England.

  45. Robin Brooks & Marco Del Negro, 2003. "Firm-level evidence on international stock market movement," FRB Atlanta Working Paper 2003-8, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    2. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
    3. Cai, Fang & Warnock, Francis E., 2005. "International diversification at home and abroad," Discussion Paper Series 1: Economic Studies 2005,06, Deutsche Bundesbank.
    4. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
    5. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
    6. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
    7. Allayannis, George & Simko, Paul J., 2022. "Discretionary earnings smoothing, credit quality, and firm value," Journal of Banking & Finance, Elsevier, vol. 140(C).
    8. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
    9. Deligonul, Seyda Z., 2020. "Multinational country risk: Exposure to asset holding risk and operating risk in international business," Journal of World Business, Elsevier, vol. 55(2).
    10. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2024. "Diversification with globally integrated US stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    11. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    12. Julian di Giovanni & Galina Hale, 2020. "Stock market spillovers via the global production network: Transmission of U.S. monetary policy," Economics Working Papers 1747, Department of Economics and Business, Universitat Pompeu Fabra.
    13. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2023. "Industry regulation and the comovement of stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 206-219.
    14. Ikeda, Taro, 2017. "A detrended cross correlation analysis for stock markets of the United States, Japan, and the Europe," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 194-198.
    15. Lupu, Radu, 2011. "Shock transmission among the European Stock markets - Conferinta CRESTERE ECONOMICA SI SUSTENABILITATE SOCIALA. PROVOCARI SI PERSPECTIVE EUROPENE>," Institute for Economic Forecasting Conference Proceedings 101101, Institute for Economic Forecasting.
    16. Zulfiqar Ali Imran & Muhammad Ahad, 2022. "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
    17. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
    18. Kuo-Hao Lee, 2014. "The Effect of Different Corporate Market Capitalizations in International Portfolio Strategy in Eleven Asian Countries," Accounting and Finance Research, Sciedu Press, vol. 3(3), pages 107-107, August.
    19. Moshirian, Fariborz & Nguyen, Huong Giang (Lily) & Pham, Peter Kien, 2012. "Overnight public information, order placement, and price discovery during the pre-opening period," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2837-2851.
    20. Faias, José A. & Ferreira, Miguel A., 2017. "Does institutional ownership matter for international stock return comovement?," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 64-83.
    21. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 632-639, September.
    22. Nikolaos L. Hourvouliades, 2009. "International Portfolio Diversification: Evidence from European Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-78.
    23. Bekaert, Geert & Mehl, Arnaud, 2019. "On the global financial market integration “swoosh” and the trilemma," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 227-245.
    24. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    25. Vicente J. Bermejo & José M. Campa & Rodolfo G. Campos & Mohammed Zakriya, 2020. "Do foreign stocks substitute for international diversification?," European Financial Management, European Financial Management Association, vol. 26(5), pages 1191-1223, November.
    26. Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
    27. Zhong, Angel & Gray, Philip, 2016. "The MAX effect: An exploration of risk and mispricing explanations," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 76-90.
    28. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
    29. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    30. Lieven Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, vol. 35(4), pages 433-448, November.
    31. Wenjing Xie & João Paulo Vieito & Ephraim Clark & Wing-Keung Wong, 2020. "Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX," Sustainability, MDPI, vol. 12(20), pages 1-25, October.
    32. John Ammer & Jon Wongswan, 2004. "Cash flows and discount rates, industry and country effects, and co-movement in stock returns," International Finance Discussion Papers 818, Board of Governors of the Federal Reserve System (U.S.).
    33. Dumas, Bernard & Gabuniya, Tymur & Marston, Richard C., 2022. "Firms’ exposures to geographic risks," Journal of International Money and Finance, Elsevier, vol. 122(C).
    34. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
    35. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
    36. Cai, Fang & Warnock, Francis E., 2012. "Foreign exposure through domestic equities," Finance Research Letters, Elsevier, vol. 9(1), pages 8-20.
    37. Nitschka, Thomas, 2006. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports 2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    38. De Moor, Lieven & Sercu, Piet, 2011. "Country versus sector factors in equity returns: The roles of non-unit exposures," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 64-77, January.
    39. Coroneo, Laura & Jackson, Laura E. & Owyang, Michael T., 2020. "International Stock Comovements with Endogenous Clusters," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    40. Antonios Antoniou & Olasupo Olusi & Krishna Paudyal, 2010. "Equity Home†Bias: A Suboptimal Choice for UK investors?," European Financial Management, European Financial Management Association, vol. 16(3), pages 449-479, June.
    41. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
    42. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2025. "Trends and key determinants of firm-level integration," Journal of International Money and Finance, Elsevier, vol. 157(C).
    43. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    44. Julijana Angelovska, 2017. "Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 20(2), pages 11-20, November.
    45. Jessica Dye & Aaron Gilbert & Gail Pacheco, 2017. "Does integration lead to lower costs of equity?," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 86-112, February.
    46. Hsu, Ching-Chi & Chen, Miao-Ling, 2021. "Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    47. Hooy, Chee-Wooi & Lee, Meng-Horng & Chong, Terence Tai Leung, 2017. "The Sources of Country and Industry Variations in ASEAN Stock Returns," MPRA Paper 80574, University Library of Munich, Germany.

  46. Mr. Robin Brooks & Mr. Marco Del Negro, 2002. "The Rise in Comovement Across National Stock Markets: Market Integration or Global Bubble?," IMF Working Papers 2002/147, International Monetary Fund.

    Cited by:

