IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Computing sunspot equilibria in linear rational expectations models"

by Lubik, Thomas A. & Schorfheide, Frank

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window

  1. Roger E.A. Farmer & Tao Zha & Daniel F. Waggoner, 2009. "Understanding Markov-Switching Rational Expectations Models," NBER Working Papers 14710, National Bureau of Economic Research, Inc.
  2. Scott J. Dressler & Erasmus K. Kersting, 2012. "Economies of Scale in Banking, Confidence Shocks, and Business Cycles," Villanova School of Business Department of Economics and Statistics Working Paper Series 18, Villanova School of Business Department of Economics and Statistics.
  3. Bhattarai, Saroj & Lee, Jae Won & Park, Woong Yong, 2014. "Inflation dynamics: The role of public debt and policy regimes," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 93-108.
  4. Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015. "Learning, Monetary Policy, and Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
  5. Bennett T. Mccallum, 2011. "Causality, Structure And The Uniqueness Of Rational Expectations Equilibria," Manchester School, University of Manchester, vol. 79(s1), pages 551-566, 06.
  6. Gershun, Natalia, 2010. "Habit persistence, impediments to production factor adjustments, and asset returns in general equilibrium models with self-fulfilling expectations," Review of Financial Economics, Elsevier, vol. 19(1), pages 19-27, January.
  7. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "In the shadow of the United States: the international transmission effect of asset returns," Globalization and Monetary Policy Institute Working Paper 121, Federal Reserve Bank of Dallas.
  8. Gunnar BÃ¥rdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
  9. Chadha, J.S. & Corrado, L., 2007. "On the Determinacy of Monetary Policy under Expectational Errors," Cambridge Working Papers in Economics 0722, Faculty of Economics, University of Cambridge.
  10. Vázquez, Jesús & María-Dolores, Ramón & Londoño, Juan-Miguel, 2013. "On the informational role of term structure in the US monetary policy rule," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1852-1871.
  11. Weder, Mark & Pavlov, Oscar, 2015. "Product Scope and Endogenous Fluctuations," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112942, Verein für Socialpolitik / German Economic Association.
  12. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 516-530.
  13. Michelle L. Barnes & Fabià Gumbau-Brisa & Denny Lie & Giovanni P. Olivei, 2011. "Estimation of forward-looking relationships in closed form: an application to the New Keynesian Phillips curve," Working Papers 11-3, Federal Reserve Bank of Boston.
  14. Thomas A. Lubik & Paolo Surico, 2006. "The Lucas critique and the stability of empirical models," Working Paper 06-05, Federal Reserve Bank of Richmond.
  15. Castelnuovo, Efrem & Surico, Paolo, 2009. "Monetary policy, inflation expectations and the price puzzle," Research Discussion Papers 30/2009, Bank of Finland.
  16. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy:An Application to U.S. Monetary Policy," Economics Working Paper Archive 480, The Johns Hopkins University,Department of Economics, revised Jun 2003.
  17. Thomas A. Lubik & Christian Matthes, 2014. "Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation," CAMA Working Papers 2014-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  18. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, EconWPA.
  19. John B. Donaldson & Natalia Gershun & Marc P. Giannoni, 2009. "Some Unpleasant General Equilibrium Implications of Executive Incentive Compensation Contracts," NBER Working Papers 15165, National Bureau of Economic Research, Inc.
  20. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  21. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2007. "Understanding the New-Keynesian Model when Monetary Policy Switches Regimes," NBER Working Papers 12965, National Bureau of Economic Research, Inc.
  22. Firmin Doko Tchatoka & Nicolas Groshenny & Qazi Haque & Mark Weder, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," School of Economics Working Papers 2016-09, University of Adelaide, School of Economics.
  23. Tetlow, Robert J. & von zur Muehlen, Peter, 2009. "Robustifying learnability," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 296-316, February.
  24. Florin O. Bilbiie & Roland Straub, 2013. "Asset Market Participation, Monetary Policy Rules, and the Great Inflation," The Review of Economics and Statistics, MIT Press, vol. 95(2), pages 377-392, May.
  25. Ansgar Rannenberg, 2010. "The Taylor principle and (in-)determinacy in a New Keynesian model with hiring frictions and skill loss," Working Paper Research 208, National Bank of Belgium.
  26. María-Dolores, Ramón & Vázquez Pérez, Jesús, 2005. "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? an Indirect Inference Approach," DFAEII Working Papers 2005-13, University of the Basque Country - Department of Foundations of Economic Analysis II.
  27. Leduc, Sylvain & Sill, Keith & Stark, Tom, 2007. "Self-fulfilling expectations and the inflation of the 1970s: Evidence from the Livingston Survey," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 433-459, March.
  28. Fernández de Córdoba, Gonzalo & Vázquez Pérez, Jesús, 2010. "Unions, Monetary Shocks and the Labour Market Cycle," DFAEII Working Papers 2010-02, University of the Basque Country - Department of Foundations of Economic Analysis II.
  29. María-Dolores, Ramón & Vázquez Pérez, Jesús & Londoño Yarce, Juan Miguel, 2012. "The Effect of Data Revisions on the Basic New Keynesian Model," DFAEII Working Papers 8760, University of the Basque Country - Department of Foundations of Economic Analysis II.
  30. Hirose, Yasuo, 2010. "Monetary policy and sunspot fluctuation in the U.S. and the Euro area," MPRA Paper 33693, University Library of Munich, Germany.
  31. Beyer, Andreas & Farmer, Roger E. A., 2003. "On the indeterminacy of determinacy and indeterminacy," Working Paper Series 0277, European Central Bank.
  32. Blake, Andrew P & Markovic, Bojan, 2008. "The conduct of global monetary policy and domestic stability," Bank of England working papers 353, Bank of England.
  33. María-Dolores, Ramón & Vázquez Pérez, Jesús, 2008. "Term Structure and the Estimated Monetary Policy Rule in the Eurozone," DFAEII Working Papers 2008-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  34. Lubik, Thomas A. & Marzo, Massimiliano, 2007. "An inventory of simple monetary policy rules in a New Keynesian macroeconomic model," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 15-36.
  35. Roger E. A. Farmer & Andreas Beyer, 2004. "On the Indeterminacy of New Keynesian Economics," 2004 Meeting Papers 187, Society for Economic Dynamics.
  36. Ragna Alstadheim & Øistein Røisland, 2016. "When preferences for a stable interest rate become self-defeating," Working Paper 2016/8, Norges Bank.
  37. Tom Holden, 2012. "Learning from learners," School of Economics Discussion Papers 1512, School of Economics, University of Surrey.
  38. Keiichi Morimoto & Takeo Hori & Noritaka Maebayashi & Koichi Futagami, 2013. "Debt Policy Rules in an Open Economy," Discussion Papers in Economics and Business 13-07-Rev., Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Aug 2015.
  39. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno".
  40. repec:wyi:journl:002201 is not listed on IDEAS
  41. YANO Koiti, 2009. "Dynamic Stochastic General Equilibrium Models Under a Liquidity Trap and Self-organizing State Space Modeling," ESRI Discussion paper series 206, Economic and Social Research Institute (ESRI).
  42. ALISTAIR DIEPPE & KEITH KÜSTER & PETER McADAM, 2005. "Optimal Monetary Policy Rules for the Euro Area: An Analysis Using the Area Wide Model," Journal of Common Market Studies, Wiley Blackwell, vol. 43(3), pages 507-537, 09.
  43. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  44. Khan, Hashmat, 2005. "Price-setting behaviour, competition, and markup shocks in the new Keynesian model," Economics Letters, Elsevier, vol. 87(3), pages 329-335, June.
  45. Canova, Fabio & Gambetti, Luca, 2009. "Do expectations matter? The Great Moderation revisited," CEPR Discussion Papers 7597, C.E.P.R. Discussion Papers.
  46. Vázquez Pérez, Jesús & Cassou, Steven P., 2010. "New Keynesian Model Features that Can Reproduce Lead, Lag and Persistence Patterns," DFAEII Working Papers 2010-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  47. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2010. "Generalizing the Taylor Principle: Comment," American Economic Review, American Economic Association, vol. 100(1), pages 608-617, March.
  48. Bilbiie, Florin O., 2008. "Limited asset markets participation, monetary policy and (inverted) aggregate demand logic," Journal of Economic Theory, Elsevier, vol. 140(1), pages 162-196, May.
  49. Grydaki, Maria & Bezemer, Dirk J., 2012. "The Role of Credit in Great Moderation: a Multivariate GARCH Approach," MPRA Paper 39813, University Library of Munich, Germany.
  50. Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 207-223, April.
  51. Franz Hamann & Marc Hofstetter & Miguel Urrutia, 2014. "Inflation Targeting in Colombia, 2002-2012," DOCUMENTOS CEDE 011007, UNIVERSIDAD DE LOS ANDES-CEDE.
