William Roberds

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We use a Bayesian Markov Chain Monte Carlo algorithm jointly to estimate the parameters of a ‘true’ data generating mechanism and those of a sequence of approximating models that a monetary authority uses to guide its decisions. Gaps between a true expectational Phillips curve and the monetary authority’s approximating non-expectational Phillips curve(More)
Federal Reserve Bank of Atlanta E C O N O M I C R E V I E W First Quarter 2002 T he federal government created the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) to enhance the availability of mortgage credit by providing stability and liquidity to the secondary mortgage market. These(More)
where Ct is the real one period interest rate and Jt-1 represents information available as of time t 1. Second, measures of the debt stock are assumed to be in the econometrician's data set. In Section 2, I summarize how these two assumptions lead to the model formulated in Section 7 of HSR. The model is then tested for postwar U.S. time series on federal(More)
The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a set of moment restrictions. The new distribution is chosen to be(More)
Using a neoclassical monetary model, we investigate the welfare cost of a payment system that operates as a real-time gross settlement (RTGS) system. We illustrate how the cost of such systems does not ultimately derive from factors such as “payments gridlock” but instead from the credit constraints imposed by RTGS. We also investigate the welfare(More)
  • Goetz Von Peter, Charles Calomiris, +15 authors Kostas Tsatsaronis
  • 2005
This paper links banking with asset prices in a monetary macroeconomic model. The main innovation is to consider how falling asset prices affect the banking system through wide-spread borrower default, while deriving explicit solutions and balance sheet effects even far from the steady state. We find that the effect of falling asset prices is indirect,(More)
This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive to concentrate tax distortions on events that it considers(More)