    1. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
    2. Magdalena Vorzsak & Carmen Maria Gut, 2008. "Constraints Concerning Investment And Participation In Professional Training In The Companies From The Romanian Manufacturing Industry," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    3. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    4. Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004. "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series rp117, International Center for Financial Asset Management and Engineering.
    5. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
    6. Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    7. Šárka Brychtová, 2008. "Spa Healing Sources In Czech Republic," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    8. Mr. Robin Brooks & Mr. Marco Del Negro, 2003. "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers 2003/055, International Monetary Fund.
    9. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
    10. Manole Velicanu & Gheorghe Matei, 2008. "Decision Support Systems: Present And Future Trends," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    11. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    12. Cristina Silvia Nistor & Crina Ioana Filip & Adela Deaconu, 2008. "Derivative Instruments – Alternatives To Cover The Foreign Exchange Rate In The Case Of Import-Export Operations - Accounting Approach For Romania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    13. Barbara Pfeffer, 2006. "Trade Policy and Risk Diversification," Volkswirtschaftliche Diskussionsbeiträge 126-06, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    14. Jan Babecky & Lubos Komarek & Zlatuse Komarkova, 2010. "Financial Integration at Times of Financial Instability," Working Papers 2010/09, Czech National Bank, Research and Statistics Department.
    15. Cristina Curutiu, 2008. "Methods Of Portfolio Management - A Review Of Literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    16. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers 04-42, Bank of Canada.
    17. Brooks, Robin & Del Negro, Marco, 2004. "The rise in comovement across national stock markets: market integration or IT bubble?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 659-680, December.
    18. Rene M. Stulz, 2005. "The Limits of Financial Globalization," NBER Working Papers 11070, National Bureau of Economic Research, Inc.
    19. Rishma Vedd & Keji Chen & Nataliya Yassinski, 2014. "Country and Industry Factor Influence on Investment in Latin American Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(3), pages 47-57.
    20. Brian M. Doyle & Jon Faust, 2003. "Breaks in the variability and co-movement of G-7 economic growth," International Finance Discussion Papers 786, Board of Governors of the Federal Reserve System (U.S.).
    21. Kristin J. Forbes & Menzie D. Chinn, 2003. "A Decomposition of Global Linkages in Financial Markets Over Time," NBER Working Papers 9555, National Bureau of Economic Research, Inc.
    22. Mihaela Dragan & Zenovia Cristiana Pop, 2008. "CRITERIA FOR PRODUCT QUALITY IN THE FRAME OF INTERCULTURAL MARKET STRATEGIES OF SMALL AND MEDIUM SIZED ENTERPRISES - a brief review of literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    23. Paul EHLING & Sofia B. RAMOS, 2003. "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series rp80, International Center for Financial Asset Management and Engineering.
    24. Partenie Dumbrava & Ioan Pop & Eniko Fazakas & Jozsef Fazakas & Ludovica Breban, 2008. "The Environmental Impact Of Beer Production," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    25. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
    26. Berger, Tino & Pozzi, Lorenzo, 2013. "Measuring time-varying financial market integration: An unobserved components approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 463-473.
    27. Ioannidis, Christos & Kontonikas, Alexandros, 2008. "The impact of monetary policy on stock prices," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 33-53.
    28. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
    29. Adina Negrusa & Oana Adriana Gica, 2008. "Analysis Of Potential Sme’S Role For Developing Tourism In Transylvania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    30. Jeng-Yan Tsai & Jyh-Horng Lin, 2013. "Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 45(6), pages 753-764, February.
    31. Radygin Alexandr & Entov Revold & Mejeraoups I., 2007. "External Mechanisms of Corporate Governance," Research Paper Series, Gaidar Institute for Economic Policy, issue 104P.
    32. Adrian Grosanu & Paula Ramona Rachisan, 2008. "The Implementation Of Profit Centres Inside An Economic Entity," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    33. Ms. Sonja Keller & Mr. Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?," IMF Working Papers 2010/026, International Monetary Fund.

  47. Marco Del Negro & Frank Schorfheide, 2002. "Priors from general equilibrium models for VARs," FRB Atlanta Working Paper 2002-14, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    2. Ho, Paul, 2024. "Estimating the effects of demographics on interest rates: A robust Bayesian perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    3. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    4. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    5. F. Canova & F. Ferroni & C. Matthes, 2015. "Approximating time varying structural models with time invariant structures," Working papers 578, Banque de France.
    6. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
    7. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    8. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
    10. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    11. Milani, Fabio, 2008. "Learning, monetary policy rules, and macroeconomic stability," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3148-3165, October.
    12. Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
    13. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    14. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    15. Jean-Baptiste Gossé & Cyriac Guillaumin, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319.
    16. Del Negro, Marco & Schorfheide, Frank, 2005. "Monetary policy analysis with potentially misspecified models," Working Paper Series 475, European Central Bank.
    17. Mai, Nhat Chi, 2014. "Monetary transmission mechanism analysis in a small, open economy: the case of Vietnam," OSF Preprints ybc8p, Center for Open Science.
    18. Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
    19. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    20. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
    21. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    22. Albonico, Alice & Paccagnini, Alessia & Tirelli, Patrizio, 2017. "Great recession, slow recovery and muted fiscal policies in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 140-161.
    23. Florian Pelgrin & Stéphane Adjemian, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Économie et Prévision, Programme National Persée, vol. 183(2), pages 127-152.
    24. Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020. "What’s up with the Phillips Curve?," Working Paper Series 2435, European Central Bank.
    25. Canova, Fabio & Matthes, Christian, 2018. "A composite likelihood approach for dynamic structural models," CEPR Discussion Papers 13245, C.E.P.R. Discussion Papers.
    26. Corina SAMAN, 2016. "The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 170-183, December.
    27. Albonico, Alice & Paccagnini, Alessia & Tirelli, Patrizio, 2016. "In search of the Euro area fiscal stance," Journal of Empirical Finance, Elsevier, vol. 39(PB), pages 254-264.
    28. Boneva, Lena & Fawcett, Nicholas & Masolo, Riccardo M. & Waldron, Matt, 2019. "Forecasting the UK economy: Alternative forecasting methodologies and the role of off-model information," International Journal of Forecasting, Elsevier, vol. 35(1), pages 100-120.
    29. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
    30. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    31. D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
    32. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    33. Tomáš Jeřábek & Jakub Trojan & Radka Šperková, 2013. "Predictive performance of DSGE model for small open economy - the case study of Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2229-2238.
    34. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Open Access publications 10197/7351, School of Economics, University College Dublin.
    35. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
    36. Sabri Boubaker & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," Working Papers 2016-002, Department of Research, Ipag Business School.
    37. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    38. Chin, Kuo-Hsuan & Li, Xue, 2019. "Bayesian forecast combination in VAR-DSGE models," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 278-298.
    39. Michele Ca' Zorzi & Alexander Chudik & Alistair Dieppe, 2012. "The perils of aggregating foreign variables in panel data models," Globalization Institute Working Papers 111, Federal Reserve Bank of Dallas.
    40. Hwee Kwan Chow & Paul D. McNelis, 2010. "Need Singapore Fear Floating? A DSGE-VAR Approach," Working Papers 29-2010, Singapore Management University, School of Economics.
    41. Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2018. "Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model," Working Papers 391, University of Milano-Bicocca, Department of Economics, revised Nov 2018.
    42. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    43. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    44. Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang, 2014. "CES Technology and Business Cycle Fluctuations," School of Economics Discussion Papers 0414, School of Economics, University of Surrey.
    45. Matteo Iacoviello & Fabio Schiantarelli & Scott Schuh, 2010. "Input and output inventories in general equilibrium," International Finance Discussion Papers 1004, Board of Governors of the Federal Reserve System (U.S.).
    46. Yuliya Rychalovska & Massimiliano Marcellino (EUI), 2013. "An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis," EcoMod2013 5302, EcoMod.
    47. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    48. Ali Dib & Mohamed Gammoudi & Kevin Moran, 2005. "Forecasting Canadian Time Series with the New-Keynesian Model," Cahiers de recherche 0527, CIRPEE.
    49. John M. Roberts, 2005. "Using structural shocks to identify models of investment," Finance and Economics Discussion Series 2005-69, Board of Governors of the Federal Reserve System (U.S.).
    50. Branimir, Jovanovic & Magdalena, Petrovska, 2010. "Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting," MPRA Paper 43162, University Library of Munich, Germany.
    51. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    52. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    53. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.
    54. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
    55. Adjemian, Stéphane & Darracq Pariès, Matthieu & Moyen, Stéphane, 2008. "Towards a monetary policy evaluation framework," Working Paper Series 942, European Central Bank.
    56. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    57. Gonzalo Fernandez-de-Córdoba & José L. Torres, 2009. "Forecasting the Spanish economy with an Augmented VAR-DSGE model," Working Papers 2009-1, Universidad de Málaga, Department of Economic Theory, Málaga Economic Theory Research Center.
    58. Matthew Cocci & Marco Del Negro & Stefano Eusepi & Marc Giannoni & Raiden B. Hasegawa & M. Henry Linder & Argia M. Sbordone & Andrea Tambalotti, 2013. "The FRBNY DSGE model," Staff Reports 647, Federal Reserve Bank of New York.
    59. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
    60. Chunping Liu & Zhirong Ou, 2021. "What determines China's housing price dynamics? New evidence from a DSGE‐VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3269-3305, July.
    61. Christopher A. Sims, 2006. "Improving Monetary Policy Models," Working Papers 74, Princeton University, Department of Economics, Center for Economic Policy Studies..
    62. Christopher D. Carroll & Jiri Slacalek & Martin Sommer, 2008. "International Evidence on Sticky Consumption Growth," NBER Working Papers 13876, National Bureau of Economic Research, Inc.
    63. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.
    64. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
    65. Marco del Negro & Frank Schorfheide, 2008. "Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile," Working Papers Central Bank of Chile 486, Central Bank of Chile.
    66. Christopher A. Sims, 2011. "Statistical Modeling of Monetary Policy and its Effects," Nobel Prize in Economics documents 2011-5, Nobel Prize Committee.
    67. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    68. Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series 7048, CESifo.
    69. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
    70. Straub, Roland & Chudik, Alexander, 2010. "Size, openness, and macroeconomic interdependence," Working Paper Series 1172, European Central Bank.
    71. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
    72. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    73. Fabio Canova & Christian Matthes, 2021. "Dealing with misspecification in structural macroeconometric models," Quantitative Economics, Econometric Society, vol. 12(2), pages 313-350, May.
    74. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
    75. Chow, Hwee Kwan & Lim, G.C. & McNelis, Paul D., 2014. "Monetary regime choice in Singapore: Would a Taylor rule outperform exchange-rate management?," Journal of Asian Economics, Elsevier, vol. 30(C), pages 63-81.
    76. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
    77. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    78. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    79. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
    80. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
    81. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    82. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    83. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
    84. 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.
    85. Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2014. "Forecast combinations in a DSGE-VAR lab," Economics Series 309, Institute for Advanced Studies.
    86. Bloor, Chris & Matheson, Troy, 2011. "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 26-42, January.
    87. Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
    88. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    89. Bazhenova Olena & Bazhenova Yuliya, 2016. "Modelling the Impact of External Shocks on Economy of Ukraine: Dsge Approach," Ekonomika (Economics), Sciendo, vol. 95(1), pages 64-83, January.
    90. Anna Kormilitsina & Sarah Zubairy, 2016. "Propagation Mechanisms for Government Spending Shocks: A Bayesian Comparison," Departmental Working Papers 1608, Southern Methodist University, Department of Economics.
    91. Carlos Garcia & Wildo Gonzalez, 2010. "Is more exchange rate intervention necessary in small open economies? The role of risk premium and commodity shocks," ILADES-UAH Working Papers inv248, Universidad Alberto Hurtado/School of Economics and Business.
    92. Minford, Patrick & Wickens, Michael R. & Meenagh, David, 2012. "Testing macroeconomic models by indirect inference on unfiltered data," CEPR Discussion Papers 9058, C.E.P.R. Discussion Papers.
    93. Reichmuth, Wolfgang H. & Sarferaz, Samad, 2008. "Bayesian demographic modeling and forecasting: An application to U.S. mortality," SFB 649 Discussion Papers 2008-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    94. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy.
    95. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers CWP41/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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  48. Robin Brooks & Marco Del Negro, 2002. "International diversification strategies," FRB Atlanta Working Paper 2002-23, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Eduardo Roca & Victor Wong, 2008. "An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 583-597.
    2. Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2004. "Equity Returns and Integration: Is Europe Changing?," FAME Research Paper Series rp117, International Center for Financial Asset Management and Engineering.
    3. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
    4. Sarwar, Ghulam, 2020. "Interrelations in market fears of U.S. and European equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    5. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    6. Miklos Koren & Silvana Tenreyro, 2003. "Diversification and development," Working Papers 03-3, Federal Reserve Bank of Boston.
    7. Donadelli, Michael & Prosperi, Lorenzo, 2012. "On the role of liquidity in emerging markets stock prices," Research in Economics, Elsevier, vol. 66(4), pages 320-348.
    8. Robin Brooks & Marco Del Negro, 2003. "Firm-level evidence on international stock market movement," FRB Atlanta Working Paper 2003-8, Federal Reserve Bank of Atlanta.
    9. Forbes, Kristin J. & Chinn, Menzie David, 2003. "A Decomposition Of Global Linkages In Financial Markets Over Time," Santa Cruz Department of Economics, Working Paper Series qt4391b5w7, Department of Economics, UC Santa Cruz.
    10. Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
    11. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 931, European Central Bank.
    12. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
    13. John Ammer & Jon Wongswan, 2004. "Cash flows and discount rates, industry and country effects, and co-movement in stock returns," International Finance Discussion Papers 818, Board of Governors of the Federal Reserve System (U.S.).
    14. Koren, Miklos & Tenreyro, Silvana, 2005. "Volatility and development," LSE Research Online Documents on Economics 3743, London School of Economics and Political Science, LSE Library.

  49. Robin Brooks & Marco Del Negro, 2002. "The rise in comovement across national stock markets: market integration or IT bubble?," FRB Atlanta Working Paper 2002-17, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    2. Phylaktis, Kate & Xia, Lichuan, 2006. "Sources of firms' industry and country effects in emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 459-475, April.
    3. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
    4. T. Berger & L. Pozzi, 2011. "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/714, Ghent University, Faculty of Economics and Business Administration.
    5. Magdalena Vorzsak & Carmen Maria Gut, 2008. "Constraints Concerning Investment And Participation In Professional Training In The Companies From The Romanian Manufacturing Industry," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    6. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    7. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
    8. Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
    9. Kaltenhaeuser, Bernd, 2003. "Country and sector-specific spillover effects in the euro area, the United States and Japan," Working Paper Series 286, European Central Bank.
    10. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
    11. Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    12. Šárka Brychtová, 2008. "Spa Healing Sources In Czech Republic," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    13. Mr. Robin Brooks & Mr. Marco Del Negro, 2003. "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers 2003/055, International Monetary Fund.
    14. Dimpfl, Thomas & Peter, Franziska J., 2014. "The impact of the financial crisis on transatlantic information flows: An intraday analysis," University of Tübingen Working Papers in Business and Economics 70, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    15. Michel Beine & Antonio Cosma & Robert Vermeulen, 2008. "The Dark Side of Global Integration: Increasing Tail Dependence," DEM Discussion Paper Series 08-03, Department of Economics at the University of Luxembourg.
    16. José G. Dias & Sofia B. Ramos, 2015. "An Analysis of Industry Regimes Synchronization in the Eurozone," Journal of Common Market Studies, Wiley Blackwell, vol. 53(2), pages 255-273, March.
    17. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
    18. Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009. "Testing for Convergence in Stock Markets: A Non-Linear Factor Approach," CESifo Working Paper Series 2845, CESifo.
    19. Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106, March.
    20. Manole Velicanu & Gheorghe Matei, 2008. "Decision Support Systems: Present And Future Trends," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    21. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    22. Marfatia, Hardik A., 2020. "Investors’ risk perceptions in the US and global stock market integration," Research in International Business and Finance, Elsevier, vol. 52(C).
    23. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
    24. Cristina Silvia Nistor & Crina Ioana Filip & Adela Deaconu, 2008. "Derivative Instruments – Alternatives To Cover The Foreign Exchange Rate In The Case Of Import-Export Operations - Accounting Approach For Romania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    25. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance 0405006, University Library of Munich, Germany.
    26. Barbara Pfeffer, 2006. "Trade Policy and Risk Diversification," Volkswirtschaftliche Diskussionsbeiträge 126-06, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    27. Jamal Bouoiyour & Refk Selmi, 2016. "The responses of BRICS Equities to China's Slowdown: A Multi-Scale Causality Analysis," Working papers of CATT hal-01880323, HAL.
    28. Graham, Michael & Kiviaho, Jarno & Nikkinen, Jussi, 2012. "Integration of 22 emerging stock markets: A three-dimensional analysis," Global Finance Journal, Elsevier, vol. 23(1), pages 34-47.
    29. Umutlu, Mehmet & Yargı, Seher Gören & Zaremba, Adam, 2023. "Market segmentation and international diversification across country and industry portfolios," Research in International Business and Finance, Elsevier, vol. 65(C).
    30. Jan Babecky & Lubos Komarek & Zlatuse Komarkova, 2010. "Financial Integration at Times of Financial Instability," Working Papers 2010/09, Czech National Bank, Research and Statistics Department.
    31. Cristina Curutiu, 2008. "Methods Of Portfolio Management - A Review Of Literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    32. Nazaire, Gregory & Pacurar, Maria & Sy, Oumar, 2021. "Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?," Finance Research Letters, Elsevier, vol. 41(C).
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    Cited by:

    1. Wojciech Maliszewski, 2002. "Monetary Policy in Transition: Structural Econometric Modelling and Policy Simulations," CASE Network Studies and Analyses 0246, CASE-Center for Social and Economic Research.
    2. Yu Hsing, 2004. "Impacts of macroeconomic policies on the Mexican output," Global Economic Review, Taylor & Francis Journals, vol. 33(1), pages 85-94.
    3. Melisso Boschi & Massimiliano Marzo & Simone Salotti, 2013. "Domestic Versus International Determinants of European Business Cycles: A GVAR Approach," CAMA Working Papers 2013-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
    5. Katarzyna Kubiszewska, 2013. "Economic Crisis In Croatia," Oeconomia Copernicana, Institute of Economic Research, vol. 4(2), pages 57-72, June.
    6. Rokon Bhuiyan, 2008. "Monetary Transmission Mechanism In A Small Open Economy: A Bayesian Structural Var Approach," Working Paper 1183, Economics Department, Queen's University.
    7. Juan José Echavarría & Andrés González, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 14-66, December.
    8. Kia, Amir, 2013. "Determinants of the real exchange rate in a small open economy: Evidence from Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 163-178.
    9. Shimotsu, Tor, 2002. "Small Open Economy Model with Domestic Resource Shocks: Monetary Union vs. Floating Exchange Rate," Economics Discussion Papers 8841, University of Essex, Department of Economics.
    10. Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    11. Gunji, Hiroshi & Miura, Kazuki & Yuan, Yuan, 2009. "Bank competition and monetary policy," Japan and the World Economy, Elsevier, vol. 21(1), pages 105-115, January.
    12. Roman Horváth & Marek Rusnák, 2008. "How Important Are Foreign Shocks in Small Open Economy? The Case of Slovakia," Working Papers IES 2008/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008.
    13. Stephanie Schmitt-Grohe & Martin Uribe, 2000. "Stabilization Policy and the Costs of Dollarization," Departmental Working Papers 200006, Rutgers University, Department of Economics.
    14. Mackowiak, Bartosz, 2006. "What does the Bank of Japan do to East Asia?," Journal of International Economics, Elsevier, vol. 70(1), pages 253-270, September.
    15. Berument Hakan & Ceylan Nildag Basak, 2008. "US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 117-133, April.
    16. Gaetano Antinolfi & Todd Keister, 2001. "Dollarization as a monetary arrangement for emerging market economies," Review, Federal Reserve Bank of St. Louis, vol. 83(Nov.), pages 29-40.
    17. José J. Sidaoui & Manuel Ramos-Francia, 2008. "The monetary transmission mechanism in Mexico: recent developments," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 363-394, Bank for International Settlements.
    18. Capistran, Carlos & Chiquiar, Daniel & Hernandez, Juan R., 2017. "Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico," MPRA Paper 100745, University Library of Munich, Germany.
    19. Jean Louis, Rosmy & Brown, Ryan & Balli, Faruk, 2011. "On the feasibility of monetary union: Does it make sense to look for shocks symmetry across countries when none of the countries constitutes an optimum currency area?," Economic Modelling, Elsevier, vol. 28(6), pages 2701-2718.
    20. Rodríguez, Gabriel & Vassallo, Renato & Castillo B., Paul, 2023. "Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries," Economic Modelling, Elsevier, vol. 124(C).
    21. Gabriel Rodríguez & Renato Vassallo, 2022. "Time Evolution of External Shocks on Macroeconomic Fluctuations in Pacific Alliance Countries: Empirical Application using TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2022-508, Departamento de Economía - Pontificia Universidad Católica del Perú.
    22. Best, Gabriela, 2013. "Fear of floating or monetary policy as usual? A structural analysis of Mexico's monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 45-62.
    23. Louis, Rosmy J & Brown, Ryan & Balli, Faruk, 2009. "Are Mortgage Rates Bubbling Up Trouble for Canadas Metropolitan Housing Sector?," MPRA Paper 17245, University Library of Munich, Germany.

  51. Marco Del Negro, 1999. "Asymmetric shocks among U.S. states," Working Papers 9903, Centro de Investigacion Economica, ITAM.

    Cited by:

    1. Miklos Koren & Silvana Tenreyro, 2005. "Volatility and Development," CEP Discussion Papers dp0706, Centre for Economic Performance, LSE.
    2. Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
    3. Ralph Chami & Gregory D. Hess, 2002. "For Better or For Worse? State-Level Marital Formation and Risk Sharing," CESifo Working Paper Series 702, CESifo.
    4. Michael Artis & Toshihiro Okubo, 2008. "The Intranational Business Cycle: Evidence from Japan," Hi-Stat Discussion Paper Series d07-234, Institute of Economic Research, Hitotsubashi University.
    5. Hess, Gregory D. & Shin, Kwanho, 2010. "Understanding the Backus-Smith puzzle: It's the (nominal) exchange rate, stupid," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 169-180, February.
    6. Mueller, Holger & Giroud, Xavier, 2016. "Redistribution of Local Demand Shocks through Firms' Internal Networks," CEPR Discussion Papers 11384, C.E.P.R. Discussion Papers.
    7. Dick van Dijk & Dennis Fok & Philip Hans Franses, 2005. "A multi-level panel STAR model for US manufacturing sectors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 811-827.
    8. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    9. Michael Owyang & Jeremy Piger & Howard Wall, 2011. "Discordant City Employment Cycles," ERSA conference papers ersa11p1525, European Regional Science Association.
    10. Manuel Ramos-Francia & Santiago García-Verdú, 2018. "Globalisation and consumption risk-sharing in emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and deglobalisation, volume 100, pages 231-244, Bank for International Settlements.
    11. Miklos Koren & Silvana Tenreyro, 2003. "Diversification and development," Working Papers 03-3, Federal Reserve Bank of Boston.
    12. Thomas Grennes & Pablo Guerron-quintana & Asli Leblebicioglu, 2010. "Economic Development and Volatility among the States," Economics Bulletin, AccessEcon, vol. 30(3), pages 1963-1976.
    13. Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
    14. Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
    15. Hepp, Ralf & von Hagen, Jürgen, 2010. "Interstate risk sharing in Germany: 1970-2006," ZEI Working Papers B 03-2010, University of Bonn, ZEI - Center for European Integration Studies.
    16. Mathias Hoffmann, 2008. "The Lack of International Consumption Risk Sharing: Can Inflation Differentials and Trading Costs Help Explain the Puzzle?," Open Economies Review, Springer, vol. 19(2), pages 183-201, April.
    17. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2007. "Similarities and convergence in G-7 cycles," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 850-878, April.
    18. Vincent Labhard & Michael Sawicki, 2006. "International and intranational consumption risk sharing: the evidence for the United Kingdom and OECD," Bank of England working papers 302, Bank of England.
    19. Alcidi, Cinzia & D’Imperio, Paolo & Thirion, Gilles, 2017. "Risk-sharing and Consumption-smoothing Patterns in the US and the Euro Area: A comprehensive comparison," CEPS Papers 12514, Centre for European Policy Studies.
    20. Cimadomo, Jacopo & Ciminelli, Gabriele & Furtuna, Oana & Giuliodori, Massimo, 2020. "Private and public risk sharing in the euro area," European Economic Review, Elsevier, vol. 121(C).
    21. Michael T. Owyang & David E. Rapach & Howard J. Wall, 2008. "States and the business cycle," Working Papers 2007-050, Federal Reserve Bank of St. Louis.
    22. Giavazzi, Francesco & McMahon, Michael, "undated". "The Household Effects of Government Spending," Economic Research Papers 270747, University of Warwick - Department of Economics.
    23. Quint, Dominic, 2014. "How Large Is the Stress from the Common Monetary Policy in the Euro Area?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100341, Verein für Socialpolitik / German Economic Association.
    24. Asdrubali, Pierfederico & Kim, Soyoung, 2004. "Dynamic risksharing in the United States and Europe," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 809-836, May.
    25. Razieh Zahedi & Asghar Shahmoradi & Ali Taiebnia, 2022. "The ever-evolving trade pattern: a global VAR approach," Empirical Economics, Springer, vol. 63(3), pages 1193-1218, September.
    26. Kalemli-Ozcan, Sebnem & Sorensen, Bent E. & Yosha, Oved, 2001. "Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations," Journal of International Economics, Elsevier, vol. 55(1), pages 107-137, October.
    27. Gary Koop & Stuart McIntyre & James Mitchell & Aristeidis Raftapostolos, 2025. "Monthly GDP Growth Estimates for the U.S. States," Papers 2501.04607, arXiv.org.
    28. Wang, Boqun & Yang, Dennis Tao, 2021. "Volatility and Economic Systems: Evidence from A Large Transitional Economy," MPRA Paper 106624, University Library of Munich, Germany.
    29. Ṣebnem Kalemli-Özcan & Bent E. Sorensen & Oved Yosha, 1999. "Industrial specialization and the asymmetry of shocks across regions," Research Working Paper 99-06, Federal Reserve Bank of Kansas City.
    30. Zouri, Stéphane, 2021. "New evidence on international risk-sharing in the Economic Community of West African States (ECOWAS)," International Economics, Elsevier, vol. 165(C), pages 121-139.
    31. Davide Furceri & Ms. Aleksandra Zdzienicka, 2013. "The Euro Area Crisis: Need for a Supranational Fiscal Risk Sharing Mechanism?," IMF Working Papers 2013/198, International Monetary Fund.
    32. Becker, Sascha O. & Hoffmann, Mathias, 2006. "Intra- and international risk-sharing in the short run and the long run," European Economic Review, Elsevier, vol. 50(3), pages 777-806, April.
    33. Beetsma, Roel & Cimadomo, Jacopo & van Spronsen, Josha, 2022. "One scheme fits all: a central fiscal capacity for the EMU targeting eurozone, national and regional shocks," Working Paper Series 2666, European Central Bank.
    34. Predrag Petroviæ, 2016. "Backus–Smith puzzle and the European Union: It’s not just the nominal exchange rate," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 34(2), pages 393-418.
    35. Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
    36. Barbara Pfeffer, 2008. "Do regional Trade and Specialization drive intra-regional Risk-Sharing?," MAGKS Papers on Economics 200813, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    37. Michael B. Devereux & Viktoria Hnatkovska, 2011. "Consumption Risk-Sharing and the Real Exchange Rate: Why does the Nominal Exchange Rate Make Such a Difference?," NBER Working Papers 17288, National Bureau of Economic Research, Inc.
    38. Cimadomo, Jacopo & Gordo Mora, Esther & Palazzo, Alessandra Anna, 2022. "Enhancing private and public risk sharing: lessons from the literature and reflections on the COVID-19 crisis," Occasional Paper Series 306, European Central Bank.
    39. Michael Artis & Toshihiro Okubo, 2011. "The intranational business cycle in Japan," Oxford Economic Papers, Oxford University Press, vol. 63(1), pages 111-133, January.
    40. James D. Hamilton & Michael T. Owyang, 2009. "The propagation of regional recessions," Working Papers 2009-013, Federal Reserve Bank of St. Louis.
    41. Wall, Howard J., 2013. "The employment cycles of neighboring cities," Regional Science and Urban Economics, Elsevier, vol. 43(1), pages 177-185.
    42. Kishor, N. Kundan & Marfatia, Hardik A. & Nam, Gooan & Rizi, Majid Haghani, 2022. "The local employment effect of house prices: Evidence from U.S. States," Journal of Housing Economics, Elsevier, vol. 55(C).
    43. Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "A multi-level panel smooth transition autoregression for US sectoral production," Econometric Institute Research Papers EI 2003-43, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    44. Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics 1362, Faculty of Economics, University of Cambridge.
    45. Quint, Dominic, 2014. "Is it really more dispersed? Measuring and comparing the stress from the common monetary policy in the euro area," Discussion Papers 2014/13, Free University Berlin, School of Business & Economics.
    46. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
    47. Alexander Chudik & Janet Koech & Mark A. Wynne, 2018. "The Heterogeneous Effects of Global and National Business Cycles on Employment in U.S. States and Metropolitan Areas," Globalization Institute Working Papers 343, Federal Reserve Bank of Dallas.

