scholarly journals How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach

2006 ◽  
Vol 6 (2) ◽  
Author(s):  
Ramón María-Dolores ◽  
Jesús Vázquez
Keyword(s):  
Model Fit ◽  
New Keynesian ◽  
Indirect Inference ◽  
Monetary Model ◽  
The U.S

Animal Spirits, Persistent Unemployment, and the Belief Function

2013 ◽  
Author(s):  
Roger E. A. Farmer
Keyword(s):  
Unemployment Rate ◽  
Phillips Curve ◽  
Belief Function ◽  
New Keynesian ◽  
Monetary Model ◽  
Posterior Odds ◽  
John Maynard Keynes ◽  
Animal Spirits ◽  
Keynesian Model ◽  
Fiscal And Monetary Policy

This chapter examines the persistence of unemployment by drawing from John Maynard Keynes' two central ideas. The first idea is that any unemployment rate can persist as an equilibrium. The second is that the unemployment rate that prevails is determined by animal spirits. The chapter introduces a three-equation monetary model termed “Farmer monetary model,” which replaces the New Keynesian Phillips curve with a belief function that describes how agents form expectations of future nominal income. The chapter builds and estimates the Farmer monetary model using U.S. data for the period from the first quarter of 1952 to the fourth quarter of 2007. It compares the Farmer monetary model to a New Keynesian model by computing the posterior odds ratio. It shows that the posterior odds favor the Farmer monetary model and concludes by discussing the implications of this finding for fiscal and monetary policy.

scholarly journals Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence

2012 ◽  
Vol 102 (4) ◽  
pp. 1343-1377 ◽  
Author(s):  
Robert B Barsky ◽  
Eric R Sims
Keyword(s):  
Economic Activity ◽  
Causal Effect ◽  
New Keynesian ◽  
Consumer Confidence ◽  
Indirect Inference ◽  
Impulse Responses ◽  
Animal Spirits ◽  
Keynesian Model ◽  
Incremental Information ◽  
The Relationship

Innovations to consumer confidence convey incremental information about economic activity far into the future. Does this reflect a causal effect of animal spirits on economic activity, or news about exogenous future productivity received by consumers? Using indirect inference, we study the impulse responses to confidence innovations in conjunction with an appropriately augmented New Keynesian model. While news, animal spirits, and pure noise all contribute to confidence innovations, the relationship between confidence and subsequent activity is almost entirely reflective of the news component. Confidence innovations are well characterized as noisy measures of changes in expected productivity growth over a relatively long horizon. (JEL D12, D83, D84, E12)

scholarly journals Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-offs

2011 ◽  
Vol 3 (1) ◽  
pp. 60-90 ◽  
Author(s):  
S. Borağan Aruoba ◽  
Frank Schorfheide
Keyword(s):  
Steady State ◽  
Money Demand ◽  
Sticky Prices ◽  
New Keynesian ◽  
Similar Magnitude ◽  
Monetary Model ◽  
Trade Offs ◽  
Price Rigidities ◽  
State Welfare ◽  
Decentralized Market

We develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralized market resemble those in a standard New Keynesian economy with price rigidities. In the decentralized market agents engage in bilateral exchanges for which money is essential. This paper is the first to formally estimate such a model, evaluate its fit based on postwar US data, and assess its money demand properties. Steady-state welfare calculations reveal that the distortions created by the monetary friction may be of similar magnitude as the distortions created by the New Keynesian friction. (JEL C54, E12, E31, E41, E52)

Checking Model Adequacy for Count Time Series by Using Pearson Residuals

2019 ◽  
Vol 0 (0) ◽  
Author(s):  
Christian Weiß ◽  
Lukas Scherer ◽  
Boris Aleksandrov ◽  
Martin Feld
Keyword(s):  
Time Series ◽  
Real Data ◽  
Model Fit ◽  
Time Series Models ◽  
Theoretical Discussion ◽  
Count Time Series ◽  
Model Adequacy ◽  
Pearson Residuals ◽  
Model Inadequacy ◽  
The U.S

Abstract After having fitted a model to a given count time series, one has to check the adequacy of this model fit. The (standardized) Pearson residuals, being easy to compute and interpret, are a popular diagnostic approach for this purpose. But which types of model inadequacy might be uncovered by which statistics based on the Pearson residuals? In view of being able to apply such statistics in practice, it is also crucial to ask for the properties of these statistics under model adequacy. We look for answers to these questions by means of a comprehensive simulation study, which considers diverse types of count time series models and inadequacy scenarios. We illustrate our findings with two real-data examples about strikes in the U.S., and about corporate insolvencies in the districts of Rhineland–Palatinate. We conclude with a theoretical discussion of Pearson residuals.

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