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作者：Carboni, Giacomo; Ellison, Martin
作者单位：University of Oxford; European Central Bank
摘要：Can the story of evolving Federal Reserve beliefs in The Conquest of American Inflation simultaneously explain the Great Inflation and the forecasts published in the Greenbook during that time? if Sargent is correct then evolving beliefs should be reflected not only in policy outcomes but also in Greenbook forecasts. In this paper they are. By conditioning on the Greenbook, it is show that both inflation outcomes and Greenbook forecasts can be rationalised by evolving beliefs. The results impr...
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作者：Kozicki, Sharon; Tinsley, P. A.
作者单位：Bank of Canada; University of London; Birkbeck University London
摘要：Briefing forecasts prepared for the Federal Open Market Committee (FOMC) are used to estimate changes in the design of US monetary policy and in the implied policy target for inflation from 1970 through 1997. Both estimated policy rate responses and FOMC transcripts are consistent with intermediate targeting of monetary aggregates throughout the Great Inflation of the 1970s. The unpublished FOMC targets for M1 growth are tabulated. Empirical results support an effective inflation target of rou...
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作者：Bohn, Henning
作者单位：University of California System; University of California Santa Barbara
摘要：Risk-sharing implications of alternative fiscal policies are compared in a stochastic production economy with overlapping generations. Ex ante efficiency is shown to be achievable with optimal transfers, regardless of distributional concerns. For CRRA preferences, stylized real-world policies (notably safe debt and safe pensions) are found inefficient in the direction of imposing not enough productivity risk on retirees and too much on future generations. Safe transfers can be rationalized as ...
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作者：Lu, Biao; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We extract two systematic economic factors from a wide array of noisy and sparsely observed macroeconomic releases, and link the dynamics and market prices of the two factors to the interest rate term structure. The two factors predict 77.9-82.1% of the daily variation in LIBOR and swap rates from one month to 10 years. Shocks on inflation-related releases have large, positive impacts on interest rates of all maturities, leading to parallel shifts of the yield curve, but shocks on output-relat...
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作者：Consolo, Agostino; Favero, Carlo A.
作者单位：Bocconi University
摘要：Empirical estimates of monetary policy reaction functions feature a very high estimated degree of monetary policy inertia. This evidence is very hard of reconcile with the alternative evidence of low predictability of monetary policy rates. In this paper we examine the potential relevance of the problem of weak instruments to correctly identify the degree of monetary policy inertia in forward-looking monetary policy reaction function of the type originally proposed by Taylor [1993. Discretion ...
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作者：Perron, Pierre; Wada, Tatsuma
作者单位：Boston University; Wayne State University
摘要：Trend-cycle decompositions for US real GDP such as the unobserved components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology, ascribes much movements to the trend leaving little to the cycle, and some imply a negative correlation between the noise to the cycle and the trend. We argue that these features are artifacts created by the neglect of a change in the slope of the trend fu...
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作者：Bianchi, Francesco; Mumtaz, Haroon; Surico, Paolo
作者单位：Bank of England; Princeton University
摘要：The conduct of monetary policy, the term structure of interest rates and the structure of the economy in the UK have changed over the post-WWII period. We model the interaction between the macroeconomy and financial markets using a time-varying VAR augmented with the factors from the yield curve. There is evidence of a great moderation in the dynamics of the yield curve, with the factors being persistent and volatile before the introduction of inflation targeting in 1992 but becoming stable af...
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作者：Edelstein, Paul; Kilian, Lutz
作者单位：University of Michigan System; University of Michigan
摘要：There is growing evidence that the primary effect of energy price shocks on the U.S. economy involves a reduction in consumer spending. We quantify the direct effect on real consumption of unanticipated changes in discretionary income, shifts in precautionary savings, and changes in the operating cost of energy-using durables, The possibility of asymmetries in the response of real consumption to energy price shocks is also considered. We demonstrate that linear models are consistent with the s...
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作者：Carroll, Christopher D.
作者单位：Johns Hopkins University; National Bureau of Economic Research
摘要：The budget constraint requires that, eventually, consumption must adjust fully to any permanent shock to income. Intuition suggests that, knowing this, optimizing agents will fully adjust their spending immediately upon experiencing a permanent shock. However, this paper shows that if consumers are impatient and are subject to transitory as well as permanent shocks, the optimal marginal propensity to consume out of permanent shocks (the MPCP) is strictly less than one, because buffer-stock sav...
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作者：Thomas, Carlos; Zanetti, Francesco
作者单位：Banco de Espana; Bank of England
摘要：Central bankers frequently suggest that labor market reform may be beneficial for inflation management. This paper investigates this topic by simulating the effects of reductions in firing costs and unemployment benefits on inflation volatility in the Euro Area, using an estimated New Keynesian model with search and matching frictions. Qualitatively, changes in labor market policies alter the volatility of inflation in response to shocks, by affecting the volatility of the three components of ...