Articles

  1. 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.
    See citations under working paper version above.
  2. Michael Cai & Marco Del Negro & Edward Herbst & Ethan Matlin & Reca Sarfati & Frank Schorfheide, 2021. "Online estimation of DSGE models," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 33-58.
    See citations under working paper version above.
  3. Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What's Up with the Phillips Curve?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
    See citations under working paper version above.
  4. Cai, Michael & Del Negro, Marco & Giannoni, Marc P. & Gupta, Abhi & Li, Pearl & Moszkowski, Erica, 2019. "DSGE forecasts of the lost recovery," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1770-1789.
    See citations under working paper version above.
  5. Michele Cavallo & Marco Del Negro & W. Scott Frame & Jamie Grasing & Benjamin A. Malin & Carlo Rosa, 2019. "Fiscal Implications of the Federal Reserve's Balance Sheet Normalization," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 255-306, December.
    See citations under working paper version above.
  6. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
    See citations under working paper version above.
  7. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    See citations under working paper version above.
  8. Marco Del Negro & Gauti Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2017. "The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities," American Economic Review, American Economic Association, vol. 107(3), pages 824-857, March.
    See citations under working paper version above.
  9. Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.
    See citations under working paper version above.
  10. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
    See citations under working paper version above.
  11. Del Negro, Marco & Sims, Christopher A., 2015. "When does a central bank׳s balance sheet require fiscal support?," Journal of Monetary Economics, Elsevier, vol. 73(C), pages 1-19.
    See citations under working paper version above.
  12. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    See citations under working paper version above.
  13. Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014. "Rare Shocks, Great Recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.
    See citations under working paper version above.
  14. Del Negro, Marco & Eusepi, Stefano, 2011. "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2105-2131.
    See citations under working paper version above.
  15. Del Negro, Marco & Perri, Fabrizio & Schivardi, Fabiano, 2010. "Tax buyouts," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 576-595, July.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," Staff Reports 467, Federal Reserve Bank of New York.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," NBER Working Papers 15847, National Bureau of Economic Research, Inc.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax buyouts," Staff Report 441, Federal Reserve Bank of Minneapolis.
    • Marco Del Negro & Fabrizio Perri & Fabiano Schivardi, 2010. "Tax Buyouts," EIEF Working Papers Series 1007, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2010.
    See citations under working paper version above.
  16. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    See citations under working paper version above.
  17. Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
    See citations under working paper version above.
  18. Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.

    Cited by:

    1. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    2. Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017. "Habit formation in consumption: A meta-analysis," European Economic Review, Elsevier, vol. 95(C), pages 142-167.
    3. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    4. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008. "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series 944, European Central Bank.
    5. José R. Maria & Paulo Júlio, 2017. "The Portuguese post-2008 period: A narrative from an estimated DSGE model," Working Papers w201715, Banco de Portugal, Economics and Research Department.
    6. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012. "What causes banking crises? An empirical investigation," Cardiff Economics Working Papers E2012/14, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2013.
    7. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    8. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
    9. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    10. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi, December.
    11. DI BARTOLOMEO, Giovanni & SERPIERI, Carolina, 2023. "Optimal monetary policy and the vintage-dependent price and wage Phillips curves: An international comparison," Working Papers 2023004, University of Antwerp, Faculty of Business and Economics.
    12. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    13. Martin Melecky & Evgenij Najdov, 2010. "Comparing constraints to economic stabilization in Macedonia and Slovakia: macroestimates with micronarratives," Applied Financial Economics, Taylor & Francis Journals, vol. 20(9), pages 681-699.
    14. Fair, Ray C., 2012. "Has macro progressed?," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 2-10.
    15. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
    16. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    17. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
    18. Li, Bing & Liu, Qing, 2017. "On the choice of monetary policy rules for China: A Bayesian DSGE approach," China Economic Review, Elsevier, vol. 44(C), pages 166-185.
    19. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    20. EO, Yunjong & LIE, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Discussion paper series HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    21. Marco Del Negro & Frank Schorfheide, 2006. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper 2006-16, Federal Reserve Bank of Atlanta.
    22. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    23. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    24. Minford, Patrick & Dai, Li & Zhou, Peng, 2014. "A DSGE Model of China," CEPR Discussion Papers 10238, C.E.P.R. Discussion Papers.
    25. Florian Pelgrin & Stéphane Adjemian, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Économie et Prévision, Programme National Persée, vol. 183(2), pages 127-152.
    26. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
    27. Gabriel Bruneau & Ian Christensen & Césaire Meh, 2016. "Housing Market Dynamics and Macroprudential Policy," Staff Working Papers 16-31, Bank of Canada.
    28. Harry Aginta & Masakazu Someya, 2022. "Regional economic structure and heterogeneous effects of monetary policy: evidence from Indonesian provinces," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-25, December.
    29. Advis Budiman & Solikin M. Juhro & Sugiharso Safuan, 2024. "Capital Flow and Bank Lending Channels in a Small Open Economy: Evidence from Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(2), pages 169-228, May.
    30. Jon Faust & Abhishek Gupta, 2012. "Posterior Predictive Analysis for Evaluating DSGE Models," NBER Working Papers 17906, National Bureau of Economic Research, Inc.
    31. Malin Adolfson & Stefan Laséen & Jesper Lindé & Lars E.O. Svensson, 2008. "Monetary Policy Trade-Offs in an Estimated Open-Economy DSGE Model," NBER Working Papers 14510, National Bureau of Economic Research, Inc.
    32. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
    33. Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018. "DSGE forecasts of the lost recovery," Staff Reports 844, Federal Reserve Bank of New York.
    34. Ms. Susan S. Yang & Ms. Nora Traum, 2010. "Monetary and Fiscal Policy Interactions in the Post-war U.S," IMF Working Papers 2010/243, International Monetary Fund.
    35. Le, Vo Phuong Mai & Matthews, Kent & Meenagh, David & Minford, Patrick & Xiao, Zhigui, 2013. "Banking and the Macroeconomy in China: A Banking Crisis Deferred?," Cardiff Economics Working Papers E2013/5, Cardiff University, Cardiff Business School, Economics Section.
    36. Rangan Gupta & Patrick T. Kanda & Mampho P. Modise & Alessia Paccagnini, 2015. "DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa," Open Access publications 10197/7351, School of Economics, University College Dublin.
    37. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Ratto, Marco, 2018. "Identification Versus Misspecification in New Keynesian Monetary Policy Models," Working Paper Series 362, Sveriges Riksbank (Central Bank of Sweden).
    38. Adrien Auclert & Matthew Rognlie & Ludwig Straub, 2020. "Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model," CESifo Working Paper Series 8051, CESifo.
    39. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    40. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    41. Komunjer, Ivana & Zhu, Yinchu, 2020. "Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 218(2), pages 561-586.
    42. Yongyang Cai & Kenneth L. Judd, 2023. "A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems," Quantitative Economics, Econometric Society, vol. 14(2), pages 651-687, May.
    43. Ferroni, Filippo, 2009. "Trend agnostic one step estimation of DSGE models," MPRA Paper 14550, University Library of Munich, Germany.
    44. Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
    45. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    46. Konstantinos Theodoridis & Francesco Zanetti, 2016. "News shocks and labour market dynamics in matching models," Canadian Journal of Economics, Canadian Economics Association, vol. 49(3), pages 906-930, August.
    47. Cristiano Cantore & Paul Levine & Joseph Pearlman & Bo Yang, 2014. "CES Technology and Business Cycle Fluctuations," School of Economics Discussion Papers 0414, School of Economics, University of Surrey.
    48. Bianchi, Francesco & Kung, Howard & Morales, Gonzalo, 2019. "Growth, slowdowns, and recoveries," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 47-63.
    49. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 3627, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    50. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    51. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
    52. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    53. Johanna Posch & Fabio Rumler, 2015. "Semi‐Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 145-162, March.
    54. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2023. "Forecasting with a panel Tobit model," Quantitative Economics, Econometric Society, vol. 14(1), pages 117-159, January.
    55. Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
    56. Poilly, Céline, 2010. "Does money matter for the identification of monetary policy shocks: A DSGE perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2159-2178, October.
    57. Nora Traum & Shu-Chun Susan Yang, 2010. "Does Government Debt Crowd Out Investment? A Bayesian DSGE Approach: Working Paper 2010-02," Working Papers 21397, Congressional Budget Office.
    58. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
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    184. Esteller-Moré, Alejandro & Rizzo, Leonzio, 2011. "(Uncontrolled) Aggregate Shocks or Vertical Tax Interdependence? Evidence From Gasoline and Cigarettes," National Tax Journal, National Tax Association;National Tax Journal, vol. 64(2), pages 353-379, June.
    185. André, Christophe & Gabauer, David & Gupta, Rangan, 2021. "Time-varying spillovers between housing sentiment and housing market in the United States☆," Finance Research Letters, Elsevier, vol. 42(C).
    186. Lei Hou & Wei Long & Qi Li, 2019. "Comovement of Home Prices: A Conditional Copula Approach," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 297-318, May.
    187. Suh, Hyunduk, 2023. "Regionally heterogeneous housing cycles and housing market stabilization policies: Evidence from Korea," Economic Modelling, Elsevier, vol. 120(C).
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    189. Vernengo, Matías, 2023. "A Framework to Interpret Macroprudential Policies in an Era of Financialization," Documentos de Proyectos 48891, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    190. Li Xiangfei & Han Hongli & Sun Minghan, 2020. "Localized or Regional? Urban Housing Policy Spillover in China’s Urban Agglomerations 2010–2018," Journal of Systems Science and Information, De Gruyter, vol. 8(4), pages 325-345, August.
    191. Hou, Jianghuai & Wang, Fang & Zhang, Ji, 2025. "How trade drives fluctuations in macroeconomics in China – A multi-level dynamic factor approach," China Economic Review, Elsevier, vol. 91(C).
    192. Bro, Jeppe & Eriksen, Jonas N., 2025. "Subjective expectations and house prices," Journal of Banking & Finance, Elsevier, vol. 172(C).
    193. Jonathan Goldberg & Elizabeth C. Klee & Edward Simpson Prescott & Paul R. Wood, 2020. "Monetary Policy Strategies and Tools: Financial Stability Considerations," Finance and Economics Discussion Series 2020-074, Board of Governors of the Federal Reserve System (U.S.).
    194. Miles, William & Zhu, Xiaoyang, 2023. "Housing and the changing impact of monetary policy," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 587-603.
    195. Funke, Michael & Tsang, Andrew & Zhu, Linxu, 2018. "Not all cities are alike: House price heterogeneity and the design of macro-prudential policies in China," BOFIT Discussion Papers 18/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    196. Filippo Gori, 2013. "Monetary Policy and Real Cost Imbalances in Currency Unions," IHEID Working Papers 12-2014, Economics Section, The Graduate Institute of International Studies, revised 12 Feb 2014.
    197. Joao Bernardo Duarte & Daniel A. Dias, 2015. "Housing and Monetary Policy in the Business Cycle: What do Housing Rents have to Say?," 2015 Papers pdu385, Job Market Papers.
    198. Mehmet Balcilar & Abebe Beyene & Rangan Gupta & Monaheng Seleteng, 2013. "‘Ripple’ Effects in South African House Prices," Urban Studies, Urban Studies Journal Limited, vol. 50(5), pages 876-894, April.
    199. Alegría, Andrés & Alfaro, Rodrigo & Córdova, Felipe, 2021. "The effect of warnings published in a financial stability report on loan-to-value ratios," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(4).
    200. Torben Klarl, 2016. "The nexus between housing and GDP re-visited: A wavelet coherence view on housing and GDP for the U.S," Economics Bulletin, AccessEcon, vol. 36(2), pages 704-720.
    201. George A. Kahn, 2010. "Taylor rule deviations and financial imbalances," Economic Review, Federal Reserve Bank of Kansas City, vol. 95(Q II), pages 63-99.
    202. McKinley, Terry, 2023. "Challenges posed by the Global Development trajectory from 2022 to 2030," Documentos de Proyectos 48886, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    203. Bhatt, Vipul & Kishor, N Kundan & Ma, Jun, 2017. "The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 206-222.
    204. Franz, Thorsten, 2019. "Monetary policy, housing, and collateral constraints," Discussion Papers 02/2019, Deutsche Bundesbank.
    205. Kenneth N Kuttner, 2012. "Discussant remarks on Filipa Sá, Pascal Towbin and Tomasz Wieladek’s paper "Capital inflows,financial innovation and housing booms"," BIS Papers chapters, in: Bank for International Settlements (ed.), Property markets and financial stability, volume 64, pages 76-82, Bank for International Settlements.
    206. Allen Head & Amy Hongfei Sun & Huw Lloyd-Ellis, 2012. "Search, Liquidity And The Dynamics Of House Prices And Construction," Working Paper 1276, Economics Department, Queen's University.
    207. Helmut Herwartz & Simone Maxand & Hannes Rohloff, 2022. "The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-53, December.
    208. Levitin, Adam & Wachter, Susan, 2012. "Explaining the Housing Bubble," MPRA Paper 41920, University Library of Munich, Germany.
    209. Jie Chen & Feng Guo & Aiyong Zhu, 2011. "The Housing-led Growth Hypothesis Revisited," Urban Studies, Urban Studies Journal Limited, vol. 48(10), pages 2049-2067, August.
    210. Lasse Bork & Stig V. Møller & Thomas Q. Pedersen, 2020. "A New Index of Housing Sentiment," Management Science, INFORMS, vol. 66(4), pages 1563-1583, April.
    211. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
    212. Flor, Michael A. & Klarl, Torben, 2017. "On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 134-156.
    213. Lars E.O. Svensson, 2010. "Inflation Targeting," NBER Working Papers 16654, National Bureau of Economic Research, Inc.
    214. Victor Pontines, 2021. "The real effects of loan-to-value limits: empirical evidence from Korea," Empirical Economics, Springer, vol. 61(3), pages 1311-1350, September.
    215. MeiChi Huang, 2014. "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 589-608, October.
    216. Cheng, Lichao & Jin, Yi, 2013. "Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation," Economics Letters, Elsevier, vol. 119(1), pages 24-27.
    217. Dominika Ehrenbergerova & Josef Bajzik, 2020. "The Effect of Monetary Policy on House Prices - How Strong is the Transmission?," Working Papers 2020/14, Czech National Bank, Research and Statistics Department.
    218. Su, Chi-Wei & Wang, Xiao-Qing & Tao, Ran & Chang, Hsu-Ling, 2019. "Does money supply drive housing prices in China?," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 85-94.

  20. Marco Del Negro & Frank Schorfheide, 2006. "How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 2), pages 21-37.

