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  1. Tackling large outliers in macroeconomic data with vector artificial neural network autoregression
    Autor*in: Polito, Vito; Zhang, Yunyi
    Erschienen: November 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure non-explosive dynamics. As such, it is employable to account for nonlinearity in macroeconomic dynamics not only during typical business cycles but also in a wide range of extreme events, like deep recessions and strong expansions. The methodology is put to the test using aggregate data for the United States that include the abnormal realizations during the recent Covid-19 pandemic. The model delivers plausible and stable structural inference, and accurate out-of-sample forecasts. This performance compares favourably against a number of alternative methodologies recently proposed to deal with large outliers in macroeconomic data caused by the pandemic.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/248940
    Schriftenreihe: CESifo working paper ; no. 9395 (2021)
    Schlagworte: nonlinear time series; regime switching models; extreme events; Covid-19; macroeconomic forecasting
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. Optimal monetary policy with r* < 0
    Autor*in: Billi, Roberto M.; Galí, Jordi; Nakov, Anton
    Erschienen: [2022]
    Verlag:  BSE, Barcelona School of Economics, [Barcelona]

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 541
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: BSE working paper ; 1333 (March 2022)
    Schlagworte: zero lower bound; New Keynesian model; decline in r*; equilibrium determinacy; regime switching models; secular stagnation
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Optimal monetary policy with r* < 0
    Autor*in: Billi, Roberto M.; Galí, Jordi; Nakov, Anton
    Erschienen: March 2022
    Verlag:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 574
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics working paper series ; no. 1830
    Schlagworte: zero lower bound; New Keynesian model; decline in r*; equilibrium determinacy; regime switching models; secular stagnation
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  4. Optimal monetary policy with r*<0
    Autor*in: Billi, Roberto M.; Galí, Jordi; Nakov, Anton
    Erschienen: 21 July 2023
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
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    Standort:
    Universitätsbibliothek Mannheim
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18307
    Schlagworte: zero lower bound; New Keynesian model; decline in r*; equilibrium deter-minacy; regime switching models; secular stagnation
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Optimal monetary policy with r* < 0
    Autor*in: Billi, Roberto M.; Galí, Jordi; Nakov, Anton
    Erschienen: March 2024
    Verlag:  Sveriges Riksbank, Stockholm

    We study the optimal monetary policy problem in a New Keynesian economy with a zero lower bound (ZLB) on the nominal interest rate, when the steady state natural rate (r*) becomes permanently negative. We show that the optimal policy aims to approach... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 204
    Fernleihe:
    keine Fernleihe

     

    We study the optimal monetary policy problem in a New Keynesian economy with a zero lower bound (ZLB) on the nominal interest rate, when the steady state natural rate (r*) becomes permanently negative. We show that the optimal policy aims to approach gradually a new steady state with positive average inflation. Around that steady state, the optimal policy implies well defined (second-best) paths for inflation and output in response to shocks to the natural rate. Under plausible calibrations, the optimal policy implies that the nominal rate remains at its ZLB most of the time. Despite the latter feature, the central bank can implement the optimal outcome as a unique equilibrium by means of an appropriate nonlinear interest rate rule. In order to establish that result, we derive sufficient conditions for local determinacy in a general model with endogenous regime switches.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Sveriges Riksbank working paper series ; 433
    Schlagworte: zero lower bound; New Keynesian model; decline in r*; equilibrium determinacy; regime switching models; secular stagnation
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen