Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Edward P. Herbst"'
Autor:
Edward P. Herbst, Fabian Winkler
Publikováno v:
Finance and Economics Discussion Series. 2021:1-76
We estimate a Bayesian three-dimensional dynamic factor model on the individual forecasts in the Survey of Professional Forecasters. The factors extract the most important dimensions along which disagreement comoves across variables. We interpret our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::081eab96bd60d9a0b80c7b39dacfd29b
https://doi.org/10.17016/feds.2021.046
https://doi.org/10.17016/feds.2021.046
Publikováno v:
Finance and Economics Discussion Series. 2020:1-42
We analyze the robustness of makeup strategies—policies that aim to offset, at least in part, past misses of inflation from its objective—to alternative modeling assumptions, with an emphasis on the role of inflation expectations. We survey empir
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c0b13c70f35cd6dea5db1b5bdf856b1e
https://doi.org/10.17016/feds.2020.069
https://doi.org/10.17016/feds.2020.069
Autor:
Frank Schorfheide, Edward P. Herbst
Publikováno v:
Journal of Econometrics. 210:26-44
The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t − 1 particle values into time t values. In the widely-used bootstrap particle filter, this distribution is generate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33b597a81b97da912ca410fc9dd8ce56
https://doi.org/10.1016/j.jeconom.2018.11.003
https://doi.org/10.1016/j.jeconom.2018.11.003
Autor:
Dario Caldara, Edward P. Herbst
Publikováno v:
American Economic Journal: Macroeconomics. 11:157-192
This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ab6d84bd6b03dc9af1219c7a0a84210
https://doi.org/10.1257/mac.20170294
https://doi.org/10.1257/mac.20170294
Autor:
Edward P. Herbst, Mark Bognanni
Publikováno v:
Journal of Applied Econometrics. 33:126-140
Summary Vector autoregressions with Markov-switching parameters (MS-VARs) offer substantial gains in data fit over VARs with constant parameters. However, Bayesian inference for MS-VARs has remained challenging, impeding their uptake for empirical ap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc2cf19614045953eb260839fc49fba7
https://doi.org/10.1002/jae.2582
https://doi.org/10.1002/jae.2582
Publikováno v:
American Economic Review. 107:1971-2006
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the US economy to the lower bound in late 2008 as well as the contr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6f12f745cfd9e994460b9ba57a8a1356
https://doi.org/10.1257/aer.20121437
https://doi.org/10.1257/aer.20121437
Publikováno v:
Finance and Economics Discussion Series. 2020
This paper uses aggregate data to estimate and evaluate a behavioral New Keynesian (NK) model in which households and firms plan over a finite horizon. The finite-horizon (FH) model outperforms rational expectations versions of the NK model commonly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aac6a63b71f40a14cebf86ba8ce5335f
https://doi.org/10.17016/feds.2020.003
https://doi.org/10.17016/feds.2020.003
Publikováno v:
Finance and Economics Discussion Series. 2020
Local projections (LPs) are a popular tool in applied macroeconomic research. We survey the related literature and find that LPs are often used with very small samples in the time dimension. With small sample sizes, given the high degree of persisten
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0d40bf81696b4d6b9d91c0a5aee1d22
https://doi.org/10.17016/feds.2020.010
https://doi.org/10.17016/feds.2020.010
Publikováno v:
Finance and Economics Discussion Series. 2018
Considerable attention has been devoted to evaluating the macroeconomic effectiveness of the Federal Reserve's communications about future policy rates (forward guidance) in light of the U.S. economy's long spell at the zero lower bound (ZLB). In thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c131d2df8eaee9409ca7b9c182fa05c1
https://doi.org/10.17016/feds.2018.072
https://doi.org/10.17016/feds.2018.072
Publikováno v:
Finance and Economics Discussion Series. 2016:1-47
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::41f0f9625bc50bd8eeca762f92c44ce5
https://doi.org/10.17016/feds.2012.83r1
https://doi.org/10.17016/feds.2012.83r1