Download or read book Forecast Revisions as Instruments for News Shocks written by Danilo Cascaldi-Garcia and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identifying News Shocks from Forecasts written by Jonathan J. Adams and published by International Monetary Fund. This book was released on 2023-09-29 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method to identify the anticipated components of macroeconomic shocks in a structural VAR. We include empirical forecasts about each time series in the VAR. This introduces enough linear restrictions to identify each structural shock and to further decompose each one into “news” and “surprise” shocks. We estimate a VAR on US time series using forecast data from the SPF, CBO, Federal Reserve, and asset prices. Unanticipated fiscal stimulus and interest rate shocks we identify have typical effects that match existing evidence. In our news-surprise decomposition, we find that news drives around one quarter of US business cycle volatility. News explains a larger share of the variance due to fiscal shocks than for monetary policy shocks. Finally, we use the news structure of the shocks to estimate counterfactual policy rules, and compare the ability of fiscal and monetary policy to moderate output and inflation. We find that coordinated fiscal and monetary policy are substantially more effective than either tool is individually.

Download or read book Shocks to Inflation Expectations written by Mr. Philip Barrett and published by International Monetary Fund. This book was released on 2022-04-29 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality. Using data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary: inflation, output, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes. We discuss possible resolutions to this new puzzle.

Download or read book Revisions in Utilization Adjusted TFP and Robust Identification of News Shocks written by André Kurmann and published by . This book was released on 2017 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents large revisions in a widely-used series of utilization-adjusted total factor productivity (TFP) by Fernald (2014) and shows that these revisions can materially affect empirical conclusions about the macroeconomic effects of news shocks. We propose an alternative identification that is robust to measurement issues with TFP, including the revisions in Fernald’s series. When applied to U.S. data, the shock predicts sustained future productivity growth while simultaneously generating strong impact responses of novel indicators of technological innovation and forward-looking information variables. The shock does, however, not lead to comovement in macroeconomic aggregates as typically associated with business cycle fluctuations.

Download or read book News Shocks in Open Economies written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2015-09-29 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the effect of news shocks on the current account and other macroeconomic variables using worldwide giant oil discoveries as a directly observable measure of news shocks about future output ? the delay between a discovery and production is on average 4 to 6 years. We first present a two-sector small open economy model in order to predict the responses of macroeconomic aggregates to news of an oil discovery. We then estimate the effects of giant oil discoveries on a large panel of countries. Our empirical estimates are consistent with the predictions of the model. After an oil discovery, the current account and saving rate decline for the first 5 years and then rise sharply during the ensuing years. Investment rises robustly soon after the news arrives, while GDP does not increase until after 5 years. Employment rates fall slightly for a sustained period of time.

Download or read book NBER Macroeconomics Annual 2014 written by Jonathan A. Parker and published by University of Chicago Press. This book was released on 2015-06-02 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: The twenty-ninth edition of the NBER Macroeconomics Annual continues its tradition of featuring theoretical and empirical research on central issues in contemporary macroeconomics. Two papers in this year’s issue deal with recent economic performance: one analyzes the evolution of aggregate productivity before, during, and after the Great Recession, and the other characterizes the factors that have contributed to slow economic growth following the Great Recession. Another pair of papers tackles the role of information in business cycles. Other contributions address how assumptions about sluggish nominal price adjustment affect the consequences of different monetary policy rules and the role of business cycles in the long-run decline in the share of employment in middle-wage jobs. The final chapter discusses the advantages and disadvantages of the elimination of physical currency.

Download or read book Forecasting High Frequency Volatility Shocks written by Holger Kömm and published by Springer. This book was released on 2016-02-08 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-11-12 with total page 2744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved

Download or read book Optimism Pessimism and Short Term Fluctuations written by Gabriel Di Bella and published by International Monetary Fund. This book was released on 2018-01-05 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic theory offers several explanations as to why shifting expectations about future economic activity affect current demand. Abstracting from whether changes in expectations originate from swings in beliefs or fundamentals, we test empirically whether more optimistic or pessimistic potential output forecasts trigger short-term fluctuations in private consumption and investment. Relying on a dataset of actual data and forecasts for 89 countries over the 1990-2022 period, we find that private economic agents learn from different sources of in- formation about future potential output growth, and adjust their current demand accordingly over the two years following the shock in expectations. To provide a theoretical foundation to the empirical analysis, we also propose a simple Keynesian model that highlights the role of expectations about long-term output in determining short-term economic activity.

Download or read book NBER Macroeconomics Annual 2009 written by Daron Acemoglu and published by . This book was released on 2010-07 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2009 address how heterogeneous beliefs interact with equilibrium leverage and potentially lead to leverage cycles, the validity of alternative hypotheses about the reason for the recent increase in foreclosures on residential mortgages, the credit rating crisis, quantitative implications for the evolution of the U.S. wage distribution, and noisy business cycles.

Download or read book Forecast Revisions in the Presence of News written by Joep Lustenhouwer and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Fluctuations and Policies written by Edouard Challe and published by MIT Press. This book was released on 2023-09-19 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.

Download or read book Handbook of Monetary Economics written by Benjamin M. Friedman and published by Elsevier. This book was released on 2010-11-16 with total page 971 pages. Available in PDF, EPUB and Kindle. Book excerpt: "What tools are available for setting and analyzing monetary policy? World-renowned contributors examine recent evidence on subjects as varied as price-setting, inflation persistence, the private sector's formation of inflation expectations, and the monetary policy transmission mechanism. Stopping short of advocating conclusions about the ideal conduct of policy, the authors focus instead on analytical methods and the changing interactions among the ingredients and properties that inform monetary models. The influences between economic performance and monetary policy regimes can be both grand and muted, and this volume clarifies the present state of this continually evolving relationship." [source : 4e de couv.].

Download or read book Patents Citations and Innovations written by Adam B. Jaffe and published by MIT Press. This book was released on 2002 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: A study of how patents and citation data can serve empirical research on innovation and technological change.

Download or read book Essays in Fiscal Policy written by Edmund L. Matecki and published by . This book was released on 2014 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fiscal policy is investigated in two settings. First, a fully identified neoclassical growth model with rich fiscal policy rules is augmented with non-Ricardian consumers and fit to post-war U.S. data using Bayesian techniques. Allowing transfer payments to directly affect the consumption choices of rule-of-thumb agents permits a new interpretation of time series evidence regarding which fiscal instruments have historically financed government debt. The economic impact of fiscal adjustments is studied for two labor supply specifications. The first specification restricts labor supply by equalizing hours worked across household types. The second relaxes this assumption, allowing for intratemporal optimization by non-Ricardian households. With respect to previous findings, capital and labor taxes are more important for debt stabilization while transfers play a smaller role. Capital taxes and transfers play a larger role in output stabilization. Second, I explore the effects of anticipated policy changes. If agents are rational, they will incorporate news about future spending changes before they are enacted. I collected Federal Reserve forecasts for the period 1965 - 2005 from online archives of FOMC meetings. I incorporate the forecasts as a measure of anticipated military spending to identify government spending shocks in a VAR. When the raw forecasts are used I find that GDP, hours, wages, and consumption all rise following a shock to the news variable. When I instead incorporate forecast errors in the VAR I find just the opposite: hours increase while wages and consumption fall after a government spending shock, as is typical with the narrative approach to identifying government spending shocks, pioneered Ramey and Shapiro (1997). Thus, the way in which the forecast data is incorporated into the VAR becomes crucially important to the results. Corroborating evidence is sought using a structural model designed to study fiscal policy.