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Sharon Kozicki

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.

    Mentioned in:

    1. Bernanke: Inflation Expectations and Inflation Forecasting
      by Mark Thoma in Economist's View on 2007-07-11 01:08:00
    2. Rebonato on Bond-Yield Econometrics
      by Francis Diebold in No Hesitations on 2015-07-27 19:09:00

Working papers

  1. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.

    Cited by:

    1. Di Casola, Paola & Stockhammar, Pär, 2021. "When domestic and foreign QE overlap: evidence from Sweden," Working Paper Series 404, Sveriges Riksbank (Central Bank of Sweden).
    2. Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2022. "A note on modelling yield curve control: A target-zone approach," Finance Research Letters, Elsevier, vol. 49(C).
    3. Akkaya, Yildiz & Belfrage, Carl-Johan & Di Casola, Paola & Strid, Ingvar, 2023. "Effects of foreign and domestic central bank government bond purchases in a small open economy DSGE model: Evidence from Sweden before and during the coronavirus pandemic," Working Paper Series 421, Sveriges Riksbank (Central Bank of Sweden).

  2. Sharon Kozicki & Jill Vardy, 2017. "Communicating Uncertainty in Monetary Policy," Discussion Papers 17-14, Bank of Canada.

    Cited by:

    1. Fadda, Pietro & Hanifi, Rayane & Istrefi, Klodiana & Penalver, Adrian, 2022. "Central Bank Communication of Uncertainty," CEPR Discussion Papers 17728, C.E.P.R. Discussion Papers.
    2. Stephen S. Poloz, 2019. "Technological Progress and Monetary Policy: Managing the Fourth Industrial Revolution," Discussion Papers 2019-11, Bank of Canada.
    3. Cameron MacDonald & Virginie Traclet, 2018. "The Framework for Risk Identification and Assessment," Technical Reports 113, Bank of Canada.
    4. Marc-André Gosselin & Sharon Kozicki, 2023. "Making It Real: Bringing Research Models into Central Bank Projections," Discussion Papers 2023-29, Bank of Canada.
    5. Tiff Macklem & Jill Vardy, 2023. "20 years of central bank communications, and lessons for the future," BIS Papers chapters, in: Bank for International Settlements (ed.), Central banking in the Americas: Lessons from two decades, volume 127, pages 55-67, Bank for International Settlements.
    6. Poloz, Stephen S., 2021. "Technological progress and monetary policy: Managing the fourth industrial revolution," Journal of International Money and Finance, Elsevier, vol. 114(C).
    7. Donald Coletti, 2023. "A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models," Discussion Papers 2023-23, Bank of Canada.
    8. Bholat, David & Broughton, Nida & Ter Meer, Janna & Walczak, Eryk, 2019. "Enhancing central bank communications using simple and relatable information," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 1-15.

  3. Sharon Kozicki & Eric Santor & Lena Suchanek, 2015. "Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects," Staff Working Papers 15-21, Bank of Canada.

    Cited by:

    1. Chang, Jui-Chuan Della & Chang, Kuang-Liang, 2018. "The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 15-28.
    2. Willem Thorbecke, 2018. "The Effect of the Fed's Large‐Scale Asset Purchases on Inflationary Expectations," Southern Economic Journal, John Wiley & Sons, vol. 85(2), pages 407-423, October.
    3. Tarek Chebbi & Waleed Hmedat, 2024. "Inventory information arrival and the crude oil futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1513-1533, April.
    4. Antonio Diez de los Rios & Maral Shamloo, 2017. "Quantitative Easing and Long-Term Yields in Small Open Economies," Staff Working Papers 17-26, Bank of Canada.
    5. Saghaian, Sayed & Reed, Michael R., 2014. "The Impact Of The Recent Federal Reserve Large-Scale Asset Purchases On The Agricultural Commodity Prices: A Historical Decomposition," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170010, Agricultural and Applied Economics Association.
    6. Saghaian, Sayed & Reed, Michael, 2015. "Spillover Effects Of U.S. Federal Reserve’S Recent Quantitative Easing On Canadian Commodity Prices," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(1), pages 1-33, January.
    7. Willem THORBECKE, 2017. "The Effect of the Fed's Large-scale Asset Purchases on Inflation Expectations," Discussion papers 17097, Research Institute of Economy, Trade and Industry (RIETI).
    8. Gang Wang, 2019. "The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach," IJFS, MDPI, vol. 7(1), pages 1-30, February.
    9. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

  4. Shutao Cao & Sharon Kozicki, 2015. "A New Data Set of Quarterly Total Factor Productivity in the Canadian Business Sector," Staff Working Papers 15-6, Bank of Canada.

    Cited by:

    1. Cao, Shutao, 2017. "Accounting for productivity growth in a small open economy: Sector-specific technological change and relative prices of trade," Working Paper Series 20152, Victoria University of Wellington, School of Economics and Finance.
    2. Jamil Sayeed, 2020. "Identifying Key Macroeconomic Shocks to Canadian GDP," EERI Research Paper Series EERI RP 2020/11, Economics and Econometrics Research Institute (EERI), Brussels.

  5. Eleonora Granziera & Sharon Kozicki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.

    Cited by:

    1. Sami Alpanda & Gino Cateau & Césaire Meh, 2014. "A Policy Model to Analyze Macroprudential Regulations and Monetary Policy," Staff Working Papers 14-6, Bank of Canada.
    2. Zhong, Changbiao & Xie, Lijuan & Shi, Yu & Xu, Xiangyun, 2023. "Macro-prudential policy, its alignment with monetary policy and house price growth: A cross-country study," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 51-62.
    3. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
    4. David C. Ling & Joseph T.L. Ooi & Thao T.T. Le, 2015. "Explaining House Price Dynamics: Isolating the Role of Nonfundamentals," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(S1), pages 87-125, March.
    5. Andrew Plantinga & Christopher Severen, 2017. "Land-Use Regulations, Property Values, and Rents: Decomposing the Effects of the California Coastal Act," Working Papers 17-33, Federal Reserve Bank of Philadelphia.
    6. Sandra Gomes, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
    7. Joshua J. Miller & Kevin A. Park, 2018. "Same-sex marriage laws and demand for mortgage credit," Review of Economics of the Household, Springer, vol. 16(2), pages 229-254, June.
    8. Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020. "Sequential Monitoring of Changes in Housing Prices," Papers 2002.04101, arXiv.org.
    9. Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
    10. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari", revised 2021.
    11. Colin C. Caines, 2016. "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers 1181, Board of Governors of the Federal Reserve System (U.S.).
    12. Luis Armona & Andreas Fuster & Basit Zafar, 2016. "Home price expectations and behavior: evidence from a randomized information experiment," Staff Reports 798, Federal Reserve Bank of New York.
    13. Andrea Nobili & Francesco Zollino, 2012. "A structural model for the housing and credit markets in Italy," Temi di discussione (Economic working papers) 887, Bank of Italy, Economic Research and International Relations Area.
    14. Anastasiou, Dimitris & Ballis, Antonis & Drakos, Konstantinos, 2022. "Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets," International Review of Financial Analysis, Elsevier, vol. 81(C).
    15. Paolo Gelain & Kevin J. Lansing & Gisele J. Natvik, 2015. "Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach," Working Paper Series 2015-2, Federal Reserve Bank of San Francisco.
    16. Alpanda, Sami & Zubairy, Sarah, 2017. "Addressing household indebtedness: Monetary, fiscal or macroprudential policy?," European Economic Review, Elsevier, vol. 92(C), pages 47-73.
    17. Jia, Fei & Shen, Yao & Ren, Junfan & Xu, Xiangyun, 2021. "The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    18. Bekiros, Stelios & Nilavongse, Rachatar & Uddin, Gazi Salah, 2020. "Expectation-driven house prices and debt defaults: The effectiveness of monetary and macroprudential policies," Journal of Financial Stability, Elsevier, vol. 49(C).
    19. Allen Head & Huw Lloyd-Ellis, 2016. "Has Canadian house price growth been excessive?," Canadian Journal of Economics, Canadian Economics Association, vol. 49(4), pages 1367-1400, November.
    20. Petre Caraiani & Adrian Cantemir Călin, 2020. "Housing markets, monetary policy, and the international co‐movement of housing bubbles," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 365-375, May.
    21. Margaret Jacobson, 2019. "Beliefs, Aggregate Risk, and the U.S. Housing Boom," 2019 Meeting Papers 1549, Society for Economic Dynamics.
    22. Alessia Bruzzo & Marco Mazzoli, 2018. "An Empirical Investigation on the European Housing Market Prices," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 29-42, May.
    23. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers 201302, University of Pretoria, Department of Economics.
    24. Tang, Yang & Zeng, Ting & Zhu, Shenghao, 2020. "Bubbles and house price dispersion in the United States during 1975–2017," Journal of Macroeconomics, Elsevier, vol. 63(C).
    25. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2020. "Modelling Returns in US Housing Prices – You’re the One for Me, Fat Tails," Working Papers 2020:13, Örebro University, School of Business.
    26. Pauline Gandré, 2020. "Learning, house prices and macro-financial linkages," Working Papers hal-04159701, HAL.
    27. Malmendier, Ulrike M. & Botsch, Matthew J., 2020. "The Long Shadows of the Great Inflation: Evidence from Residential Mortgages," CEPR Discussion Papers 14934, C.E.P.R. Discussion Papers.
    28. Luisa Lambertini & Caterina Mendicino & Maria Teresa Punzi, 2011. "Leaning Against Boom-Bust Cycles in Credit and Housing Prices," Working Papers CELEG 1104, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    29. Hodula, Martin & Melecký, Martin & Pfeifer, Lukáš & Szabo, Milan, 2023. "Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending," Journal of International Money and Finance, Elsevier, vol. 132(C).
    30. Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2012. "House prices, credit growth, and excess volatility: implications for monetary and macroprudential policy," Working Paper Series 2012-11, Federal Reserve Bank of San Francisco.
    31. IKM Mokhtarul Wadud & Omar H. M. N. Bashar & Huson Joher Ali Ahmed & William Dimovski, 2022. "Property price dynamics and asymmetric effects of economic policy uncertainty: New evidence from the Australian capital cities," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(4), pages 4359-4380, December.
    32. Dimitris Anastasiou & Panayotis Kapopoulos & Kalliopi-Maria Zekente, 2023. "Sentimental Shocks and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 627-655, November.
    33. Daniel L. Tortorice, 2019. "Long-Run Expectations, Learning and the US Housing Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
    34. Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
    35. Martin Hodula & Milan Szabo & Lukas Pfeifer & Martin Melecky, 2022. "Cooling the Mortgage Loan Market: The Effect of Recommended Borrower-Based Limits on New Mortgage Lending," Working Papers 2022/3, Czech National Bank.
    36. Zheng, Min & Wang, Hefei & Wang, Chengzhang & Wang, Shouyang, 2017. "Speculative behavior in a housing market: Boom and bust," Economic Modelling, Elsevier, vol. 61(C), pages 50-64.
    37. Philipp an de Meulen & Martin Micheli & Torsten Schmidt, 2014. "Forecasting real estate prices in Germany: the role of consumer confidence," Journal of Property Research, Taylor & Francis Journals, vol. 31(3), pages 244-263, September.
    38. Donald Coletti, 2023. "A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models," Discussion Papers 2023-23, Bank of Canada.
    39. Hu, Lirong & He, Shenjing & Han, Zixuan & Xiao, He & Su, Shiliang & Weng, Min & Cai, Zhongliang, 2019. "Monitoring housing rental prices based on social media:An integrated approach of machine-learning algorithms and hedonic modeling to inform equitable housing policies," Land Use Policy, Elsevier, vol. 82(C), pages 657-673.
    40. Mr. Tobias Adrian & Andrea Deghi & Mitsuru Katagiri & Mr. Sohaib Shahid & Nico Valckx, 2020. "Predicting Downside Risks to House Prices and Macro-Financial Stability," IMF Working Papers 2020/011, International Monetary Fund.

  6. Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.

    Cited by:

    1. Ramos Francia Manuel & Noriega Antonio E. & Rodríguez-Pérez Cid Alonso, 2015. "The Use of Monetary Aggregates as Indicators of the Future Evolution of Consumer Prices: Monetary Growth and Inflation Target," Working Papers 2015-14, Banco de México.
    2. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
    3. Canova, Fabio, 2014. "Bridging DSGE models and the raw data," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 1-15.
    4. Olivier Gervais & Marc-André Gosselin, 2014. "Analyzing and Forecasting the Canadian Economy through the LENS Model," Technical Reports 102, Bank of Canada.

  7. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.

    Cited by:

    1. Stephen G. Cecchetti & Peter Hooper & Bruce C. Kasman & Kermit L. Schoenholtz & Mark W. Watson, 2007. "Understanding the Evolving the Evolving Inflation Process," Working Papers 2007-4, Princeton University. Economics Department..
    2. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    3. Pierre L. Siklos, 2010. "Revisiting the Coyne Affair: a singular event that changed the course of Canadian monetary history," Canadian Journal of Economics, Canadian Economics Association, vol. 43(3), pages 994-1015, August.
    4. Olivier Coibion & Yuriy Gorodnichenko, 2008. "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation," NBER Working Papers 14621, National Bureau of Economic Research, Inc.
    5. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    6. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.
    7. Kishor, N. Kundan, 2012. "A Note On Time Variation In A Forward-Looking Monetary Policy Rule: Evidence From European Countries," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S3), pages 422-437, November.

  8. Sharon Kozicki & P. A. Tinsley, 2007. "Term Structure Transmission of Monetary Policy," Staff Working Papers 07-30, Bank of Canada.

