Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.

By Timothy Cogley, Thomas J. Sargent. 2005

1,962 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9a88f6a95cf1f19145699175e11845d7dc2808ae

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In Economics and Econometrics

Citations in the corpus

Time Varying Dimension Models (2012, positive): “Furthermore, TVP-VARs (see among many others, Canova 1993 ; Cogley and Sargent 2005 ; Primiceri 2005 ; D’Agostino, Gambetti, and Giannone 2009 ) are obtained by letting Z t contain deterministic terms and appropriate lags of the dependent variables, setting Q t = Q and giving H t a m”
Advances in Forecasting Under Instability (2012, positive): “…various forms of forecast averaging can improve real-time forecasts of small-scale VARs in the presence of instabilities (see Kozicki and Tinsley, 2001, Cogley and Sargent, 2005, Boivin and Giannoni, 2006, and Inoue and Rossi, 2011, among others, for empirical evidence of instabilities in VARs).”
CAPM Over the Long-Run: 1926-2001 (2003, positive): “As suggested by Cogley and Sargent (2003) , we use a log-normal density as a proposal:”
The Impact of the Volatility of Monetary Policy Shocks (2013, methodology): “(ii) Conditional on a draw for h̃t and , the elements of the matrix A can be drawn using a series of linear regression models among the elements of the residual matrix vt = 1/2t et as shown in Cogley and Sargent (2005).”
Inference on stochastic time-varying coefficient models (2014, background): “The popular empirical choice of v t as i.i.d. sequence of random variables (with zero mean and variance σ 2 v ) corresponds to a driftless random walk a t (see, e.g. Cogley and Sargent (2005)).”
Structural changes in the US economy: Is there a role for monetary policy? (2009, methodology): “Relative to Cogley and Sargent (2005), it allows cta0 at each t.”
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011, positive): “and STVP-VAR models, the advantage of the stochastic volatility of the structural shock, as emphasized by Cogly and Sargent (2005), is examined.”
U.S. Evolving Macroeconomic Dynamics: A Structural Investigation (2007, positive): “Although, in principle, the break dates could be estimated via structural break tests–e.g., Bai and Perron (2003)–in practice both Cogley and Sargent (2005) and Benati (2007a) have shown such tests to possess a sometimes remarkably low power when the true DGP is characterised by random walk time…”