E30

Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)

Firms' entry, monetary policy and the international business cycle

JEL codes: 
E30, E32, E52
Version Date: 
Jun 2013
Author/s: 
Abstract: 

This paper proposes a two-country monetary model with firm entry as a means for alleviating the comovement puzzles in international business cycle models. It shows that business formation can generate fluctuations in output, employment, investment and trade flows close to those in the datawhile at the sametimeproviding positive international comovements.

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Yield curve and Recession Forecasting in a Machine Learning Framework

JEL codes: 
E30, E39
Version Date: 
Nov 2013
Author/s: 
Abstract: 

In this paper, we investigate the forecasting ability of the yield curve in terms of the
U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework,
we use data from a variety of short (treasury bills) and long term interest rates (bonds)
for the period from 1976:Q3 to 2011:Q4 in conjunction with the real GDP for the

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A revisit on the role of macro imbalances in the US recession of 2007-2009

JEL codes: 
E30, E59, E62
Version Date: 
Jun 2011
Author/s: 
Abstract: 

The present study is an attempt to revisit the evidences of a very recent study of Paul (2010) on the role of macro imbalances in the US recession of 2007-09. Contrary to Paul (2010) who finds that great recession was due to, particularly, twin deficits, I found central cause of the problem was prolonged fiscal deficit.

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Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area

JEL codes: 
C32, E30, E44, E51, E52
Version Date: 
Apr 2011
Author/s: 
Abstract: 

I estimate the dynamic effects of respectively traditional interest rate
innovations and unconventional monetary policy actions on the Euro area
economy. The results show that the Eurosystem can stimulate the economy
beyond the policy rate by increasing the size of its balance sheet. The ultimate
consequences on output and consumer prices are however more sluggish

Fiscal Policy in Real Time

JEL codes: 
C23, E30, E62, H30, H60
Version Date: 
May 2008
Author/s: 
Abstract: 

This paper argues that any assessment on the intentional stance of fiscal policy should be
based upon all the information available to policymakers at the time of fiscal planning. In
particular, real-time data on the discretionary fiscal policy "instrument", the structural
primary balance, should be used in the estimation of fiscal policy reaction functions. In

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Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model

JEL codes: 
E30, E52
Version Date: 
Feb 2008
Abstract: 

Several industrialised countries have had a similar inflation experience in the past 30 years, with inflation high and volatile in the 1970s and the 1980s but low and stable in the most recent period. We explore the dynamics of inflation in these countries via a time-varying factor model.

Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)

JEL codes: 
C32, E30
Version Date: 
Jan 2007
Author/s: 
Abstract: 

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of unobservable exogenous processes.

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Drift and Breaks in Labour Productivity

JEL codes: 
E30, E32
Version Date: 
Jul 2006
Author/s: 
Abstract: 

We use tests for multiple breaks at unknown points in the sample, and the Stock-Watson (1996, 1998) time-varying parameters median-unbiased estimation methodology, to investigate changes in the equilibrium rate of growth of labor productivity–both per hour and per worker–in the United States, the Eurozone Australia, and Japan over the post-WWII era. Results for the U.S.

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