    Cited by:

    1. Eric Schaling & Mewael F. Tesfaselassie & Sylvester Eijffinger, 2007. "Learning About the Term Structure and Optimal Rules for Inflation Targeting," Working Papers 062, Economic Research Southern Africa.
    2. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    3. Petra Gerlach-Kristen & Barbara Rudolf, 2010. "Macroeconomic and interest rate volatility under alternative monetary operating procedures," BIS Working Papers 319, Bank for International Settlements.
    4. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
    5. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    6. Chi-Young Choi & Young Se Kim & Róisín O'Sullivan, 2011. "Inflation Targeting and Relative Price Variability: What Difference Does Inflation Targeting Make?," Southern Economic Journal, John Wiley & Sons, vol. 77(4), pages 934-957, April.
    7. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.

  9. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.

    Cited by:

    1. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    2. Poghosyan, Karen & Boldea, Otilia, 2013. "Structural versus matching estimation: Transmission mechanisms in Armenia," Economic Modelling, Elsevier, vol. 30(C), pages 136-148.
    3. Yu, Qionglei & McManus, Richard & Yen, Dorothy A. & Li, Xiang (Robert), 2020. "Tourism boycotts and animosity: A study of seven events," Annals of Tourism Research, Elsevier, vol. 80(C).
    4. Marcellino, Massimiliano & Jordà , Òscar, 2008. "Path Forecast Evaluation," CEPR Discussion Papers 7009, C.E.P.R. Discussion Papers.
    5. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
    6. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    7. Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    8. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  10. Sharon Kozicki & P. A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Staff Working Papers 06-46, Bank of Canada.

    Cited by:

    1. Altug, Sumru & Çakmaklı, Cem, 2015. "Forecasting Inflation using Survey Expectations and Target Inflation: Evidence for Brazil and Turkey," CEPR Discussion Papers 10419, C.E.P.R. Discussion Papers.
    2. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
    3. Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
    4. Reicher Christopher Phillip & Utlaut Johannes Friederich, 2013. "Monetary policy shocks and real commodity prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 715-749, October.
    5. Elmar Mertens, 2011. "Measuring the level and uncertainty of trend inflation," Finance and Economics Discussion Series 2011-42, Board of Governors of the Federal Reserve System (U.S.).
    6. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    7. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.
    8. Reicher, Christopher Phillip & Utlaut, Johannes Friederich, 2011. "The effect of inflation on real commodity prices," Kiel Working Papers 1704, Kiel Institute for the World Economy (IfW Kiel).
    9. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    10. Cem Cakmakli & Hamza Demircan, 2020. "Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic," Koç University-TUSIAD Economic Research Forum Working Papers 2016, Koc University-TUSIAD Economic Research Forum.
    11. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    12. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.

  11. Oscar Jorda & Sharon Kozicki, 2006. "Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models," Working Papers 154, University of California, Davis, Department of Economics.

    Cited by:

    1. Oscar Jorda, 2007. "Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections," Working Papers 107, University of California, Davis, Department of Economics.
    2. Stefan Collignon, 2024. "The Tale of Two Economies: Inflationary Dynamics in the Euro Area and the US in the Context of Uncertainty," Economies, MDPI, vol. 12(7), pages 1-29, June.

  12. Peter Tinsley & Sharon Kozicki, 2005. "Central Bank Estimates of the Unemployment Natural Rate," Computing in Economics and Finance 2005 138, Society for Computational Economics.

    Cited by:

    1. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.

  13. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Giacomo Carboni & Martin Ellison, 2010. "Inflation and output volatility under asymmetric incomplete information," Post-Print hal-00753043, HAL.
    2. Nikolsko-Rzhevskyy, Alex & Papell, David H., 2012. "Taylor rules and the Great Inflation," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 903-918.
    3. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.
    4. Carboni, Giacomo & Ellison, Martin, 2009. "The Great Inflation and the Greenbook," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 831-841, September.
    5. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.

  14. Todd E. Clark & Sharon Kozicki, 2004. "Estimating equilibrium real interest rates in real time," Research Working Paper RWP 04-08, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Sinclair, Tara M. & Gamber, Edward N. & Stekler, Herman & Reid, Elizabeth, 2012. "Jointly evaluating the Federal Reserve’s forecasts of GDP growth and inflation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 309-314.
    2. Kathryn Holston & Thomas Laubach & John C. Williams, 2016. "Measuring the Natural Rate of Interest: International Trends and Determinants," Working Paper Series 2016-11, Federal Reserve Bank of San Francisco.
    3. Athanasios Orphanides, 2011. "Monetary Policy Lessons from the Crisis," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 2, Edward Elgar Publishing.
    4. Michael T. Kiley, 2015. "What Can the Data Tell Us About the Equilibrium Real Interest Rate?," Finance and Economics Discussion Series 2015-77, Board of Governors of the Federal Reserve System (U.S.).
    5. Athanasios Orphanides & John C. Williams, 2008. "Imperfect knowledge and the pitfalls of optimal control monetary policy," Working Paper Series 2008-09, Federal Reserve Bank of San Francisco.
    6. Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
    7. Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," Economics Working Papers 16111, Hoover Institution, Stanford University.
    8. Beyer, Robert & Milivojevic, Lazar, 2021. "Dynamics and synchronization of global equilibrium interest rates," IMFS Working Paper Series 146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    9. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    10. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    11. Mark A. Wynne & Ren Zhang, 2017. "Estimating the Natural Rate of Interest in an Open Economy," Globalization Institute Working Papers 316, Federal Reserve Bank of Dallas.
    12. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    13. Athanasios Orphanides & John C. Williams, 2007. "Robust monetary policy with imperfect knowledge," Working Paper Series 2007-08, Federal Reserve Bank of San Francisco.
    14. Nikolsko-Rzhevskyy, Alex & Papell, David H. & Prodan, Ruxandra, 2019. "The Taylor principles," Journal of Macroeconomics, Elsevier, vol. 62(C).
    15. Ansgar Belke & Jens Klose, 2017. "Equilibrium Real Interest Rates and Secular Stagnation: An Empirical Analysis for Euro Area Member Countries," Journal of Common Market Studies, Wiley Blackwell, vol. 55(6), pages 1221-1238, November.
    16. James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2016. "The Equilibrium Real Funds Rate: Past, Present, and Future," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 660-707, November.
    17. Ansgar Belke & Jens Klose, 2010. "(How) Do the ECB and the Fed React to Financial Market Uncertainty?: The Taylor Rule in Times of Crisis," Discussion Papers of DIW Berlin 972, DIW Berlin, German Institute for Economic Research.
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    45. Ronny Mazzocchi, 2013. "Monetary Policy when the NAIRI is unknown: The Fed and the Great Deviation," DEM Discussion Papers 2013/16, Department of Economics and Management.
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    47. Roman Horváth, 2007. "Estimating Time-Varying Policy Neutral Rate in Real Time," Working Papers IES 2007/01, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2007.
    48. Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    49. Belke, Ansgar & Klose, Jens, 2020. "Equilibrium real interest rates and the financial cycle: Empirical evidence for Euro area member countries," Economic Modelling, Elsevier, vol. 84(C), pages 357-366.
    50. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
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    52. Fabián Gredig, 2007. "Asymmetric Monetary Policy Rules and the Achievement of the Inflation Target: The Case of Chile," Working Papers Central Bank of Chile 451, Central Bank of Chile.
    53. Matteo Cacciatore & Bruno Feunou & Galip Kemal Ozhan, 2024. "The Neutral Interest Rate: Past, Present and Future," Discussion Papers 2024-03, Bank of Canada.
    54. Solikin M Juhro, 2016. "Comments on "A spectral perspective on natural interest rates in Asia-Pacific: changes and possible drivers"," BIS Papers chapters, in: Bank for International Settlements (ed.), Expanding the boundaries of monetary policy in Asia and the Pacific, volume 88, pages 151-156, Bank for International Settlements.
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    56. Fethi Oğunc & Inci Batmaz, 2009. "Estimating the neutral real interest rate in an emerging market economy," Applied Economics, Taylor & Francis Journals, vol. 43(6), pages 683-693.
    57. Todd E. Clark & Sharon Kozicki, 2004. "Estimating equilibrium real interest rates in real time," Research Working Paper RWP 04-08, Federal Reserve Bank of Kansas City.
    58. Klose, Jens, 2020. "Equilibrium real interest rates for the BRICS countries," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    59. Michelle T. Armesto & William T. Gavin, 2005. "Monetary policy and commodity futures," Review, Federal Reserve Bank of St. Louis, vol. 87(May), pages 395-405.
    60. Enrique Martínez García, 2020. "Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest," Globalization Institute Working Papers 403, Federal Reserve Bank of Dallas, revised 20 Feb 2021.
    61. Ansgar Belke & Thorsten Polleit & Wim Kösters & Martin Leschke, 2006. "Money matters for inflation in the euro area," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 279/2006, Department of Economics, University of Hohenheim, Germany.
    62. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Measuring the Natural Interest Rate for the Peruvian Economy," Working Papers 2006-003, Banco Central de Reserva del Perú.
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    64. Feng Zhu, 2016. "A spectral perspective on natural interest rates in Asia-Pacific: changes and possible drivers," BIS Papers chapters, in: Bank for International Settlements (ed.), Expanding the boundaries of monetary policy in Asia and the Pacific, volume 88, pages 63-149, Bank for International Settlements.
    65. Craig S. Hakkio & Andrew Lee Smith, 2017. "Bond Premiums and the Natural Real Rate of Interest," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-39.
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    67. Jens H. E. Christensen & Glenn D. Rudebusch, 2018. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," Working Paper Series 2017-07, Federal Reserve Bank of San Francisco.
    68. Randal J. Verbrugge & Saeed Zaman, 2023. "Post-COVID Inflation Dynamics: Higher for Longer," Working Papers 23-06R, Federal Reserve Bank of Cleveland, revised 20 Jun 2023.
    69. Mark A. Wynne & Ren Zhang, 2017. "Measuring the World Natural Rate of Interest," Globalization Institute Working Papers 315, Federal Reserve Bank of Dallas.
    70. Naohisa Hirakata & Kazutoshi Kan & Akihiro Kanafuji & Yosuke Kido & Yui Kishaba & Tomonori Murakoshi & Takeshi Shinohara, 2019. "The Quarterly Japanese Economic Model (Q-JEM): 2019 version," Bank of Japan Working Paper Series 19-E-7, Bank of Japan.
    71. Umino, Shingo, 2014. "Real-time estimation of the equilibrium real interest rate: Evidence from Japan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 17-32.
    72. Ronny Mazzocchi, 2013. "Scope and Flaws of the New Neoclassical Synthesis," DEM Discussion Papers 2013/13, Department of Economics and Management.
    73. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    74. Mr. Andrea Pescatori & Mr. Jarkko Turunen, 2015. "Lower for Longer: Neutral Rates in the United States," IMF Working Papers 2015/135, International Monetary Fund.
    75. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
    76. Rodrigo Fuentes & Fabián Gredig, 2007. "Estimating the Chilean Natural Rate of Interest," Working Papers Central Bank of Chile 448, Central Bank of Chile.
    77. Franc Klaassen & Henk Jager, 2007. "Model-free Measurement of Exchange Market Pressure," Tinbergen Institute Discussion Papers 06-112/2, Tinbergen Institute.
    78. Olmos, Lorena & Sanso Frago, Marcos, 2014. "Natural Rate of Interest with Endogenous Growth, Financial Frictions and Trend Inflation," MPRA Paper 57212, University Library of Munich, Germany.
    79. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers 157, Banque de France.
    80. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    81. Horváth, Roman, 2009. "The time-varying policy neutral rate in real-time: A predictor for future inflation?," Economic Modelling, Elsevier, vol. 26(1), pages 71-81, January.
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    83. Ronny Mazzocchi, 2013. "Intertemporal Coordination Failure and Monetary Policy," DEM Discussion Papers 2013/15, Department of Economics and Management.
    84. FARAYIBI, Adesoji, 2016. "Stress Testing in the Nigerian Banking Sector," MPRA Paper 73615, University Library of Munich, Germany.
    85. Matteo Cacciatore & Dmitry Matveev & Rodrigo Sekkel, 2022. "Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature," Discussion Papers 2022-9, Bank of Canada.
    86. Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.
    87. Andrea Pescatori & Jarkko Turunen, 2016. "Lower for Longer: Neutral Rate in the U.S," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 708-731, November.
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    89. July Radev, 2017. "Monetary policy and the dynamic disequilibrium," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 96-114.
    90. Moretti, Laura, 2014. "Monetary policy, long real yields and the financial crisis," CFS Working Paper Series 457, Center for Financial Studies (CFS).

  15. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Haicheng Shu & Peter Spencer, 2023. "Oil prices in the real economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 878-897, September.
    2. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series 2007:18, Uppsala University, Department of Economics.
    3. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    4. William T. Gavin & Finn E. Kydland & Michael R. Pakko, 2006. "Monetary policy, taxes and the business cycle," Working Papers 2004-017, Federal Reserve Bank of St. Louis.
    5. Efrem Castelnuovo & Paolo Surico, 2006. "The Price Puzzle: Fact or Artifact?," "Marco Fanno" Working Papers 0016, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
    7. Martin Melecky & Diego Rodríguez Palenzuela & Ulf Söderström, 2008. "Inflation Target Transparency and the Macroeconomy," Working Papers Central Bank of Chile 490, Central Bank of Chile.
    8. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    9. Athanasios Orphanides & John C. Williams, 2004. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," International Finance Discussion Papers 804, Board of Governors of the Federal Reserve System (U.S.).
    10. Aoki, Kosuke & Kimura, Takeshi, 2007. "Uncertainty about perceived inflation target and monetary policy," Discussion Paper Series 1: Economic Studies 2007,18, Deutsche Bundesbank.
    11. Bloch, Laurence, 2012. "Product market regulation, trend inflation and inflation dynamics in the new Keynesian Phillips curve," Economic Modelling, Elsevier, vol. 29(5), pages 2058-2070.
    12. Kevin J. Lansing, 2006. "Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Computing in Economics and Finance 2006 488, Society for Computational Economics.
    13. Binder, Carola, 2017. "Fed speak on main street: Central bank communication and household expectations," Journal of Macroeconomics, Elsevier, vol. 52(C), pages 238-251.
    14. Lhuissier, Stéphane & Zabelina, Margarita, 2015. "On the stability of Calvo-style price-setting behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 57(C), pages 77-95.
    15. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    16. Feldkircher, Martin & Lukmanova, Elizaveta & Tondl, Gabriele, 2019. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," Department of Economics Working Paper Series 289, WU Vienna University of Economics and Business.
    17. Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
    18. William T. Gavin & Benjamin D. Keen & Finn E. Kydland, 2013. "Monetary policy, the tax code, and the real effects of energy shocks," Working Papers 2013-019, Federal Reserve Bank of St. Louis.
    19. Antipin, Jan-Erik & Boumediene, Farid Jimmy & Österholm, Pär, 2012. "Forecasting Inflation Using Constant Gain Least Squares," Working Papers 126, National Institute of Economic Research.
    20. Peter N. Ireland, 2006. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," NBER Working Papers 12492, National Bureau of Economic Research, Inc.
    21. Estrella, Arturo, 2015. "The Price Puzzle And Var Identification," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1880-1887, December.
    22. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.
    23. Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016. "Currency Value," CEPR Discussion Papers 11324, C.E.P.R. Discussion Papers.
    24. Takeshi Kimura & Kosuke Aoki, 2009. "Central Bank's Two-Way Communication with the Public and Inflation Dynamics," 2009 Meeting Papers 108, Society for Economic Dynamics.
    25. J. A. Lafuente & R. Pérez & J. Ruiz, 2018. "Disentangling permanent and transitory monetary shocks with a non-linear Taylor rule," Documentos de Trabajo del ICAE 2018-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    26. Cássio R. A. Alves & Márcio P. Laurini, 2022. "Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps," Economics Bulletin, AccessEcon, vol. 42(2), pages 342-349.
    27. Sune Karlsson & Pär Österholm, 2023. "Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions," Scandinavian Journal of Economics, Wiley Blackwell, vol. 125(1), pages 287-314, January.
    28. Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2013. "Inflation Persistence: Revisited," Working Papers 2013-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    29. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    30. Jang, Tae-Seok & Sacht, Stephen, 2021. "Forecast heuristics, consumer expectations, and New-Keynesian macroeconomics: A Horse race," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 493-511.
    31. Marcelo Arbex & Sidney Caetano & Wilson Correa, 2018. "Macroeconomic Effects of Inflation Target Uncertainty Shocks," Working Papers 1804, University of Windsor, Department of Economics.
    32. Marc-André Gosselin & Sharon Kozicki, 2023. "Making It Real: Bringing Research Models into Central Bank Projections," Discussion Papers 2023-29, Bank of Canada.
    33. David Andolfatto & Scott Hendry & Kevin Moran, 2007. "Are Inflation Expectations Rational?," Working Paper series 27_07, Rimini Centre for Economic Analysis.
    34. Ahsan ul Haq Satti & Wasim Shahid Malik, 2017. "The Unreliability of Output-Gap Estimates in Real Time," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 56(3), pages 193-219.
    35. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.
    36. Lavan Mahadeva, 2007. "A model of market surprises," Bank of England working papers 327, Bank of England.
    37. Kozicki, Sharon, 2012. "Macro has progressed," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 23-28.
    38. Taeyoung Doh, 2007. "What does the yield curve tell us about the Federal Reserve's implicit inflation target?," Research Working Paper RWP 07-10, Federal Reserve Bank of Kansas City.
    39. Bedri Kamil Onur Tas, 2014. "Why is Inflation Targeting Successful?: Analysis of Inflation Target Transparency," EcoMod2014 6725, EcoMod.
    40. Dossche, Maarten & Everaert, Gerdie, 2005. "Measuring inflation persistence: a structural time series approach," Working Paper Series 495, European Central Bank.
    41. Peter D. Spencer, 2008. "Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961-2004," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1177-1215, September.
    42. Efrem Castelnuovo & Paolo Surico, 2005. "The Price Puzzle and Indeterminacy," Macroeconomics 0507021, University Library of Munich, Germany.
    43. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 820, Queen Mary University of London, School of Economics and Finance.
    44. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    45. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    46. Scott C. Patrick, 2020. "How Much Better Is Commitment Policy Than Discretionary Policy? Evidence From Six Developed Economies," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-28, June.
    47. Todd E. Clark & Sharon Kozicki, 2004. "Estimating equilibrium real interest rates in real time," Research Working Paper RWP 04-08, Federal Reserve Bank of Kansas City.
    48. Michal Franta & Branislav Saxa & Kateøina Šmídková, 2010. "The Role of Inflation Persistence in the Inflation Process in the New EU Member States," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 480-500, December.
    49. Michael P. Clements & Ana Beatriz Galvão, 2011. "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers 678, Queen Mary University of London, School of Economics and Finance.
    50. Monica Gentile & Roberto Renò, 2005. "Specification Analysis of Diffusion Models for the Italian Short Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 51-83, February.
    51. Fabio Milani, 2005. "Expectations, Learning and Macroeconomic Persistence," Macroeconomics 0510022, University Library of Munich, Germany.
    52. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    53. Beechey, Meredith, 2004. "Excess Sensitivity and Volatility of Long Interest Rates: The Role of Limited Information in Bond Markets," Working Paper Series 173, Sveriges Riksbank (Central Bank of Sweden).
    54. Jonsson, Thomas & Österholm, Pär, 2009. "The Properties of Survey-Based Inflation Expectations in Sweden," Working Papers 114, National Institute of Economic Research.
    55. Kevin Moran, 2005. "Learning and the Welfare Implications of Changing Inflation Targets," Cahiers de recherche 0511, CIRPEE.
    56. Beechey, Meredith & Österholm, Pär, 2010. "Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors," International Journal of Forecasting, Elsevier, vol. 26(2), pages 248-264, April.
    57. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    58. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2005. "The monetary instrument matters," Review, Federal Reserve Bank of St. Louis, vol. 87(Sep), pages 633-658.
    59. Canepa, Alessandra, 2022. "Ination Dynamics and Time-Varying Persistence: The Importance of the Uncertainty Channel," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202211, University of Turin.
    60. Chi-Young Choi & Young Se Kim & Róisín O'Sullivan, 2011. "Inflation Targeting and Relative Price Variability: What Difference Does Inflation Targeting Make?," Southern Economic Journal, John Wiley & Sons, vol. 77(4), pages 934-957, April.
    61. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.
    62. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    63. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    64. Henzel, Steffen R., 2013. "Fitting survey expectations and uncertainty about trend inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 172-185.
    65. Donald Coletti, 2023. "A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models," Discussion Papers 2023-23, Bank of Canada.
    66. Jean-Philippe Cayen & Marc-André Gosselin & Sharon Kozicki, 2009. "Estimating DSGE-Model-Consistent Trends for Use in Forecasting," Staff Working Papers 09-35, Bank of Canada.
    67. Lukmanova, Elizaveta & Rabitsch, Katrin, 2023. "Evidence on monetary transmission and the role of imperfect information: Interest rate versus inflation target shocks," European Economic Review, Elsevier, vol. 158(C).

  16. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    2. Jondeau, E. & Le Bihan, H., 2003. "ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the New Phillips Curve)," Working papers 103, Banque de France.
    3. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    4. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
    5. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    6. Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
    7. Carlos J. Rodriguez-Fuentes & Antonio Olivera-Herrera & David Padron-Marrero, 2004. "Monetary policy and inflation persistence in the Eurozone," ERSA conference papers ersa04p218, European Regional Science Association.
    8. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, University Library of Munich, Germany.
    9. Bloch, Laurence, 2012. "Product market regulation, trend inflation and inflation dynamics in the new Keynesian Phillips curve," Economic Modelling, Elsevier, vol. 29(5), pages 2058-2070.
    10. Thórarinn G. Pétursson, 2022. "Long‐term inflation expectations and inflation dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 158-174, January.
    11. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    12. Kevin J. Lansing, 2006. "Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Computing in Economics and Finance 2006 488, Society for Computational Economics.
    13. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
    14. Claude Diebolt & Mamoudou Toure & Jamel Trabelsi, 2012. "Monetary Credibility Effects on Inflation Dynamics: A Macrohistorical Case Study," Working Papers 12-04, Association Française de Cliométrie (AFC).
    15. Robalo Marques, Carlos, 2004. "Inflation persistence: facts or artefacts?," Working Paper Series 371, European Central Bank.
    16. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    17. Jondeau, Eric & Le Bihan, Herve, 2005. "Testing for the New Keynesian Phillips Curve. Additional international evidence," Economic Modelling, Elsevier, vol. 22(3), pages 521-550, May.
    18. Alain Guay & Florian Pelgrin, 2004. "The U.S. New Keynesian Phillips Curve: An Empirical Assessment," Staff Working Papers 04-35, Bank of Canada.
    19. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.
    20. Filippo Altissimo & Michael Ehrmann & Frank Smets, 2006. "Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence," Working Paper Research 95, National Bank of Belgium.
    21. Bakhshi, Hasan & Khan, Hashmat & Rudolf, Barbara, 2007. "The Phillips curve under state-dependent pricing," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2321-2345, November.
    22. Philippe Jeanfils & Koen Burggraeve, 2005. "Noname - A new quarterly model for Belgium," Working Paper Research 68, National Bank of Belgium.
    23. Jang, Tae-Seok & Sacht, Stephen, 2021. "Forecast heuristics, consumer expectations, and New-Keynesian macroeconomics: A Horse race," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 493-511.
    24. Barnes, Michelle L. & Gumbau-Brisa, Fabià & Lie, Denny & Olivei, Giovanni P., 2011. "Estimation of Forward-Looking Relationships in Closed Form: An Application to the New Keynesian Phillips Curve," Working Papers 2011-05, University of Sydney, School of Economics.
    25. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
    26. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Bank of Finland Research Discussion Papers 12/2004, Bank of Finland.
    27. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
    28. Vararat Khemangkorn & Roong Poshyananda Mallikamas & Pranee Sutthasri, 2008. "Inflation Dynamics and Implications on Monetary Policy," Working Papers 2008-02, Monetary Policy Group, Bank of Thailand.
    29. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    30. Choi, Yoonseok & Kim, Sunghyun, 2016. "Testing an alternative price-setting behavior in the new Keynesian Phillips curve: Extrapolative price-setting mechanism," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 253-265.
    31. Karanasos, Menelaos & Paraskevopoulos,Alexandros & Canepa, Alessandra, 2020. "Unified Theory for the Large Family of Time Varying Models with Arma Representations: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202008, University of Turin.
    32. Stephen Murchison & Andrew Rennison & Zhenhua Zhu, 2004. "A Structural Small Open-Economy Model for Canada," Staff Working Papers 04-4, Bank of Canada.
    33. Bakhshi, Hasan & Khan, Hashmat & Burriel-Llombart, Pablo & Rudolf, Barbara, 2007. "The New Keynesian Phillips curve under trend inflation and strategic complementarity," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 37-59, March.
    34. Jamie Armour, 2006. "An Evaluation of Core Inflation Measures," Staff Working Papers 06-10, Bank of Canada.
    35. René Lalonde, 2005. "Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy," Staff Working Papers 05-16, Bank of Canada.
    36. Karanasos, Menelaos & Paraskevopoulos, Alexandros & Magdalinos, Anastasios & Canepa, Alessandra, 2024. "A Unified Theory for Arma Models with Varying Coefficients: One Solution Fits All," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202413, University of Turin.
    37. Anna Piretti & Charles St-Arnaud, 2006. "Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies," Staff Working Papers 06-22, Bank of Canada.
    38. Malikane, Christopher & Mokoka, Tshepo, 2012. "Monetary policy credibility: A Phillips curve view," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 266-271.
    39. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
    40. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    41. Kim Chang-Jin & Kim Yunmi, 2008. "Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-20, September.
    42. Pym Manopimoke, 2016. "The Output Euler Equation and Real Interest Rate Regimes," PIER Discussion Papers 33, Puey Ungphakorn Institute for Economic Research.
    43. Fu, Bowen, 2020. "Is the slope of the Phillips curve time-varying? Evidence from unobserved components models," Economic Modelling, Elsevier, vol. 88(C), pages 320-340.
    44. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    45. Tenreyro, Silvana & Drechsel, Thomas & McLeay, Michael, 2019. "Monetary policy for commodity booms and busts," CEPR Discussion Papers 14030, C.E.P.R. Discussion Papers.

  17. Sharon Kozicki & Peter A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    2. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department.
    3. Tillmann, Peter, 2003. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Bonn Econ Discussion Papers 27/2003, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004 53, Society for Computational Economics.
    5. Zbynek Stork, 2016. "Term Structure of Interest Rates: Macro-Finance Approach," EcoMod2016 9566, EcoMod.