  52. Andreas Beyer & Roger E.A. Farmer, 2005. "Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model," Computing in Economics and Finance 2005 172, Society for Computational Economics.
  53. Benati, Luca & Surico, Paolo, 2008. "VAR analysis and the Great Moderation," Working Paper Series 0866, European Central Bank.
  54. Luca Benati and Paolo Surico, 2007. "Vector Autoregression Analysis and the Great Moderation," Discussion Papers 18, Monetary Policy Committee Unit, Bank of England.
  55. Martín González-Rozada & Martín Sola, 2014. "Towards a “New” Inflation Targeting Framework: The Case of Uruguay," Research Department Publications IDB-WP-486, Inter-American Development Bank, Research Department.
  56. Weder, Mark & Doko Tchatokay, Firmin & Groshenny, Nicolas & Haque, Qazi, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," Annual Conference 2016 (Augsburg): Demographic Change 145557, Verein für Socialpolitik / German Economic Association.
  57. Luca Benati & Paolo Surico, 2006. "The Great Moderation and the ‘Bernanke Conjecture’," Computing in Economics and Finance 2006 158, Society for Computational Economics.
  58. Krause, Michael & Lubik, Thomas A., 2010. "Instability and indeterminacy in a simple search and matching model," Discussion Paper Series 1: Economic Studies 2010,25, Deutsche Bundesbank, Research Centre.
  59. Roger E.A. Farmer & Vadim Khramov & Giovanni Nicolò, 2013. "Solving and Estimating Indeterminate DSGE Models," NBER Working Papers 19457, National Bureau of Economic Research, Inc.
  60. 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.
  61. Fanelli, Luca, 2012. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, vol. 170(1), pages 153-163.
  62. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers 1405, University of Vienna, Department of Economics.
  63. Paolo Surico, 2005. "Monetary Policy Shifts, Indeterminacy and Inflation Dynamics," Macroeconomics 0504014, EconWPA.
  64. Hirose, Yasuo & Kurozumi, Takushi & Van Zandweghe, Willem, 2015. "Monetary policy, trend inflation, and the Great Moderation: an alternative interpretation: comment based on system estimation," Research Working Paper RWP 15-17, Federal Reserve Bank of Kansas City.
  65. Hirose, Yasuo, 2008. "Learnability and equilibrium selection under indeterminacy," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3459-3477, November.
  66. Pengfei Wang & Yi Wen, 2006. "Solving linear difference systems with lagged expectations by a method of undetermined coefficients," Working Papers 2006-003, Federal Reserve Bank of St. Louis.
  67. Takushi Kurozumi & Willem Van Zandweghe, 2011. "Determinacy under Inflation Targeting Interest Rate Policy in a Sticky Price Model with Investment (and Labor Bargaining)," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 1019-1033, 08.
  68. Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
  69. Huang, Kevin X.D. & Meng, Qinglai, 2012. "Increasing returns and unsynchronized wage adjustment in sunspot models of the business cycle," Journal of Economic Theory, Elsevier, vol. 147(1), pages 284-309.
  70. Marco M. Sorge, 2010. "On the Empirical Separability of News Shocks and Sunspots," Notas Económicas, Faculty of Economics, University of Coimbra, issue 32, pages 44-55, December.
  71. repec:mur:wpaper:4699 is not listed on IDEAS
  72. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 0586, European Central Bank.
  73. Siddhartha Chib & Michael Dueker & Anatoliy Belaygorod, 2005. "Structural Breaks in Estimated DSGE Models with Indeterminacy," Computing in Economics and Finance 2005 357, Society for Computational Economics.
  74. Oscar Pavlov & Mark Weder, 2017. "Online Appendix to "Product Scope and Endogenous Fluctuations"," Technical Appendices 15-129, Review of Economic Dynamics.
  75. 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.
  76. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2008. "Minimal state variable solutions to Markov-switching rational expectations models," FRB Atlanta Working Paper 2008-23, Federal Reserve Bank of Atlanta.
  77. Bezemer, Dirk & Grydaki, Maria, 2013. "Debt and the U.S. Great Moderation," MPRA Paper 47399, University Library of Munich, Germany.
  78. Jarkko Jääskelä & Mariano Kulish, 2007. "The Butterfly Effect of Small Open Economies," RBA Research Discussion Papers rdp2007-06, Reserve Bank of Australia.
  79. Paolo Surico, 2008. "Monetary policy shifts and inflation dynamics," Bank of England working papers 338, Bank of England.
