Dynamic Inconsistencies: Counterfactual Implications of a Class of Rational-Expectations Models

By Arturo Estrella, Jeff Fuhrer. 2002

260 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/ce0f9110452060aaa7cf17978dc8a2f7dd3bcb15

Citations in the corpus

• Term structure evidence on interest rate smoothing and monetary policy inertia (2002, unknown): “(14) with j = 2) yields22 it+2 − it+1 = −.”
• Estimating the Euler Equation for Output (2002, unknown): “However, Fuhrer (2000) and Estrella and Fuhrer (2002) show that this Euler equation, which is based on the simplest model of optimizing household behavior, provides a remarkably poor fit to the time series data on aggregate output. Fuhrer (2000) obtains much better empirical results by enhancing the”
• Monetary Policy Shifts and the Stability of Monetary Policy Models (2003, unknown): “Previous research (such as Estrella and Fuhrer, 2002) has shown that the backward-looking equations tend to fit the data better.”
• Monetary Theory and Policy, 2nd Edition (2003, unknown): “Evans (1991) showed how the cointegration tests can fail to detect bubbles that follow periodically collapsing processes.”
• The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models (2003, unknown): “However, much smaller values of (around 0.3) have been estimated and advocated by Fuhrer (1997), Roberts (1997), Rudebusch (2001), and Estrella and Fuhrer (2002) to match the degree of persistence in U.S. data.”
• The Zero Bound in an Open Economy: A Foolproof Way of Escaping from a Liquidity Trap (2000, unknown): “It is similar to the Fuhrer and Moore (1995) Phillips curve in that inflation depends on both lagged inflation and expected future inflation (see also Estrella and Fuhrer [1998]).”
• Why Does the Yield Curve Predict Output and Inflation (2005, unknown): “This phenomenon was pointed out by Gali and Gertler (1999) in the case of equation (4) and analyzed in detail for a class of models that includes both the IS and Phillips equations by Estrella and Fuhrer (2002).”
• Monetary Policy Inertia: Fact or Fiction? (2006, unknown): “At one extreme, the model with μπ, μy, and μr set equal to zero matches the completely adaptive expectations model of Rudebusch and Svensson (1999) and Rudebusch (2001), which has had some success in approximating the time-series data in the manner of a small estimated vector autoregression (VAR) (s”
• The (Ir)relevance of Real Wage Rigidity in the New Keynesian Model with Search Frictions (2007, unknown): “The persistent effects of monetary shocks are documented in, amongst others, Rotemberg and Woodford (1997), Estrella and Fuhrer (2002), and Christiano et al. (2005).”