  18. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Andrés González & Franz Hamann, 2011. "Lack of Credibility, Inflation Persistence and Disinflation in Colombia," Borradores de Economia 658, Banco de la Republica de Colombia.
    2. James McNeil, 2020. "Estimation of Impulse response functions with term structure local projections," Working Papers daleconwp2020-05, Dalhousie University, Department of Economics.
    3. Peter Lildholdt & Anne Vila Wetherilt, 2004. "Anticipation of monetary policy in UK financial markets," Bank of England working papers 241, Bank of England.
    4. Daniel L. Thornton, 2004. "Tests of the expectations hypothesis: resolving the Campbell-Shiller paradox," Working Papers 2003-022, Federal Reserve Bank of St. Louis.
    5. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    6. Daniel L. Thornton, 2012. "Greenspan’s conundrum and the Fed’s ability to affect long-term yields," Working Papers 2012-036, Federal Reserve Bank of St. Louis.
    7. Linda S. Goldberg & Michael W. Klein, 2005. "Establishing credibility: evolving perceptions of the European Central Bank," Staff Reports 231, Federal Reserve Bank of New York.
    8. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
    9. Athanasios Orphanides & John C. Williams, 2007. "Inflation targeting under imperfect knowledge," Economic Review, Federal Reserve Bank of San Francisco, pages 1-23.
    10. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    11. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(2), pages 7-49, September.
    12. Kwangyong Park, 2020. "The Excess Sensitivity of Long-term Interest rates and Central Bank Credibility," Working Papers 2020-29, Economic Research Institute, Bank of Korea.
    13. Grégory Levieuge & Yannick Lucotte & Sébastien Ringuedé, 2015. "Central bank credibility and the expectations channel: Evidence based on a new credibility index," NBP Working Papers 209, Narodowy Bank Polski.
    14. Daniel Oliveira Cajueiro & Benjamin M. Tabak, 2010. "Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy," Working Papers Series 206, Central Bank of Brazil, Research Department.
    15. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    17. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
    18. Orphanides, Athanasios & Williams, John C, 2005. "Inflation Scares and Forecast-Based Monetary Policy," CEPR Discussion Papers 4844, C.E.P.R. Discussion Papers.
    19. William Poole, 2005. "Understanding the term structure of interest rates," Speech 2, Federal Reserve Bank of St. Louis.
    20. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
    21. Glenn D. Rudebusch & Tao Wu, 2007. "Accounting for a Shift in Term Structure Behavior with No‐Arbitrage and Macro‐Finance Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 395-422, March.
    22. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    23. Leo Krippner & Michelle Lewis, 2018. "Real-time forecasting with macro-finance models in the presence of a zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2018/04, Reserve Bank of New Zealand.
    24. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    25. Tao Wu & Glenn Rudebusch, 2005. "The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective," Computing in Economics and Finance 2005 3, Society for Computational Economics.
    26. Linda S. Goldberg & Michael W. Klein, 2010. "Evolving Perceptions of Central Bank Credibility: The European Central Bank Experience," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 153-182, National Bureau of Economic Research, Inc.
    27. David Andolfatto & Scott Hendry & Kevin Moran, 2007. "Are Inflation Expectations Rational?," Working Paper series 27_07, Rimini Centre for Economic Analysis.
    28. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
    29. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
    30. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Finance and Economics Discussion Series 2003-50, Board of Governors of the Federal Reserve System (U.S.).
    31. Rajnish Mehra & Arunima Sinha, 2016. "The Term Structure of Interest Rates in India," NBER Working Papers 22020, National Bureau of Economic Research, Inc.
    32. Glenn D. Rudebusch & Brian P. Sack & Eric T. Swanson, 2006. "Macroeconomic implications of changes in the term premium," Working Paper Series 2006-46, Federal Reserve Bank of San Francisco.
    33. N. Kundan Kishor & Evan F. Koenig, 2016. "The roles of inflation expectations, core inflation, and slack in real-time inflation forecasting," Working Papers 1613, Federal Reserve Bank of Dallas.
    34. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    35. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    36. Athanasios Orphanides & John C. Williams, 2002. "Imperfect knowledge, inflation expectations, and monetary policy," Finance and Economics Discussion Series 2002-27, Board of Governors of the Federal Reserve System (U.S.).
    37. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    38. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    39. Travis J. Berge, 2017. "Understanding Survey Based Inflation Expectations," Finance and Economics Discussion Series 2017-046, Board of Governors of the Federal Reserve System (U.S.).
    40. Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
    41. Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models," BAFFI CAREFIN Working Papers 19106, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    42. Shigeru Iwata, 2010. "Monetary Policy and the Term Structure of Interest Rates When Short-Term Rates Are Close to Zero," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 28, pages 59-78, November.
    43. David Andolfatto & Scott Hendry & Kevin Moran, 2002. "Inflation Expectations and Learning about Monetary Policy," Staff Working Papers 02-30, Bank of Canada.
    44. Madeline Zavodny & Donna K. Ginther, 2005. "Does the Beige Book Move Financial Markets?," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 138-151, July.
    45. Barrera, Carlos, 2022. "Characterizing the Anchoring Effects of Official Forecasts on Private Expectations," MPRA Paper 114258, University Library of Munich, Germany.
    46. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.

  19. Sharon Kozicki & Peter A. Tinsley, 2001. "Dynamic specifications in optimizing trend-deviation macro models," Research Working Paper RWP 01-03, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Holger Kraft & Claus Munk & Frank Thomas Seifried & Sebastian Wagner, 2017. "Consumption habits and humps," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
    2. Marcelle, Chauvet & Insu, Kim, 2019. "Incomplete Price Adjustment and Inflation Persistence," MPRA Paper 97497, University Library of Munich, Germany, revised 04 Dec 2019.
    3. Kareen Rozen, 2010. "Foundations of Intrinsic Habit Formation," Econometrica, Econometric Society, vol. 78(4), pages 1341-1373, July.
    4. James M. Nason & George A. Slotsve, 2004. "Along the New Keynesian Phillips curve with nominal and real rigidities," FRB Atlanta Working Paper 2004-9, Federal Reserve Bank of Atlanta.
    5. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
    6. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    7. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    8. Fujiwara, Ippei & Hara, Naoko & Hirose, Yasuo & Teranishi, Yuki, 2005. "The Japanese Economic Model (JEM)," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 23(2), pages 61-142, May.
    9. Sean Holly & Luisa Corrado, 2004. "Habit formation and Interest-Rate Smoothing," Computing in Economics and Finance 2004 215, Society for Computational Economics.
    10. Anthony Garratt & Donald Robertson & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542, May.
    11. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    12. Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
    13. Rodrigo Caputo, 2009. "External Shocks and Monetary Policy. Does it Pay to Respond to Exchange Rate Desviations?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 24(1), pages 55-99, Junio.
    14. Wakerly, Elizabeth C & Elena Loukoianova & Shaun P. Vahey, 2003. "A Real Time Tax Smoothing Based Fiscal Policy Rule," Royal Economic Society Annual Conference 2003 215, Royal Economic Society.
    15. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
    16. Philippe Jeanfils & Koen Burggraeve, 2005. "Noname - A new quarterly model for Belgium," Working Paper Research 68, National Bank of Belgium.
    17. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2011. "A New-Keynesian Model of the Yield Curve with Learning Dynamics: A Bayesian Evaluation," Insper Working Papers wpe_250, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    18. Li, Tongtong & Wang, Shibo & Yang, Jinqiang, 2021. "Robust consumption and portfolio choices with habit formation," Economic Modelling, Elsevier, vol. 98(C), pages 227-246.
    19. Wei-Bin Zhang, 2013. "Dynamic Interactions among Growth, Environmental Change, Habit Formation, and Preference Change," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 3(1), pages 3-25, December.
    20. Marcelle, Chauvet & Insu, Kim, 2010. "Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve," MPRA Paper 23109, University Library of Munich, Germany.
    21. Plasmans, J.E.J. & Fornero, J. & Michalak, T., 2007. "A Microfounded Sectoral Model for Open Economies," Discussion Paper 2007-39, Tilburg University, Center for Economic Research.
    22. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
    23. Kozicki, Sharon, 2012. "Macro has progressed," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 23-28.
    24. Alvarez González, Luis Julián, 2008. "What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-36.
    25. Gongpil Choi, 2001. "Structural changes and the scope of inflation targeting in Korea," Pacific Basin Working Paper Series 2001-05, Federal Reserve Bank of San Francisco.
    26. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
    27. McAdam, Peter & Willman, Alpo, 2003. "New Keynesian Phillips Curves: a reassessment using euro-area data," Working Paper Series 265, European Central Bank.
    28. Leith, Campbell & Moldovan, Ioana & Rossi, Raffaele, 2008. "Optimal Monetary Policy in a New Keynesian Model with Habits in Consumption," SIRE Discussion Papers 2008-55, Scottish Institute for Research in Economics (SIRE).
    29. Wei-Bin ZHANG, 2012. "Habits, Saving Propensity, And Economic Growth," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(2), pages 3-15.
    30. Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
    31. Rodrigo Caputo, 2004. "Habit formation and its implications for small open economies," Money Macro and Finance (MMF) Research Group Conference 2003 11, Money Macro and Finance Research Group.
    32. Rodrigo Caputo, 2004. "Exchange Rates, Inflation and Monetary Policy Objectives in Open Economies: The Experience of Chile," Econometric Society 2004 Latin American Meetings 298, Econometric Society.
    33. Charles St-Arnaud, 2004. "Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni," Staff Working Papers 04-46, Bank of Canada.
    34. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    35. David Dupuis, 2004. "The New Keynesian Hybrid Phillips Curve: An Assessment of Competing Specifications for the United States," Staff Working Papers 04-31, Bank of Canada.
    36. Corrado, Luisa & Holly, Sean, 2011. "Multiplicative habit formation and consumption: A note," Economics Letters, Elsevier, vol. 113(2), pages 116-119.
    37. Campbell Leith & Ioana Moldovan & Raffaele Rossi, 2012. "Online Appendix to "Optimal Monetary Policy in a New Keynesian Model with Habits in Consumption"," Online Appendices 09-154, Review of Economic Dynamics.
    38. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January.

  20. Sharon Kozicki, 2001. "Implications of real-time data for forecasting and modeling expectations," Research Working Paper RWP 01-12, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.

  21. Sharon Kozicki & Peter Tinsley, 1999. "Permanent and Transitory Policy Shocks in a VAR with Asymmetric Information," Computing in Economics and Finance 1999 844, Society for Computational Economics.

    Cited by:

    1. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.

  22. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Giovanni Angelini & Luca Fanelli Fanelli, 2015. "Misspecification and Expectations Correction in New Keynesian DSGE Models," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
    2. Marc-André Gosselin & René Lalonde, 2004. "Modélisation « PAC » du secteur extérieur de l'économie américaine," Staff Working Papers 04-3, Bank of Canada.
    3. Kiley, Michael T., 2001. "Computers and growth with frictions: aggregate and disaggregate evidence," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 55(1), pages 171-215, December.
    4. Michael Arghyrou & Christopher Martin & Costas Milas, 2005. "Non-linear inflationary dynamics: evidence from the UK," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 51-69, January.
    5. Giacinto Micucci & Valter di Giacinto, 2009. "The Producer Service Sector in Italy: Long-term Growth and its Local Determinants," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(4), pages 391-425.
    6. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
    7. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    8. Angelini, Elena & Bokan, Nikola & Christoffel, Kai & Ciccarelli, Matteo & Zimic, Srečko, 2019. "Introducing ECB-BASE: The blueprint of the new ECB semi-structural model for the euro area," Working Paper Series 2315, European Central Bank.
    9. Sienknecht, Sebastian, 2016. "Reassessing price adjustment costs in DSGE models," MPRA Paper 73763, University Library of Munich, Germany.
    10. Jeffrey C. Fuhrer & Giovanni P. Olivei, 2004. "Estimating forward looking Euler equations with GMM estimators: an optimal instruments approach," Working Papers 04-2, Federal Reserve Bank of Boston.
    11. Ireland, Peter N., 2001. "Sticky-price models of the business cycle: Specification and stability," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 3-18, February.
    12. Philippe Jeanfils & Koen Burggraeve, 2005. "Noname - A new quarterly model for Belgium," Working Paper Research 68, National Bank of Belgium.
    13. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    14. Meurers Martin, 2004. "Estimating Supply and Demand Functions in International Trade: A Multivariate Cointegration Analysis for Germany / Die Schätzung von Angebots- und Nachfragefunktionen im Außenhandel: Eine multivariate," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 530-556, October.
    15. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2003. "The responses of wages and prices to technology shocks," Working Paper Series 2003-21, Federal Reserve Bank of San Francisco.
    16. Kozicki, Sharon, 2012. "Macro has progressed," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 23-28.
    17. Fanelli, Luca, 2007. "Evaluating the New Keynesian Phillips Curve under VAR-based learning," MPRA Paper 1616, University Library of Munich, Germany.
    18. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France," Working papers 736, Banque de France.
    19. Peter Von zur Muehlen, 2001. "The effect of past and future economic fundamentals on spending and pricing behavior in the FRB/US macroeconomic model," Finance and Economics Discussion Series 2001-12, Board of Governors of the Federal Reserve System (U.S.).
    20. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02400611, HAL.
    21. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
    22. Sharon Kozicki & Peter A. Tinsley, 2001. "Dynamic specifications in optimizing trend-deviation macro models," Research Working Paper RWP 01-03, Federal Reserve Bank of Kansas City.
    23. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.
    24. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    25. Anders Rygh Swensen & Pål Boug & Ådne Cappelen & Eilev S. Jansen, 2019. "The consumption Euler equation or the Keynesian consumption function?," Discussion Papers 904, Statistics Norway, Research Department.
    26. Olivier Gervais & Marc-André Gosselin, 2014. "Analyzing and Forecasting the Canadian Economy through the LENS Model," Technical Reports 102, Bank of Canada.
    27. Marc-André Gosselin & René Lalonde, 2003. "Un modèle « PAC » d'analyse et de prévision des dépense des ménages américains," Staff Working Papers 03-13, Bank of Canada.
    28. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    29. Christopher Martin & Michael Arghyrou & Costas Milas, 2004. "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003 59, Money Macro and Finance Research Group.

