276 research outputs found
Replication data for: Measuring Price-Level Uncertainty and Instability in the US, 1850-2012
No full textCogley, Timothy, and Sargent, Thomas J., (2015) "Measuring Price-Level Uncertainty and Instability in the US, 1850-2012." Review of Economics and Statistics 97:4, 827-838
Replication data for: Measuring Price-Level Uncertainty and Instability in the US, 1850-2012
No full textCogley, Timothy, and Sargent, Thomas J., (2015) "Measuring Price-Level Uncertainty and Instability in the US, 1850-2012." Review of Economics and Statistics 97:4, 827-838
Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."
No full textCogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables-inflation, unemployment, and the nominal interest rate-and two lags. This tool is a serious competitor to the identified-VAR-cum-Markov-switching technology recently developed by Sims (1999) and Sims and Zha (2002) for the study of economies that are subject to regime changes. However, the Gibbs sampler suffers from a curse of dimensionality: as more variables or more lags are added to the system, the computational burden of the estimation quickly grows out of proportion. My suggestions here are mainly aimed at making the tool more flexible, and hence more widely applicable.Equilibrium (Economics) ; Monetary policy ; Macroeconomics ; Inflation (Finance) ; Forecasting
Monetary policy and long-term real interest rates
No full textInterest rates ; Monetary policy - United States
Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.
No full textFor a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and "activism coefficients" for monetary policy rules. Their posteriors imply substantial variation of all of these objects for post WWII U.S. data. After adjusting for changes in volatility, persistence of inflation increases during the 1970s then falls in the 1980s and 1990s. Innovation variances change systematically, being substantially larger in the late 1970s than during other times. Measures of uncertainty about core inflation and the degree of persistence covary positively. The authors use their posterior distributions to evaluate the power of several tests that have been used to test the null of time-invariance of autoregressive coefficients of VARs against the alternative of time-varying coefficients. Except for one test, they find that those tests have low power against the form of time variation captured by our model. That one test also rejects time invariance in the data.Equilibrium (Economics) ; Monetary policy ; Macroeconomics ; Inflation (Finance) ; Forecasting
Commentary on "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach"
No full textMonetary policy ; Econometric models
Bayesian fan charts for U.K. inflation: forecasting and sources of uncertainty in an evolving monetary system
No full textWe estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for designing and evaluating monetary policy, including local approximations to the mean, persistence, and volatility of inflation. We present diverse sources of uncertainty that impinge on the posterior predictive density for inflation, including model uncertainty, policy drift, structural shifts and other shocks. We use a recently developed minimum entropy method to bring outside information to bear on inflation forecasts. We compare our predictive densities with the Bank of England's fan charts
The Behaviour of Consumer Prices Across Provinces
No full textMeasures of core inflation enable a central bank to distinguish price movements that are transitory and generated by non-monetary events from those that are more permanent and related to prior monetary policy decisions. The author uses standard statistical measures to assess the behaviour of consumer prices across provinces and identify price components with more divergent price patterns. The results indicate that energy, shelter and tobacco prices are the most volatile across provinces. Very large price movements restricted to one or a few provinces suggest that the forces or events triggering those movements may be province specific and unrelated to national demand pressures. Such results suggest that constructing a type of core inflation measure called the “trimmed mean” that excludes components with exceptionally large price changes at the provincial level may offer an alternative means of assessing underlying inflationary pressures.Inflation and prices
Tracking productivity in real time
No full textBecause volatile short-term movements in productivity growth obscure the underlying trend, shifts in this trend may go unrecognized for years - a lag that can lead to policy mistakes and hence economic instability. This study develops a model for tracking productivity that brings in additional variables to help reveal the trend. The model's success is evident in its ability to detect changes in trend productivity within a year or two of their occurrence. Currently, the model indicates that the underlying trend remains strong despite recent weak productivity data.Industrial productivity - Measurement ; Economic policy ; Econometric models
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