  80. Bezemer, Dirk J & Grydaki, Maria, 2012. "Mortgage Lending and the Great moderation: a multivariate GARCH Approach," MPRA Paper 36356, University Library of Munich, Germany.
  81. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
  82. Xiao, Wei, 2004. "Can indeterminacy resolve the cross-country correlation puzzle?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2341-2366, December.
  83. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, EconWPA.
  84. Olivier Coibion & Yuriy Gorodnichenko & Johannes Wieland, 2010. "The Optimal Inflation Rate in New Keynesian Models," Working Papers 91, Department of Economics, College of William and Mary.
  85. repec:dgr:rugsom:14030-gem is not listed on IDEAS
  86. Karnizova, Lilia, 2010. "News versus sunspot shocks in a New Keynesian model," Economics Discussion Papers 2010-15, Kiel Institute for the World Economy (IfW).
  87. Gumbau-Brisa, Fabià & Lie, Denny, 2015. "Comments on "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve"," Working Papers 2015-13, University of Sydney, School of Economics.
  88. Giovanni Nicoló & Francesco Bianchi, 2016. "A Generalized Approach to Indeterminacy in Linear Rational Expectations Models," 2016 Meeting Papers 1516, Society for Economic Dynamics.
  89. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
  90. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
  91. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, 07.
  92. Anatoliy Belaygorod & Michael J. Dueker, 2007. "The price puzzle and indeterminacy in an estimated DSGE model," Working Papers 2006-025, Federal Reserve Bank of St. Louis.
  93. Hirose, Yasuo, 2007. "Sunspot fluctuations ulnder zero nominal interest rates," Economics Letters, Elsevier, vol. 97(1), pages 39-45, October.
  94. Efrem Castelnuovo, 2006. "Monetary Policy Switch, the Taylor Curve, and the Great Moderation," Computing in Economics and Finance 2006 59, Society for Computational Economics.
  95. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  96. Bennett T. McCallum, 2010. "Indeterminacy, Causality, and the Foundations of Monetary Policy Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 107-120, March.
  97. Hirose, Yasuo & Kurozumi, Takushi & Van Zandweghe, Willem, 2017. "Monetary Policy and Macroeconomic Stability Revisited," Research Working Paper RWP 17-1, Federal Reserve Bank of Kansas City.
  98. Olivier Coibion & Yuriy Gorodnichenko & Johannes Wieland, 2012. "The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound?," Review of Economic Studies, Oxford University Press, vol. 79(4), pages 1371-1406.
  99. Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy in Linear Rational Expectations Models," Computing in Economics and Finance 2002 214, Society for Computational Economics.
  100. Bilbiie, Florin O., 2004. "The great inflation, limited asset markets participation and aggregate demand: FED policy was better than you think," Working Paper Series 0408, European Central Bank.
  101. Martinez-Garcia, Enrique, 2016. "System reduction and finite-order VAR solution methods for linear rational expectations models," Globalization and Monetary Policy Institute Working Paper 285, Federal Reserve Bank of Dallas.
  102. Florin Bilbiie, 2005. "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Papers 2005-W09, Economics Group, Nuffield College, University of Oxford.
  103. Mari­a-Dolores, Ramón & Vázquez, Jesús, 2008. "The new Keynesian monetary model: Does it show the comovement between GDP and inflation in the U.S.?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1466-1488, May.
  104. Frank Hespeler, "undated". "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," EcoMod2007 23900036, EcoMod.
  105. Benati, Luca, 2010. "Are policy counterfactuals based on structural VAR's reliable?," Working Paper Series 1188, European Central Bank.
  106. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
  107. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany.
  108. Benjamin Carton, 2011. "The Impossible Trinity Revised: An Application to China," Working Papers 2011-27, CEPII research center.
  109. Bezemer, Dirk & Grydaki, Maria, 2014. "Nonfinancial sectors debt and the U.S. great moderation," Research Report 14030-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  110. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
  111. Belaygorod, Anatoliy & Dueker, Michael, 2009. "Indeterminacy, change points and the price puzzle in an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 624-648, March.
  112. Grydaki, Maria & Bezemer, Dirk, 2013. "The role of credit in the Great Moderation: A multivariate GARCH approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4615-4626.
  113. Efrem Castelnuovo, 2006. "Assessing Different Drivers of the GreatModeration in the U.S," "Marco Fanno" Working Papers 0025, Dipartimento di Scienze Economiche "Marco Fanno".
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.