  23. Sharon Kozicki, 1998. "Predicting inflation with the term structure spread," Research Working Paper 98-02, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
    2. Kursat Kunter & Norbert Janssen, 2002. "Credibility Of Monetary Regimes : Is Inflation Targeting Different?," Discussion Papers 0201, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
    4. Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank.
    5. Viktor Kotlán, 2000. "The Term Structure of Interest Rates and Future Inflation," Macroeconomics 0004014, University Library of Munich, Germany.

  24. Sharon Kozicki & Peter A. Tinsley, 1998. "Term structure views of monetary policy," Research Working Paper 98-07, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    2. Filippo COSSETTI & Francesco GUIDI, 2009. "ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis," Working Papers 334, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    4. Peter A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.).

  25. Sharon Kozicki & Peter A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
    2. Hans Dewachter & Leonardo Iania & Marco Lyrio, 2014. "Information in the yield curve: A Macro-Finance approach," Working Paper Research 254, National Bank of Belgium.
    3. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
    4. Bobeica, Elena & Ciccarelli, Matteo & Vansteenkiste, Isabel, 2019. "The link between labor cost and price inflation in the euro area," Working Paper Series 2235, European Central Bank.
    5. Stefano Eusepi & Bruce Preston, 2013. "Fiscal foundations of inflation: imperfect knowledge," Staff Reports 649, Federal Reserve Bank of New York.
    6. Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
    7. Tao Wu, 2001. "Macro factors and the affine term structure of interest rates," Working Paper Series 2002-06, Federal Reserve Bank of San Francisco.
    8. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
    9. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    10. Glenn D. Rudebusch & John C. Williams, 2008. "Revealing the Secrets of the Temple: The Value of Publishing Central Bank Interest Rate Projections," NBER Chapters, in: Asset Prices and Monetary Policy, pages 247-289, National Bureau of Economic Research, Inc.
    11. Demertzis Maria & Marcellino Massimiliano & Viegi Nicola, 2012. "A Credibility Proxy: Tracking US Monetary Developments," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-36, June.
    12. Stefano Eusepi & Marc P. Giannoni & Bruce Preston, 2017. "Some implications of learning for price stability," CAMA Working Papers 2017-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2001. "The Effect of Monetary Unification on German Bond Markets," International Economics Working Papers Series wpie005, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
    14. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
    15. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    16. Luis Gil-Alana & Antonio Moreno, 2007. "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers 12/07, School of Economics and Business Administration, University of Navarra.
    17. Christoph Berninger & Almond Stöcker & David Rügamer, 2022. "A Bayesian time‐varying autoregressive model for improved short‐term and long‐term prediction," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 181-200, January.
    18. Marco Lyrio & Hans Dewachter, 2004. "Filtering Long-Run Inflation Expectations with a Structural Macro Model of the Yield Curve," Computing in Economics and Finance 2004 188, Society for Computational Economics.
    19. Wali Ullah & Yoshihiko Tsukuda & Yasumasa Matsuda, 2012. "Term Structure Forecasting of Government Bond Yields with Latent and Macroeconomic Factors: Does Macroeconomic Factors Imply Better Out-of-Sample Forecasts?," TERG Discussion Papers 287, Graduate School of Economics and Management, Tohoku University.
    20. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    21. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
    22. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 81-100, March.
    23. Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    24. Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
    25. Arunima Sinha, 2016. "Learning and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 513-547, March.
    26. Taisuke Nakata, 2013. "Welfare costs of shifting trend inflation," Finance and Economics Discussion Series 2013-12, Board of Governors of the Federal Reserve System (U.S.).
    27. Rossi, Barbara & Wang, Yiru, 2019. "Vector autoregressive-based Granger causality test in the presence of instabilities," MPRA Paper 101492, University Library of Munich, Germany.
    28. Todd E. Clark, 2003. "Disaggregate evidence on the persistence of consumer price inflation," Research Working Paper RWP 03-11, Federal Reserve Bank of Kansas City.
    29. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
    30. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    31. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
    32. Orphanides, Athanasios & Wei, Min, 2012. "Evolving macroeconomic perceptions and the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 239-254.
    33. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the Need for a New Approach to Analyzing Monetary Policy," NBER Working Papers 14260, National Bureau of Economic Research, Inc.
    34. Downing, Chris & Oliner, Stephen, 2007. "The term structure of commercial paper rates," Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
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    37. Zhu, Xiaoneng, 2011. "Revisiting the expectations hypothesis: The Japanese term structure and regime shifts," Journal of Economics and Business, Elsevier, vol. 63(3), pages 237-249, May.
    38. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    39. Daniel L. Thornton, 2012. "Greenspan’s conundrum and the Fed’s ability to affect long-term yields," Working Papers 2012-036, Federal Reserve Bank of St. Louis.
    40. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    41. Jean-Sébastien Fontaine & Bruno Feunou, 2019. "The Secular Decline of Forecasted Interest Rates," Staff Analytical Notes 2019-1, Bank of Canada.
    42. Siddhartha Chattopadhyay, 2021. "The Neo-Fisherianism to Escape Zero Lower Bound," International Symposia in Economic Theory and Econometrics, in: Environmental, Social, and Governance Perspectives on Economic Development in Asia, volume 29, pages 1-19, Emerald Group Publishing Limited.
    43. Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020. "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224546, Verein für Socialpolitik / German Economic Association.
    44. Junko Koeda, 2011. "How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited," CIRJE F-Series CIRJE-F-784, CIRJE, Faculty of Economics, University of Tokyo.
    45. Jeffrey C. Fuhrer & Giovanni P. Olivei & Eric Rosengren & Geoffrey M. B. Tootell, 2018. "Should the Fed regularly evaluate its monetary policy framework?," Working Papers 18-8, Federal Reserve Bank of Boston.
    46. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    47. Erceg, Christopher J. & Levin, Andrew T., 2003. "Imperfect credibility and inflation persistence," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 915-944, May.
    48. Chattopadhyay, Siddhartha & Daniel, Betty C., 2014. "The Inflation Target at the Zero Lower Bound," MPRA Paper 66096, University Library of Munich, Germany.
    49. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
    50. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    51. Mumtaz, Haroon & Surico, Paolo, 2008. "Time-Varying Yield Curve Dynamics and Monetary Policy," Discussion Papers 23, Monetary Policy Committee Unit, Bank of England.
    52. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
    53. Shujaat Khan & Edward S. Knotek, 2014. "Drifting Inflation Targets and Monetary Stagflation," Working Papers (Old Series) 1426, Federal Reserve Bank of Cleveland.
    54. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series 2010-01, Federal Reserve Bank of San Francisco.
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    56. Kwangyong Park, 2020. "The Excess Sensitivity of Long-term Interest rates and Central Bank Credibility," Working Papers 2020-29, Economic Research Institute, Bank of Korea.
    57. Andreas Reschreiter, 2010. "Inflation And The Mean‐Reverting Level Of The Short Rate," Manchester School, University of Manchester, vol. 78(1), pages 76-91, January.
    58. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.
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    61. Carlos Garriga & Finn E. Kydland & Roman Šustek, 2019. "MoNK: Mortgages in a New-Keynesian Model," NBER Working Papers 26427, National Bureau of Economic Research, Inc.
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    63. Bańbura, Marta & Bobeica, Elena, 2023. "Does the Phillips curve help to forecast euro area inflation?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 364-390.
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    68. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
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    70. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
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    72. Jeff Fuhrer & Giovanni P. Olivei & Eric S. Rosengren & Geoffrey M.B. Tootell, 2018. "Should the Federal Reserve Regularly Evaluate Its Monetary Policy Framework?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 443-517.
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    75. Elmar Mertens, 2011. "Measuring the level and uncertainty of trend inflation," Finance and Economics Discussion Series 2011-42, Board of Governors of the Federal Reserve System (U.S.).
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  26. Sharon Kozicki, 1996. "Multivariate detrending under common trend restrictions: implications for business cycle research," Research Working Paper 96-01, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
    2. Anthony Garratt & Donald Robertson & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542, May.
    3. Mario J. Crucini & Mototsugu Shintani, 2015. "Measuring international business cycles by saving for a rainy day," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(4), pages 1266-1290, November.
    4. Russell Barnett & Sharon Kozicki & Christopher Petrinec, 2009. "Parsing shocks: real-time revisions to gap and growth projections for Canada," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 247-266.
    5. Athanasios Orphanides & Simon van Norden, 1999. "The Reliability of Output Gap Estimates in Real Time," Macroeconomics 9907006, University Library of Munich, Germany.
    6. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
    7. Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics.
    8. Julio J. Rotemberg, 1999. "A Heuristic Method for Extracting Smooth Trends from Economic Time Series," NBER Working Papers 7439, National Bureau of Economic Research, Inc.
    9. Morley, James & Wong, Benjamin, 2018. "Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions," Working Papers 2018-04, University of Sydney, School of Economics, revised Feb 2019.
    10. Mr. Joannes Mongardini & Tahsin Saadi Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators: An Application to Jordan," IMF Working Papers 2003/170, International Monetary Fund.
    11. Amano, Robert & Coletti , Don & Murchison , Stephen, 2000. "Empirical Estimation and the Quarterly Projection Model: An Example Focusing on the External Sector," Working Paper Series 104, Sveriges Riksbank (Central Bank of Sweden).
    12. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    13. Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.

  27. Sharon Kozicki & Peter A. Tinsley, 1996. "Moving endpoints and the internal consistency of agents' ex ante forecasts," Finance and Economics Discussion Series 96-47, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    2. Glenn D. Rudebusch, 1999. "Is the Fed too timid? Monetary policy in an uncertain world," Working Papers in Applied Economic Theory 99-05, Federal Reserve Bank of San Francisco.
    3. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    4. Flint Brayton & Andrew T. Levin & Ralph W. Tryon & John C. Williams, "undated". "The Evolution of Macro Models at the Federal Reserve Board," Finance and Economics Discussion Series 1997-29, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    5. Sharon Kozicki & P. A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Staff Working Papers 06-46, Bank of Canada.
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    7. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
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  28. Ana M. Aizcorbe & Sharon Kozicki, 1995. "The comovement of output and labor productivity in aggregate data for auto assembly plants," Finance and Economics Discussion Series 95-33, Board of Governors of the Federal Reserve System (U.S.).

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  29. Sharon Kozicki, 1993. "Techniques for estimating dynamic comovement with an application to common international output fluctuations," Finance and Economics Discussion Series 93-32, Board of Governors of the Federal Reserve System (U.S.).

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    1. Calcagnini, Giorgio, 1995. "Common trends and common cycles in international labor productivity," Economics Letters, Elsevier, vol. 48(2), pages 179-184, May.
    2. Calcagnini, Giorgio & Travaglini, Giuseppe, 2014. "A time series analysis of labor productivity. Italy versus the European countries and the U.S," Economic Modelling, Elsevier, vol. 36(C), pages 622-628.

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    Cited by:

    1. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.

Articles

  1. Granziera, Eleonora & Kozicki, Sharon, 2015. "House price dynamics: Fundamentals and expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 152-165.
    See citations under working paper version above.
  2. Kozicki, Sharon, 2012. "Macro has progressed," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 23-28.

    Cited by:

    1. Bill Russell, 2013. "Macroeconomics: science or faith based discipline?," Dundee Discussion Papers in Economics 276, Economic Studies, University of Dundee.
    2. Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
    3. Olivier Gervais & Marc-André Gosselin, 2014. "Analyzing and Forecasting the Canadian Economy through the LENS Model," Technical Reports 102, Bank of Canada.

  3. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.

