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Solution and Estimation of RE Macromodels with Optimal Policy
Macro models of monetary policy typically involve forward looking behavior. Except in rare circumstances, we have to apply some numerical method to find the optimal policy and the rationalExpand
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Inflation Forecast Uncertainty
We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed inExpand
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Performance and Characteristics of Swedish Mutual Funds
Abstract This paper studies the relation between fund performance and fund attributes in the Swedish market. Performance is measured as the alpha in a linear regression of fund returns on severalExpand
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Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software isExpand
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Safe Haven Currencies
We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages betweenExpand
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Understanding FX Liquidity
We provide a comprehensive study of the liquidity of spot foreign exchange (FX) rates over more than two decades and a large cross-section of currencies. First, we show that FX liquidity can beExpand
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New Techniques to Extract Market Expectations from Financial Instrument
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forwardExpand
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The Time-Varying Systematic Risk of Carry Trade Strategies
We explain the currency carry trade (CT) performance using an asset pricing model in which factor loadings are regime dependent rather than constant. Empirical results show that a typical CT strategyExpand
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Is There Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the equity premium puzzle. We quantify the amount of pessimism and doubt in surveyExpand
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Applied Cointegration Analysis in the Mirror of Macroeconomic Theory
Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegrationExpand
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