    Cited by:

    1. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    2. Minford, Patrick & Ou, Zhirong & Wickens, Michael & Zhu, Zheyi, 2022. "The eurozone: What is to be done to maintain macro and financial stability?," Journal of Financial Stability, Elsevier, vol. 63(C).
    3. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Hsiao, Cody Yu-Ling & Jin, Tao & Kwok, Simon & Wang, Xi & Zheng, Xin, 2023. "Entrepreneurial risk shocks and financial acceleration asymmetry in a two-country DSGE model," China Economic Review, Elsevier, vol. 81(C).
    5. Renzo Orsi & Davide Raggi & Francesco Turino, 2013. "Online Appendix to "Size, Trend, and Policy Implications of the Underground Economy"," Online Appendices 12-217, Review of Economic Dynamics.
    6. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    7. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
    8. Favero, Carlo A. & Consolo, Agostino & Paccagnini, Alessia, 2009. "On the Statistical Identification of DSGE Models," CEPR Discussion Papers 7176, C.E.P.R. Discussion Papers.
    9. Michael Wickens, 2015. "How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics," Manchester School, University of Manchester, vol. 83, pages 60-82, December.
    10. De Luigi, Clara & Huber, Florian, 2018. "Debt regimes and the effectiveness of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 218-238.
    11. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
    12. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    13. Shah, Sayar Ahmad & Garg, Bhavesh, 2023. "Identifying efficient policy mix under different targeting regimes: A tale of two crises," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 975-994.
    14. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
    15. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
    16. Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    17. André, Marine C. & Armijo, Alberto & Espidio, Sebastián Medina & Sandoval, Jamel, 2023. "Policy mix in a small open emerging economy with commodity prices," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    18. Troy Davig & Eric M. Leeper, 2005. "Generalizing the Taylor Principle," NBER Working Papers 11874, National Bureau of Economic Research, Inc.
    19. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
    20. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    21. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    22. Maral Kichian & Rumler Fabio & Paul Corrigan, 2010. "Semi-Structural Models for Inflation Forecasting," Staff Working Papers 10-34, Bank of Canada.
    23. Chunping Liu & Patrick Minford & Zhirong Ou, 2025. "Can Modern Monetary Theory fit the post‐Crisis US facts? Evidence from a full DSGE model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 983-1006, January.
    24. Fernando de Menezes Linardi, 2016. "Assessing the Fit of a Small Open-Economy DSGE Model for the Brazilian Economy," Working Papers Series 424, Central Bank of Brazil, Research Department.

  21. Robin Brooks & Marco Del Negro, 2006. "Firm-Level Evidence on International Stock Market Comovement," Review of Finance, European Finance Association, vol. 10(1), pages 69-98.
    See citations under working paper version above.
  22. Marco Del Negro & Frank Schorfheide, 2005. "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 434-443, 04/05.
    See citations under working paper version above.
  23. Brooks, Robin & Del Negro, Marco, 2004. "The rise in comovement across national stock markets: market integration or IT bubble?," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 659-680, December.
    See citations under working paper version above.
  24. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    See citations under working paper version above.
  25. Marco Del Negro & Frank Schorfheide, 2003. "Take your model bowling: forecasting with general equilibrium models," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q4), pages 35-50.

    Cited by:

    1. Lees, Kirdan & Matheson, Troy & Smith, Christie, 2011. "Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 512-528.
    2. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
    3. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy.
    4. Kirdan Lees & Troy Matheson & Christie Smith, 2007. "Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts," Reserve Bank of New Zealand Discussion Paper Series DP2007/01, Reserve Bank of New Zealand.
    5. Javier Andrés & Fernando Restoy, 2007. "Macroeconomic modelling in EMU: how relevant is the change in regime?," Working Papers 0718, Banco de España.
    6. Muhanji, Stella & Malikane, Christopher & Ojah, Kalu, 2013. "Price and liquidity puzzles of a monetary shock: Evidence from indebted African economies," Economic Modelling, Elsevier, vol. 33(C), pages 620-630.
    7. Suescun, Rodrigo, 2020. "A tool for fiscal policy planning in a medium-term fiscal framework: The FMM-MTFF model," Economic Modelling, Elsevier, vol. 88(C), pages 431-446.
    8. Paul Pichler, 2007. "Forecasting with estimated dynamic stochastic general equilibrium models: The role of nonlinearities," Vienna Economics Papers vie0702, University of Vienna, Department of Economics.
    9. Alvarez-Lois, Pedro & Harrison, Richard & Piscitelli, Laura & Scott, Alasdair, 2008. "On the application and use of DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2428-2452, August.
    10. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    11. Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
    12. Muhanji, Stella & Ojah, Kalu, 2011. "External shocks and persistence of external debt in open vulnerable economies: The case of Africa," Economic Modelling, Elsevier, vol. 28(4), pages 1615-1628, July.

  26. Del Negro, Marco, 2002. "Asymmetric shocks among U.S. states," Journal of International Economics, Elsevier, vol. 56(2), pages 273-297, March.
    See citations under working paper version above.
  27. Marco Del Negro & Stephen J. Kay, 2002. "Global banks, local crises: bad news from Argentina," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q3), pages 89-106.

    Cited by:

    1. Michael Brei & Carlos Winograd, 2018. "Credit risk of foreign bank branches and subsidiaries in Argentina and Uruguay," EconomiX Working Papers 2018-12, University of Paris Nanterre, EconomiX.
    2. Boulanouar, Zakaria & Alqahtani, Faisal & Hamdi, Besma, 2021. "Bank ownership, institutional quality and financial stability: evidence from the GCC region," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    3. Serrano, Alejandro, 2016. "Foreign banks and credit in Mexico," Global Finance Journal, Elsevier, vol. 30(C), pages 77-93.
    4. Michael Brei & Carlos Winograd, 2012. "Foreign banks, corporate strategy and financial stability: lessons from the river plate," Working Papers halshs-00703738, HAL.
    5. Michael Brei & Carlos Winograd, 2012. "Foreign banks, corporate strategy and financial stability: lessons from the river plate," PSE Working Papers halshs-00703738, HAL.
    6. Bank for International Settlements, 2007. "Evolving banking systems in Latin America and the Caribbean: challenges and implications for monetary policy and financial stability," BIS Papers, Bank for International Settlements, number 33, February.

  28. Marco Del Negro, 2001. "Turn, turn, turn: Predicting turning points in economic activity," Economic Review, Federal Reserve Bank of Atlanta, vol. 86(Q2), pages 1-12.

    Cited by:

    1. Donna K. Ginther & Madeline Zavodny, 2001. "The Beige Book: Timely information on the regional economy," Economic Review, Federal Reserve Bank of Atlanta, vol. 86(Q3), pages 19-29.
    2. Moneta, Fabio, 2003. "Does the yield spread predict recessions in the euro area?," Working Paper Series 294, European Central Bank.
    3. Rangan Gupta & Sonali Das, 2010. "Predicting Downturns in the US Housing Market: A Bayesian Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 294-319, October.
    4. Roberto Pinheiro & Rory G. Quinlan, 2025. "BLS Payroll Revisions: Forecasting Recessions," Working Papers 25-26, Federal Reserve Bank of Cleveland.
    5. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
    6. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, vol. 18(4), pages 325-335, December.
    7. Willem Boshoff, 2005. "The properties of cycles in South African financial variables and their relation to the business cycle," Working Papers 02/2005, Stellenbosch University, Department of Economics.

  29. Marco Del Negro & Francesc Obiols-Homs, 2001. "Has monetary policy been so bad that it is better to get rid of it? The case of Mexico," Proceedings, Federal Reserve Bank of Cleveland, pages 404-439.
    See citations under working paper version above.

Chapters

  1. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    See citations under working paper version above.
  3. Marco Del Negro & Frank Schorfheide, 2009. "Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 13, pages 511-562, Central Bank of Chile.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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