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    1. Markku Lanne & Jani Luoto, 2017. "A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 969-995, August.
    2. Stefano Eusepi & Marc P. Giannoni & Bruce Preston, 2017. "Some implications of learning for price stability," CAMA Working Papers 2017-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    4. James M. Nason & Gregor W. Smith, 2013. "Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts," Working Paper 1316, Economics Department, Queen's University.
    5. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
    6. Speck, Christian, 2016. "Inflation Anchoring in the Euro Area," VfS Annual Conference 2016 (Augsburg): Demographic Change 145697, Verein für Socialpolitik / German Economic Association.
    7. Timothy Cogley & Thomas J. Sargent, 2014. "Measuring Price-Level Uncertainty and Instability in the U.S., 1850-2012," Working Papers 2014-33, Economic Research Institute, Bank of Korea.
    8. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    9. Francesca Rondina, 2018. "Estimating unobservable inflation expectations in the New Keynesian Phillips Curve," Working Papers 1804E, University of Ottawa, Department of Economics.
    10. Behera, Harendra Kumar & Patra, Michael Debabrata, 2022. "Measuring trend inflation in India," Journal of Asian Economics, Elsevier, vol. 80(C).
    11. NAKAJIMA, Jouchi, 2023. "Estimation of firms' inflation expectations using the survey DI," Discussion Paper Series 749, Institute of Economic Research, Hitotsubashi University.
    12. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    13. Juan Angel Garcia & Aubrey Poon, 2018. "Trend Inflation and Inflation Compensation," IMF Working Papers 2018/154, International Monetary Fund.
    14. Paul Hubert & Harun Mirza, 2014. "Inflation expectation dynamics: the role of past present and forward looking information," Working Papers hal-03473828, HAL.
    15. Philippe Andrade & Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2013. "Fundamental disagreement," Staff Reports 655, Federal Reserve Bank of New York.
    16. García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
    17. Nathan Goldstein & Ben‐Zion Zilberfarb, 2023. "The closer we get, the better we are?," Economic Inquiry, Western Economic Association International, vol. 61(2), pages 364-376, April.
    18. Ken Miyajima & James Yetman, 2019. "Assessing inflation expectations anchoring for heterogeneous agents: analysts, businesses and trade unions," Applied Economics, Taylor & Francis Journals, vol. 51(41), pages 4499-4515, September.
    19. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    20. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
    21. Kaihatsu, Sohei & Nakajima, Jouchi, 2018. "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 69-83.
    22. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    23. Speck, Christian, 2017. "Inflation anchoring in the euro area," Working Paper Series 1998, European Central Bank.
    24. Christine Garnier & Elmar Mertens & Edward Nelson, 2015. "Trend Inflation in Advanced Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 65-136, September.
    25. Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 13 Oct 2017.
    26. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    27. Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    28. Joshua C C Chan & Yong Song, 2017. "Measuring inflation expectations uncertainty using high-frequency data," CAMA Working Papers 2017-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    29. Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.
    30. Ryan Niladri Banerjee & Aaron Mehrotra, 2018. "Deflation expectations," BIS Working Papers 699, Bank for International Settlements.
    31. Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Information rigidities and the news-adjusted output gap," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 1-17.
    32. Paul Hubert & Harun Mirza, 2019. "The role of forward- and backward-looking information for inflation expectations formation," Post-Print hal-03403616, HAL.
    33. Doh, Taeyoung & Smith, A. Lee, 2022. "A new approach to integrating expectations into VAR models," Journal of Monetary Economics, Elsevier, vol. 132(C), pages 24-43.
    34. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    35. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    36. James Yetman, 2018. "The perils of approximating fixed-horizon inflation forecasts with fixed-event forecasts," BIS Working Papers 700, Bank for International Settlements.
    37. Álvarez, Luis J. & Sánchez, Isabel, 2019. "Inflation projections for monetary policy decision making," Journal of Policy Modeling, Elsevier, vol. 41(4), pages 568-585.
    38. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    39. Mototsugu Shintani & Naoto Soma, 2020. "The Effects of QQE on Long-run Inflation Expectations in Japan," CARF F-Series CARF-F-494, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    40. Speck, Christian, 2016. "Inflation anchoring in the euro area," Discussion Papers 04/2016, Deutsche Bundesbank.
    41. Luis J. Álvarez & Isabel Sánchez, 2017. "A suite of inflation forecasting models," Occasional Papers 1703, Banco de España.
    42. Ren, Yi-Shuai & Klein, Tony & Jiang, Yong & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Dynamic spillovers among global oil shocks, economic policy uncertainty, and inflation expectation uncertainty under extreme shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    43. Cem Cakmakli & Hamza Demircan, 2020. "Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic," Koç University-TUSIAD Economic Research Forum Working Papers 2016, Koc University-TUSIAD Economic Research Forum.
    44. Knüppel, Malte & Vladu, Andreea L., 2016. "Approximating fixed-horizon forecasts using fixed-event forecasts," Discussion Papers 28/2016, Deutsche Bundesbank.
    45. Martin Feldkircher & Pierre L. Siklos, 2018. "Global inflation dynamics and inflation expectations," CAMA Working Papers 2018-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    46. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    47. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    48. Toshitaka Sekine & Frank Packer & Shunichi Yoneyama, 2022. "Individual Trend Inflation," Working Papers on Central Bank Communication 042, University of Tokyo, Graduate School of Economics.
    49. Kevin J. Lansing, 2019. "Endogenous Forecast Switching Near the Zero Lower Bound," Working Paper Series 2017-24, Federal Reserve Bank of San Francisco.
    50. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
    51. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    52. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    53. Hanoma, Ahmed & Nautz, Dieter, 2018. "The information content of inflation swap rates for the long-term inflation expectations of professionals: Evidence from a MIDAS analysis," Discussion Papers 2018/16, Free University Berlin, School of Business & Economics.

  4. Òscar Jordà & Sharon Kozicki, 2011. "Estimation And Inference By The Method Of Projection Minimum Distance: An Application To The New Keynesian Hybrid Phillips Curve," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(2), pages 461-487, May.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Yanping Chong & Òscar Jordà & Alan M. Taylor, 2012. "The Harrod–Balassa–Samuelson Hypothesis: Real Exchange Rates And Their Long‐Run Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 609-634, May.
    3. Amaze Lusompa, 2021. "Local Projections, Autocorrelation, and Efficiency," Research Working Paper RWP 21-01, Federal Reserve Bank of Kansas City.
    4. Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," Working Paper Series 2024-24, Federal Reserve Bank of San Francisco.
    5. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    6. Ke-Li Xu, 2023. "Local Projection Based Inference under General Conditions," CAEPR Working Papers 2023-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    7. Ruge-Murcia, Francisco, 2020. "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, vol. 197(C).
    8. Maio, Paulo & Xu, Danielle, 2020. "Cash-flow or return predictability at long horizons? The case of earnings yield," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 172-192.
    9. Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
    10. Giraitis, Liudas & Kapetanios, George & Theodoridis, Konstantinos & Yates, Tony, 2014. "Estimating time-varying DSGE models using minimum distance methods," Bank of England working papers 507, Bank of England.
    11. Ryan R. Brady, 2021. "Direct Forecasting for Applied Regional Analysis," Departmental Working Papers 67, United States Naval Academy Department of Economics.

  5. Sharon Kozicki & Eric Santor & Lena Suchanek, 2011. "Unconventional Monetary Policy: The International Experience with Central Bank Asset Purchases," Bank of Canada Review, Bank of Canada, vol. 2011(Spring), pages 13-25.

    Cited by:

    1. Bryane Michael, 2020. "Understanding the effects of growing central bank balance sheets on investment," Economic Affairs, Wiley Blackwell, vol. 40(3), pages 385-394, October.
    2. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2013. "The impact of unconventional monetary policy on the Italian economy during the sovereign debt crisis," Questioni di Economia e Finanza (Occasional Papers) 203, Bank of Italy, Economic Research and International Relations Area.
    3. Haldane, Andrew & Roberts-Sklar, Matt & Wieladek, Tomasz & Young, Chris, 2016. "QE: The Story so far," Bank of England working papers 624, Bank of England.
    4. Carlos De Resende & Claudia Godbout & René Lalonde & Eric Morin & Nikita Perevalov, 2012. "On the Adjustment of the Global Economy," Bank of Canada Review, Bank of Canada, vol. 2012(Spring), pages 1-15.
    5. Arteta,Carlos & Kose,Ayhan & Stocker,Marc & Taskin,Temel, 2016. "Negative interest rate policies : sources and implications," Policy Research Working Paper Series 7791, The World Bank.
    6. Richhild Moessner, 2014. "Effects of explicit FOMC policy-rate guidance on equities and risk measures," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2139-2153, June.
    7. Afonso, António & Gonçalves, Luis, 2020. "The policy mix in the US and EMU: Evidence from a SVAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    8. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    9. Leo Krippner, 2012. "Modifying Gaussian term structure models when interest rates are near the zero lower bound," Reserve Bank of New Zealand Discussion Paper Series DP2012/02, Reserve Bank of New Zealand.
    10. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    11. Manganelli, Simone & Idier, Julien & Vergote, Olivier & Ghysels, Eric, 2014. "A high frequency assessment of the ECB securities markets programme," Working Paper Series 1642, European Central Bank.
    12. Gomis-Porqueras Pedro & Rafiq Shuddhasattwa & Yao Wenying, 2023. "The impact of forward guidance and large-scale asset purchase programs on commodity markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 519-551, September.
    13. Mr. Shaun K. Roache & Mrs. Marina V Rousset, 2013. "Unconventional Monetary Policy and Asset Price Risk," IMF Working Papers 2013/190, International Monetary Fund.
    14. Harriet Jackson, 2015. "The International Experience with Negative Policy Rates," Discussion Papers 15-13, Bank of Canada.
    15. Joyce, Michael, 2012. "Quantitative easing and other unconventional monetary policies: Bank of England conference summary," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 48-56.
    16. Karyne B. Charbonneau & Lori Rennison, 2015. "Forward Guidance at the Effective Lower Bound: International Experience," Discussion Papers 15-15, Bank of Canada.
    17. Oleksiy Kryvtsov & Rhys R. Mendes, 2015. "The Optimal Level of the Inflation Target: A Selective Review of the Literature and Outstanding Issues," Discussion Papers 15-8, Bank of Canada.
    18. Ms. Margaux MacDonald & Michał Ksawery Popiel, 2017. "Unconventional Monetary Policy in a Small Open Economy," IMF Working Papers 2017/268, International Monetary Fund.
    19. Robert Lavigne & Rhys R. Mendes & Subrata Sarker, 2012. "Inflation Targeting: The Recent International Experience," Bank of Canada Review, Bank of Canada, vol. 2012(Spring), pages 16-28.
    20. Sharon Kozicki & Eric Santor & Lena Suchanek, 2015. "Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects," Staff Working Papers 15-21, Bank of Canada.
    21. Tatjana Dahlhaus & Kristina Hess & Abeer Reza, 2014. "International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada," Staff Working Papers 14-43, Bank of Canada.
    22. Steven Ambler, 2016. "Toward the Next Renewal of the Inflation-Control Agreement: Questions Facing the Bank of Canada," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 453, July.
    23. Vikram Rai & Lena Suchanek, 2014. "The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets," Staff Working Papers 14-50, Bank of Canada.
    24. Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae, 2013. "Unconventional Monetary Policy of the ECB during the Financial Crisis: An Assessment and New Evidence," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 4, pages 117-156, SUERF - The European Money and Finance Forum.
    25. Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2016. "ECB Unconventional Monetary Policy and the Italian Economy during the Sovereign Debt Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 269-315, June.
    26. Abeer Reza & Eric Santor & Lena Suchanek, 2015. "Quantitative Easing as a Policy Tool Under the Effective Lower Bound," Discussion Papers 15-14, Bank of Canada.
    27. Giscard ASSOUMOU ELLA & Cécile BASTIDON & Philippe GILLES, 2014. "International Prices, Monetary And Income Shocks: A Svar Model Of The External Trade Channel In African Economies," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 85-116, December.
    28. Michael S. Miller & Jin W. Choi, 2014. "The Effectiveness of the Federal Funds Rate as the U.S. Monetary Policy Tool Before, During and After the Great Recession," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 37-58.

  6. Russell Barnett & Sharon Kozicki & Christopher Petrinec, 2009. "Parsing shocks: real-time revisions to gap and growth projections for Canada," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 247-266.

    Cited by:

    1. Antonio Fatás & Sanjay R. Singh, 2022. "Supply or Demand? Policy Makers' Confusion in the Presence of Hysteresis," Working Papers 347, University of California, Davis, Department of Economics.
    2. Dan Armeanu & Georgiana Camelia Crețan & Leonard Lache & Mihaela Mitroi, 2015. "Estimating Potential GDP for the Romanian Economy and Assessing the Sustainability of Economic Growth: A Multivariate Filter Approach," Sustainability, MDPI, vol. 7(3), pages 1-21, March.
    3. Patrick Blagrave & Marika Santoro, 2016. "Estimating Potential Output in Chile: A Multivariate Filter for Mining and Non-Mining Sectors," IMF Working Papers 2016/201, International Monetary Fund.
    4. Julien Champagne & Guillaume Poulin‐Bellisle & Rodrigo Sekkel, 2018. "The Real‐Time Properties of the Bank of Canada's Staff Output Gap Estimates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1167-1188, September.

  7. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.

    Cited by:

    1. Michael D. Bordo & Pierre L. Siklos, 2015. "Central Bank Credibility: An Historical and Quantitative Exploration," NBER Working Papers 20824, National Bureau of Economic Research, Inc.
    2. Coibion, Olivier & Gorodnichenko, Yuriy & Kueng, Lorenz & Silvia, John, 2012. "Innocent Bystanders? Monetary Policy and Inequality in the U.S," IZA Discussion Papers 6633, Institute of Labor Economics (IZA).
    3. Rehman, Mubeen Abdur & Irfan, Muhammad & Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara, 2023. "Macro-financial implications of central bank digital currencies," Research in International Business and Finance, Elsevier, vol. 64(C).
    4. Lutz Kilian & Logan T. Lewis, 2011. "Does the Fed Respond to Oil Price Shocks?," Economic Journal, Royal Economic Society, vol. 121(555), pages 1047-1072, September.
    5. Nikolsko-Rzhevskyy, Alex & Papell, David H., 2012. "Taylor rules and the Great Inflation," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 903-918.
    6. Michael Bordo & Pierre Siklos, 2014. "Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective," NBER Working Papers 20693, National Bureau of Economic Research, Inc.
    7. Ron Alquist & Olivier Coibion, 2014. "Commodity Price Co-Movement and Global Economic Activity," Staff Working Papers 14-32, Bank of Canada.
    8. Huang, Yu-Fan, 2015. "Time variation in U.S. monetary policy and credit spreads," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 205-215.
    9. Olivier Coibion & Yuriy Gorodnichenko, 2008. "Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation," NBER Working Papers 14621, National Bureau of Economic Research, Inc.
    10. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.
    11. Benjamin D. Keen & Evan F. Koenig, 2018. "How Robust Are Popular Models of Nominal Frictions?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1299-1342, September.
    12. Hongyi Chen & Pierre Siklos, 2022. "Central bank digital currency: A review and some macro-financial implications," CAMA Working Papers 2022-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Zamarripa, Rene, 2021. "Estimating the Bank of Mexico’s reaction function in the last three decades: A Bayesian DSGE approach with rolling-windows," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    14. Marcelo Arbex & Sidney Caetano & Wilson Correa, 2018. "Macroeconomic Effects of Inflation Target Uncertainty Shocks," Working Papers 1804, University of Windsor, Department of Economics.
    15. Burton A. Abrams & James L. Butkiewicz, 2012. "The Political Business Cycle: New Evidence from the Nixon Tapes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 385-399, March.
    16. Olivier Coibion & Yuriy Gorodnichenko, 2011. "Why Are Target Interest Rate Changes So Persistent?," NBER Working Papers 16707, National Bureau of Economic Research, Inc.
    17. Riccardo DiCecio & Edward Nelson, 2013. "The Great Inflation in the United States and the United Kingdom: Reconciling Policy Decisions and Data Outcomes," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 393-438, National Bureau of Economic Research, Inc.
    18. Qazi Haque, 2017. "Monetary Policy, Inflation Target and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-13, University of Adelaide, School of Economics and Public Policy.
    19. Qazi Haque, 2017. "Monetary Policy, Target Inflation and the Great Moderation: An Empirical Investigation," School of Economics and Public Policy Working Papers 2017-10, University of Adelaide, School of Economics and Public Policy.
    20. Mr. Ron Alquist & Mr. Olivier Coibion, 2013. "The Comovement in Commodity Prices: Sources and Implications," IMF Working Papers 2013/140, International Monetary Fund.
    21. Coibion, Olivier & Gorodnichenko, Yuriy & Kueng, Lorenz & Silvia, John, 2017. "Innocent Bystanders? Monetary policy and inequality," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 70-89.

