Learning and Monetary Policy Shifts

By Frank Schorfheide. 2003

234 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4e8582e925e35c74d0b3c41444533650f11270e8

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Citations in the corpus

Fluctuating Macro Policies and the Fiscal Theory [with Comments and Discussion] (2005, unknown): “That paper also 1Some work considers recurring regime switching in exogenous processes, including exogenously evolving policy variables [Andolfatto and Gomme (2003), Davig (2003, 2004), Leeper and Zha (2003), Schorfheide (2005)].”
Monetary/Fiscal Policy Mix and Agents’ Beliefs (2017, unknown): “Justiniano and Primiceri (2008) allow for heteroskedasticity, while Schorfheide (2005), Liu et al. (2011), Bianchi (2013), Davig and Doh (2014), Fernandez-Villaverde et al. (2010), and Baele et al. (2015) also model changes in the parameters of the Taylor rule or the inflation target.”
Monetary Policy Regime Shifts and Inflation Persistence (2009, unknown): “14 For an example of how to linearize a model where regime shifts do affect the steady state, see Schorfheide (2005).”
Endogenous Information, Menu Costs and Inflation Persistence (2008, unknown): “Finally, I set 0.95 which corresponds to policy changing (on average) every ... 20 periods (= 5 years) and is consistent with the estimate reported in Schorfheide (2005).”
Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, unknown): “The marginal data density is computed according to the method described in Sims et al. (2008) to deal with the fact that when allowing for time-varying parameters the posterior tends to be non-Gaussian. Table 4 reports the log marginal data density for different values of p, the fraction of draws us”
Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models (2016, background): “This nonlinearity has proven to be important in explaining shifts in monetary policy and macroeconomic time series (Schorfheide (2005), Davig and Doh (2008), Liu, Waggoner, and Zha (2011), and Bianchi (2010)) and in modeling the expected effects of future fiscal policy changes (Davig, Leeper, and…”
Perturbation Methods for Markov-Switching DSGE Models (2014, background): “This nonlinearity has proven to be important in explaining shifts in monetary policy and macroeconomic time series (Schorfheide (2005), Davig and Doh (2008), Liu, Waggoner, and Zha (2011), and Bianchi (2010)) and in modeling the expected effects of future fiscal policy changes (Davig, Leeper, and…”
Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle (2018, unknown): “For example, in papers that are focused on monetary policy the steady-state output growth, inflation rate, and real interest rate, are controlled by three different parameters (for example Lubik and Schorfheide (2004)).”