A Small-Sample Study of the New-Keynesian Macro Model

Cho, Seonghoon; Moreno, Antonio

doi:10.1353/mcb.2006.0078

Cited by 74 publications

(84 citation statements)

References 39 publications

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“…The estimation results confirms Cho and Moreno's (2006) previous analysis. One advantage of using a micro-founded model is that it allows one to uncover which "deep" parameters are particularly sensitive to the different detrending methods.…”

Section: Robustness Analysissupporting

confidence: 90%

“…On the other hand, the mean estimate of ϕ for the HP and linear trend is very similar, around 0.62 and 0.60 respectively, while the quadratic trend is slightly higher 28 Detailed statistics of the estimation results are available upon request. 29 In Cho and Moreno (2006), the parameters in front of the real interest rate and marginal cost in IS and Phillips curve are combinations of the "deep" parameters.…”

Section: Robustness Analysismentioning

confidence: 99%

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Stabilization bias for a small open economy: The case of New Zealand

Liu

2010

Journal of Macroeconomics

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Section: Robustness Analysissupporting

confidence: 90%

Section: Robustness Analysismentioning

confidence: 99%

Stabilization bias for a small open economy: The case of New Zealand

Liu

2010

Journal of Macroeconomics

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“…Jointly with the dynamic law that is to govern its changes over time, this sentiment variable is meant to capture some of the meaning 21 In similar models to ours, examples of i.i.d. shocks in a hybrid Phillips curve are Lindé (2005), Cho and Moreno (2006) or Salemi (2006), while the purely forward-looking models studied by, e.g., Lubik andSchorfheide (2004), Del Negro and, Schorfheide (2005) permit some persistence in the shock process. These references have been chosen from the discussion in Schorfheide (2008;see p. 421, Table 3).…”

Section: The Old-keynesian Modelmentioning

confidence: 99%

Competitive moment matching of a New-Keynesian and an Old-Keynesian model

Franke

2016

J Econ Interact Coord

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractThe paper considers two rival models referring to the new macroeconomic consensus: a standard three-equations model of the New-Keynesian variety and dynamic adjustments of a business and an inflation climate in an 'Old-Keynesian' tradition. Over the two subperiods of the Great Inflation and Great Moderation, both of them are estimated by the method of simulated moments. An innovative feature is here that it does not only include the autocovariances up to eight lags of quarterly output, inflation and the interest rate, but optionally also a measure of the raggedness of the three variables. In short, the performance of the Old-Keynesian model is very satisfactory and similar to, unless better than, the New-Keynesian model. In particular, the Old-Keynesian model is better suited to match the new moments without deteriorating the original second moments too much.JEL classification: C52; E32; E37.

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“…In each country, the macroeconomic model comprises an aggregate supply (AS) equation, an aggregate demand (IS) equation, and a forward looking monetary policy rule (e.g. Cho and Moreno (2006), and Clarida, Gali, and Gertler (1999)). In addition, the aggregate supply and the aggregate demand shocks from the closed economy are allowed to pass through in the SOE, but not vice versa.…”

Section: Introductionmentioning

confidence: 99%

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

Yang

Chabi-Yo

2009

SSRN Journal

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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate. The variance decomposition of the yield level shows that the US monetary policy and aggregate supply shocks explain a majority of the unconditional variations in Canadian yields. They also explain up to 50% of the variations in the expected excess holding period returns of Canadian bonds. In addition, Canadian monetary policy shocks explain more than 70% of the variations in Canadian yields over short and medium forecast horizons. It also explains around 40% of the expected excess holding period returns of Canadian bonds. Both Canadian and US macroeconomic shocks help explain the dynamics of the exchange rate and the time-varying exchange risk premium. JEL classification: E12, E43, F41, G12, G15 Bank classification: Debt management; Exchange rates; Interest rates; Financial markets; Econometric and statistical methods Résumé

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A Small-Sample Study of the New-Keynesian Macro Model

Abstract: This paper presents a small-sample study of the three-

Cited by 74 publications

References 39 publications

Stabilization bias for a small open economy: The case of New Zealand

Stabilization bias for a small open economy: The case of New Zealand

Competitive moment matching of a New-Keynesian and an Old-Keynesian model

A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate

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