  8. Kozicki, Sharon & Tinsley, P.A., 2008. "Term structure transmission of monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 71-92, March.
    See citations under working paper version above.
  9. Sharon Kozicki & P. Tinsley, 2006. "Minding the Gap: Central Bank Estimates of the Unemployment Natural Rate," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 295-327, May.
    See citations under working paper version above.
  10. Clark, Todd E. & Kozicki, Sharon, 2005. "Estimating equilibrium real interest rates in real time," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 395-413, December.
    See citations under working paper version above.
  11. Kozicki, Sharon & Tinsley, P.A., 2005. "What do you expect? Imperfect policy credibility and tests of the expectations hypothesis," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 421-447, March.
    See citations under working paper version above.
  12. Kozicki, Sharon & Tinsley, P.A., 2005. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1985-2015, November.
    See citations under working paper version above.
  13. Sharon Kozicki & Gordon H. Sellon, 2005. "Longer-term perspectives on the yield curve and monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-33.

    Cited by:

    1. Gab-Je Jo, 2024. "Analysis of Long-Term Bond Yields Using Deviations from Covered Interest Rate Parity," JRFM, MDPI, vol. 17(3), pages 1-15, March.
    2. Moura, Marcelo L. & Gaião, Rafael Ladeira, 2012. "Impact of macroeconomic surprises on the brazilian yield curve and expected inflation," Insper Working Papers wpe_288, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    3. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
    4. Edward N Gamber & Julie K Smith, 2020. "Monetary policy and the yield curve," Economics Bulletin, AccessEcon, vol. 40(1), pages 407-424.
    5. Bandholz, Harm & Clostermann, Jörg & Seitz, Franz, 2007. "Explaining the US bond yield conundrum," Weidener Diskussionspapiere 2, University of Applied Sciences Amberg-Weiden (OTH).
    6. Aranha, Marcel Z. & Moura, Marcelo L., 2009. "The impact of monetary policy on the yield curve in the Brazilian economy," Insper Working Papers wpe_167, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    7. Modena, Matteo, 2008. "Yield curve, time varying term premia, and business cycle fluctuations," MPRA Paper 8873, University Library of Munich, Germany.
    8. Goda, Thomas & Lysandrou, Photis & Stewart, Chris, 2013. "The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 113-136.

  14. Sharon Kozicki, 2004. "How do data revisions affect the evaluation and conduct of monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, vol. 89(Q I), pages 5-38.

    Cited by:

    1. Lavan Mahadeva & Alex Muscatelli, 2005. "National Accounts Revisions and Output Gap Estimates in a Model of Monetary Policy with Data Uncertainty," Discussion Papers 14, Monetary Policy Committee Unit, Bank of England.
    2. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    3. Soojin Jo & Lilia Karnizova & Abeer Reza, 2017. "Industry Effects of Oil Price Shocks: Re-Examination," Working Papers 1710, Federal Reserve Bank of Dallas.
    4. Givens, Gregory & Salemi, Michael, 2012. "Inferring monetary policy objectives with a partially observed state," MPRA Paper 39353, University Library of Munich, Germany.
    5. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    6. Fabrizio Zampolli & Andrew Blake, 2005. "Time Consistent Policy in Markov Switching Models," Money Macro and Finance (MMF) Research Group Conference 2005 2, Money Macro and Finance Research Group.
    7. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    8. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
    9. Marcela Meirelles Aurelio, 2005. "Do we really know how inflation targeters set interest rates?," Research Working Paper RWP 05-02, Federal Reserve Bank of Kansas City.
    10. Bernhardsen, Tom & Eitrheim, Øyvind & Jore, Anne Sofie & Røisland, Øistein, 2004. "Real-time Data for Norway: Challenges for Monetary Policy," Discussion Paper Series 1: Economic Studies 2004,26, Deutsche Bundesbank.
    11. Felipe Morandé Lavín & Mauricio Tejada, 2008. "Sources of Uncertainty for Conducting Monetary Policy in Chile," Working Papers wp285, University of Chile, Department of Economics.
    12. Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers 298, Bank of England.
    13. Todd E. Clark & Taisuke Nakata, 2006. "The trend growth rate of employment : past, present, and future," Economic Review, Federal Reserve Bank of Kansas City, vol. 91(Q I), pages 43-85.
    14. Stefano Neri & Tiziano Ropele, 2012. "Imperfect Information, Real‐Time Data and Monetary Policy in the Euro Area," Economic Journal, Royal Economic Society, vol. 122(561), pages 651-674, June.
    15. Todd E. Clark & Sharon Kozicki, 2004. "Estimating equilibrium real interest rates in real time," Research Working Paper RWP 04-08, Federal Reserve Bank of Kansas City.
    16. Yoosoon Chang & Boreum Kwak, 2017. "U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules," CAEPR Working Papers 2017-016, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    17. Ásgeir Daníelsson, 2008. "Accuracy in forecasting macroeconomic variables in Iceland," Economics wp39, Department of Economics, Central bank of Iceland.
    18. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
    19. Richard G. Anderson & Charles S. Gascon, 2009. "Estimating U.S. output growth with vintage data in a state-space framework," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 349-370.
    20. Marc-André Gosselin & Temel Taskin, 2023. "What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?," Discussion Papers 2023-13, Bank of Canada.
    21. Blake, Andrew P. & Zampolli, Fabrizio, 2011. "Optimal policy in Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1626-1651, October.

  15. Kozicki, Sharon & Hoffman, Barak, 2004. "Rounding Error: A Distorting Influence on Index Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 319-338, June.

    Cited by:

    1. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series) 1227, Federal Reserve Bank of Cleveland.
    3. Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea, 2021. "Nowcasting Tail Risk to Economic Activity at a Weekly Frequency," CEPR Discussion Papers 16496, C.E.P.R. Discussion Papers.
    4. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    5. Nelson, Edward, 2008. "Ireland and Switzerland: The jagged edges of the Great Inflation," European Economic Review, Elsevier, vol. 52(4), pages 700-732, May.
    6. Sharon Kozicki & P. A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Staff Working Papers 06-46, Bank of Canada.
    7. Baoxue Zhang & Tianqing Liu & Z. Bai, 2010. "Analysis of rounded data from dependent sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1143-1173, December.
    8. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.
    9. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.
    10. Marco Ercolani, 2010. "Transitional price rises with the adoption of the euro: aggregate and disaggregate sector evidence," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 13(2), pages 137-157.
    11. Jeremy M. Piger & Robert H. Rasche, 2006. "Inflation: do expectations trump the gap?," Working Papers 2006-013, Federal Reserve Bank of St. Louis.
    12. Münnix, Michael C. & Schäfer, Rudi & Guhr, Thomas, 2010. "Impact of the tick-size on financial returns and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4828-4843.

  16. Kozicki, Sharon & Tinsley, P. A., 2002. "Dynamic specifications in optimizing trend-deviation macro models," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1585-1611, August.
    See citations under working paper version above.
  17. Kozicki, Sharon, 2002. "Comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 541-557, December.

    Cited by:

    1. Tierney, Heather L.R., 2009. "A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data," MPRA Paper 13383, University Library of Munich, Germany, revised 03 Feb 2009.
    2. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    3. Tierney, Heather L.R., 2010. "Real-Time Data Revisions and the PCE Measure of Inflation," MPRA Paper 22387, University Library of Munich, Germany, revised Apr 2010.
    4. Tierney, Heather L.R., 2009. "Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data," MPRA Paper 17856, University Library of Munich, Germany.
    5. Heinisch Katja & Scheufele Rolf, 2019. "Should Forecasters Use Real-Time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence," German Economic Review, De Gruyter, vol. 20(4), pages 170-200, December.
    6. Carmona, Carlos Capistran, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," University of California at San Diego, Economics Working Paper Series qt6v28v0b6, Department of Economics, UC San Diego.
    7. Heather L. R. Tierney, 2012. "Examining the ability of core inflation to capture the overall trend of total inflation," Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 493-514, February.
    8. Tara M. Sinclair & H.O. Stekler, 2011. "Differences in Early GDP Component Estimates Between Recession and Expansion," Working Papers 2011-05, The George Washington University, Institute for International Economic Policy.
    9. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
    10. Heinisch, Katja, 2016. "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," VfS Annual Conference 2016 (Augsburg): Demographic Change 145864, Verein für Socialpolitik / German Economic Association.

  18. Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, vol. 86(Q III), pages 5-42.

    Cited by:

    1. David Longworth, 2003. "Money in the Bank (of Canada)," Technical Reports 93, Bank of Canada.
    2. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
    3. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    4. Henry Muganza Ngongo, 2015. "Les indicateus avancés de l'inflation en RDCongo," Post-Print hal-01202369, HAL.
    5. Henry Ngongo, 2015. "Les indicateus avanc\'es de l'inflation en RDCongo," Papers 1509.06504, arXiv.org.
    6. Michael Berlemann & Forrest Nelson, 2005. "Forecasting Inflation via Experimental Stock Markets Some Results from Pilot Markets," ifo Working Paper Series 10, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

  19. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
    See citations under working paper version above.
  20. Kozicki, Sharon & Tinsley, P. A., 2001. "Term structure views of monetary policy under alternative models of agent expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 149-184, January.

    Cited by:

