• Publications
  • Influence
Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
For 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
Some Unpleasant Monetarist Arithmetic
In his presidential address to the American Economic Association (AEA), Milton Friedman (1968) warned not to expect too much from monetary policy. In particular, Friedman argued that monetary policy
Robust Control and Model Uncertainty
where Q is a set of measures over c and x, and d is a discount rate. Gilboa and Schmeidler’s theory leaves open how to specify the set Q in particular applications. Criteria like (1) also appear as
Recursive Macroeconomic Theory
Recursive methods offer a powerful approach in dynamic macroeconomics. This book contains both an introduction to recursive tools, including standard applications such as asset pricing, and advanced
Evolving Post-World War II U.S. Inflation Dynamics
For postwar U.S. data, this paper uses Bayesian methods to account for the four sources of uncertainty in a random coefficients vector autoregression for inflation, unemployment, and an interest
The Conquest of American Inflation
Presenting an analysis of the rise and fall of U.S. inflation after 1960, this book examines two broad explanations for the behaviour of inflation and unemployment in this period: the natural-rate
Inflation-Gap Persistence in the U.S
We estimate vector autoregressions with drifting coefficients and stochastic volatility to investigate whether US inflation persistence has changed. We focus on the inflation gap, defined as the
A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION
A representative agent fears that his model, a continuous time Markov process with jump and diffusion components, is misspecified and therefore uses robust control theory to make decisions. Under the
...
1
2
3
4
5
...