    1. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    2. Sharon Kozicki & Peter A. Tinsley, 2005. "Minding the gap : central bank estimates of the unemployment natural rate," Research Working Paper RWP 05-03, Federal Reserve Bank of Kansas City.
    3. Sharon Kozicki & Peter A. Tinsley, 2001. "What do you expect? : imperfect policy credibility and tests of the expectations hypothesis?," Research Working Paper RWP 01-02, Federal Reserve Bank of Kansas City.
    4. Orphanides, Athanasios & Wei, Min, 2012. "Evolving macroeconomic perceptions and the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 239-254.
    5. Aoki, Kosuke & Kimura, Takeshi, 2007. "Uncertainty about perceived inflation target and monetary policy," Discussion Paper Series 1: Economic Studies 2007,18, Deutsche Bundesbank.
    6. Manuel Gonzalez-Astudillo & Jean-Philippe Laforte, 2020. "Estimates of r* Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy," Finance and Economics Discussion Series 2020-085, Board of Governors of the Federal Reserve System (U.S.).
    7. Todd E. Clark & Saeed Zaman, 2013. "Forecasting implications of the recent decline in inflation," Economic Commentary, Federal Reserve Bank of Cleveland, issue Nov.
    8. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    9. Shujaat Khan & Edward S. Knotek, 2014. "Drifting Inflation Targets and Monetary Stagflation," Working Papers (Old Series) 1426, Federal Reserve Bank of Cleveland.
    10. Athanasios Orphanides & John C. Williams, 2007. "Inflation targeting under imperfect knowledge," Economic Review, Federal Reserve Bank of San Francisco, pages 1-23.
    11. Hans M. Amman & David A. Kendrick, 2003. "A Classification System for Economic Stochastic Control Models," Computing in Economics and Finance 2003 114, Society for Computational Economics.
    12. Sharon Kozicki & Peter A. Tinsley, 2002. "Alternative sources of the lag dynamics of inflation," Research Working Paper RWP 02-12, Federal Reserve Bank of Kansas City.
    13. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
    14. Emanuel Kopp & Peter D. Williams, 2018. "A Macroeconomic Approach to the Term Premium," IMF Working Papers 2018/140, International Monetary Fund.
    15. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
    16. Orphanides, Athanasios & Williams, John C, 2005. "Inflation Scares and Forecast-Based Monetary Policy," CEPR Discussion Papers 4844, C.E.P.R. Discussion Papers.
    17. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, vol. 102(1), pages 222-232, October.
    18. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    19. Machava, Agostinho & Brännäs, Kurt, 2015. "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies 918, Umeå University, Department of Economics.
    20. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
    21. Peter Hooper & Frederic S. Mishkin & Amir Sufi, 2019. "Prospects for Inflation in a High Pressure Economy: Is the Phillips Curve Dead or is It Just Hibernating?," NBER Working Papers 25792, National Bureau of Economic Research, Inc.
    22. Bharat Trehan & Tao Wu, 2004. "Time varying equilibrium real rates and monetary policy analysis," Working Paper Series 2004-10, Federal Reserve Bank of San Francisco.
    23. Sharon Kozicki & P. A. Tinsley, 2012. "Effective Use of Survey Information in Estimating the Evolution of Expected Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, February.
    24. Takeshi Kimura & Kosuke Aoki, 2009. "Central Bank's Two-Way Communication with the Public and Inflation Dynamics," 2009 Meeting Papers 108, Society for Economic Dynamics.
    25. Christopher J. Gust & Edward P. Herbst & J. David López-Salido, 2020. "Short-term Planning, Monetary Policy, and Macroeconomic Persistence," Finance and Economics Discussion Series 2020-003, Board of Governors of the Federal Reserve System (U.S.).
    26. Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
    27. Hooper, Peter & Mishkin, Frederic S. & Sufi, Amir, 2020. "Prospects for inflation in a high pressure economy: Is the Phillips curve dead or is it just hibernating?," Research in Economics, Elsevier, vol. 74(1), pages 26-62.
    28. Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
    29. Marcelo Arbex & Sidney Caetano & Wilson Correa, 2018. "Macroeconomic Effects of Inflation Target Uncertainty Shocks," Working Papers 1804, University of Windsor, Department of Economics.
    30. Michael T. Kiley, 2014. "The Aggregate Demand Effects of Short- and Long-Term Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 69-104, December.
    31. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
    32. Sharon Kozicki & P. A. Tinsley, 2007. "Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation," Staff Working Papers 07-19, Bank of Canada.
    33. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Bank of Finland Research Discussion Papers 12/2004, Bank of Finland.
    34. Richard L. Johnson, 2001. "Fiscal reaction rules in numerical macro models," Research Working Paper RWP 01-01, Federal Reserve Bank of Kansas City.
    35. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
    36. Chi-Young Choi & Joo Yong Lee & Róisín O'Sullivan, 2015. "Monetary Policy Regime Change and Regional Inflation Dynamics: Looking through the Lens of Sector-Level Data for Korea," Working Papers 2015-20, Economic Research Institute, Bank of Korea.
    37. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    38. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
    39. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April.
    40. Sharon Kozicki & Peter A. Tinsley, 2001. "Dynamic specifications in optimizing trend-deviation macro models," Research Working Paper RWP 01-03, Federal Reserve Bank of Kansas City.
    41. Sharon Kozicki & Peter A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City.
    42. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    43. Gerlach-Kristen, Petra, 2003. "Interest rate reaction functions and the Taylor rule in the euro area," Working Paper Series 258, European Central Bank.
    44. Sharon Kozicki & Peter A. Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City.
    45. Marc Tomljanovich, 2007. "Does Central Bank Transparency Impact Financial Markets? A Cross‐Country Econometric Analysis," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 791-813, January.
    46. Kevin Moran, 2005. "Learning and the Welfare Implications of Changing Inflation Targets," Cahiers de recherche 0511, CIRPEE.
    47. James A. Clouse & Dale W. Henderson & Athanasios Orphanides & David H. Small & Peter A. Tinsley, 2000. "Monetary policy when the nominal short-term interest rate is zero," Finance and Economics Discussion Series 2000-51, Board of Governors of the Federal Reserve System (U.S.).
    48. Saeed Zaman, 2013. "Improving inflation forecasts in the medium to long term," Economic Commentary, Federal Reserve Bank of Cleveland, issue Nov.
    49. Berument, Hakan & Froyen, Richard T., 2006. "Monetary policy and long-term US interest rates," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 737-751, December.
    50. Edward S. Knotek & Saeed Zaman, 2013. "When Might the Federal Funds Rate Lift Off? Computing the Probabilities of Crossing Unemployment and Inflation Thresholds," Economic Commentary, Federal Reserve Bank of Cleveland, issue Dec.
    51. Kozicki, Sharon & Tinsley, P.A., 2009. "Perhaps the 1970s FOMC did what it said it did," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 842-855, September.
    52. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    53. Kim Chang-Jin & Kim Yunmi, 2008. "Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-20, September.
    54. Edward S. Knotek & Saeed Zaman, 2014. "The Slowdown in Residential Investment and Future Prospects," Economic Commentary, Federal Reserve Bank of Cleveland, issue May.
    55. Choi, Chi-Young & O'Sullivan, Róisín, 2013. "Heterogeneous response of disaggregate inflation to monetary policy regime change: The role of price stickiness," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1814-1832.
    56. Donald Coletti, 2023. "A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models," Discussion Papers 2023-23, Bank of Canada.
    57. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.

  21. Sharon Kozicki, 1999. "How useful are Taylor rules for monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q II), pages 5-33.

    Cited by:

    1. Charles T. Carlstrom & Timothy S. Fuerst & Fabio Ghironi, 2002. "Does it matter (for equilibrium determinacy) what price index the central bank targets?," Working Papers (Old Series) 0202, Federal Reserve Bank of Cleveland.
    2. Robert L. Hetzel, 2000. "The Taylor rule : is it a useful guide to understanding monetary policy?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 1-33.
    3. Huang, Kevin X.D. & Meng, Qinglai & Xue, Jianpo, 2009. "Is forward-looking inflation targeting destabilizing? The role of policy's response to current output under endogenous investment," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 409-430, February.
    4. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
    5. Jay H. Levin, 2004. "A model of inflation targeting in an open economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 347-362.
    6. Lars E.O. Svensson, 2002. "What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules," Working Papers 118, Princeton University, Department of Economics, Center for Economic Policy Studies..
    7. Wallace, Frederick H. & Shelley, Gary L. & Cabrera Castellanos, Luis Fernando, 2004. "Pruebas de la neutralidad monetaria a largo plazo. El caso de Nicaragua," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(283), pages 613-624, julio-sep.
    8. Castelnuovo, Efrem, 2003. "Describing the Fed's conduct with Taylor rules: is interest rate smoothing important?," Working Paper Series 232, European Central Bank.
    9. Charles T. Carlstrom & Timothy S. Fuerst, 2008. "Inertial Taylor rules: the benefit of signaling future policy," Review, Federal Reserve Bank of St. Louis, vol. 90(May), pages 193-203.
    10. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
    11. Gokcen Ogruk, 2014. "Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 909-919.
    12. Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
    13. Luis Mario Hernández Acevedo, 2004. "Señales de política monetaria y tasas de interés en México," Monetaria, CEMLA, vol. 0(4), pages 343-367, octubre-d.
    14. Dramani, Latif & Laye, Oumy, 2007. "Estimation of the Equilibrium Interest Rate: Case of CFA zone," MPRA Paper 3610, University Library of Munich, Germany.
    15. Benigno, Gianluca, 2004. "Real exchange rate persistence and monetary policy rules," Journal of Monetary Economics, Elsevier, vol. 51(3), pages 473-502, April.
    16. Mario Blejer & Alfredo Leone & Pau Rabanal & Gerd Schwartz, 2002. "Inflation Targeting in the Context of IMF-Supported Adjustment Programs," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Raimundo Soto & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series Editor) (ed.),Inflation Targeting: Desing, Performance, Challenges, edition 1, volume 5, chapter 10, pages 439-464, Central Bank of Chile.
    17. Carey Kevin, 2001. "Testing for Stabilizing Monetary Policy Rules: How Robust to Alternative Specifications?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 1(1), pages 1-18, September.
    18. Wasim Shahid Malik & Ather Maqsood Ahmed, 2010. "Taylor Rule and the Macroeconomic Performance in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 49(1), pages 37-56.
    19. Karlyn Mitchell & Douglas Pearce, 2010. "Do Wall Street economists believe in Okun’s Law and the Taylor Rule?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 196-217, April.
    20. Stephan Sauer & Jan-Egbert Sturm, 2003. "Using Taylor Rules to Understand ECB Monetary Policy," CESifo Working Paper Series 1110, CESifo.
    21. David Shepherd & Rebeca I. Muñoz Torres & George Saridakis, 2019. "Monetary policy rules with PID control features: evidence from the UK, USA and EU," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 737-755, November.
    22. Michael R. Pakko, 2005. "On the Information Content of Asymmetric FOMC Policy Statements: Evidence From a Taylor-Rule Perspective," Economic Inquiry, Western Economic Association International, vol. 43(3), pages 558-569, July.
    23. F Alexandre & P Bacao, 2006. "Investment and Non-fundamental Movements in Asset Prices: is there a role for monetary policy?," Economic Issues Journal Articles, Economic Issues, vol. 11(1), pages 65-95, March.
    24. Kenneth N. Kuttner & Adam S. Posen, 2003. "The Difficulty of Discerning What's Too Tight: Taylor Rules and Japanese Monetary Policy," Working Paper Series WP03-10, Peterson Institute for International Economics.
    25. Bennett T. McCallum, 2000. "Alternative Monetary Policy Rules: A Comparison with Historical Settings for the United States, the United Kingdom, and Japan," NBER Working Papers 7725, National Bureau of Economic Research, Inc.
    26. Lars E.O. Svensson, 2005. "Monetary Policy with Judgment: Forecast Targeting," NBER Working Papers 11167, National Bureau of Economic Research, Inc.
    27. Kerry B. Hudson & Joaquin L. Vespignani, 2014. "Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia," CAMA Working Papers 2014-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    28. Glenn D. Rudebusch, 2001. "Term structure evidence on interest rate smoothing and monetary policy inertia," Working Paper Series 2001-02, Federal Reserve Bank of San Francisco.
    29. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
    30. Alina Carare & Robert Tchaidze, 2008. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," Working Papers 006-08, International School of Economics at TSU, Tbilisi, Republic of Georgia.
    31. Hartmann, Daniel, 2001. "Taylor-Regel und amerikanische Geldpolitik," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 17/2001, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
    32. Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
    33. Efrem Castelnuovo, 2003. "Taylor Rules and Interest Rate Smoothing in the US and EMU," Macroeconomics 0303002, University Library of Munich, Germany.
    34. Patrick Lünnemann & Abdelaziz Rouabah, 2003. "Règle de Taylor: estimation et interprétation pour la zone euro et pour le Luxembourg," BCL working papers 9, Central Bank of Luxembourg.
    35. Heidari, Hassan, 2010. "An Estimated Small Open Economy New-Keynesian Model of the Australian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 7-15, December.
    36. Leon, Costas, 2006. "The Taylor rule: can it be supported by the data?," MPRA Paper 1650, University Library of Munich, Germany.
    37. Charles T. Carlstrom & Timothy S. Fuerst, 2005. "Oil prices, monetary policy, and the macroeconomy," Policy Discussion Papers, Federal Reserve Bank of Cleveland, issue Apr.
    38. Łukasz Goczek & Karol Partyka, 2016. "Reakcja polityki pieniężnej na wydarzenia giełdowe," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 27-50.
    39. Sousa, Pedro, 2009. "Do ECB Council Decisions represent always a Real Euro Consensus?," Working Papers 9/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    40. Ronny Mazzocchi, 2013. "Monetary Policy when the NAIRI is unknown: The Fed and the Great Deviation," DEM Discussion Papers 2013/16, Department of Economics and Management.
    41. Sharon Kozicki, 2004. "¿De qué forma afectan las revisiones de datos a la evaluación y conducción de la política monetaria?," Monetaria, CEMLA, vol. 0(4), pages 369-405, octubre-d.
    42. Rageh, Rania, 2010. "Interest rate rule for the conduct of monetary policy: analysis for Egypt (1997:2007)," MPRA Paper 26639, University Library of Munich, Germany.
    43. Sharon Kozicki & Peter A. Tinsley, 2003. "Permanent and transitory policy shocks in an empirical macro model with asymmetric information," Research Working Paper RWP 03-09, Federal Reserve Bank of Kansas City.
    44. Carmen Díaz Roldán & Alberto Montero Soler, 2001. "Las reglas de política monetaria en la actuación del Banco de España 1978-1998," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0106, Departamento de Economía - Universidad Pública de Navarra.
    45. Sharon Kozicki, 2004. "How do data revisions affect the evaluation and conduct of monetary policy?," Economic Review, Federal Reserve Bank of Kansas City, vol. 89(Q I), pages 5-38.
    46. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
    47. Saloua Nassima Chaouche & Rachid Toumach, 2016. "Taylor Rules and the interest rate behavior in Algeria," Proceedings of International Academic Conferences 4106716, International Institute of Social and Economic Sciences.
    48. Charles Harvie & Hyeon‐Seung Huh, 2009. "A New Measure Of Us Potential Output, Inflation Forecasts, And Monetary Policy Rules," Manchester School, University of Manchester, vol. 77(5), pages 611-631, September.
    49. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    50. Auray, Stéphane & Fève, Patrick, 2008. "On the observational (non)equivalence of money growth and interest rate rules," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 801-816, September.
    51. Kozicki, Sharon, 2002. "Comments on 'Forecasting with a real-time data set for macroeconomists'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 541-557, December.
    52. Sharon Kozicki & Peter A. Tinsley, 2002. "Term premia : endogenous constraints on monetary policy," Research Working Paper RWP 02-07, Federal Reserve Bank of Kansas City.
    53. William T. Gavin & Finn E. Kydland, 2000. "The nominal facts and the October 1979 policy change," Review, Federal Reserve Bank of St. Louis, vol. 82(Nov), pages 39-61.
    54. Cinzia Alcidi & Alessandro Flamini & Andrea Fracasso, 2011. "Policy Regime Changes, Judgment and Taylor rules in the Greenspan Era," Economica, London School of Economics and Political Science, vol. 78(309), pages 89-107, January.
    55. Hounyo, Ulrich & Lahiri, Kajal, 2023. "Estimating the variance of a combined forecast: Bootstrap-based approach," Journal of Econometrics, Elsevier, vol. 232(2), pages 445-468.
    56. Andrés Felipe Giraldo Palomino, 2008. "Aversión a la inflación y regla de Taylor en Colombia 1994-2005," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, December.
    57. Bill Dupor & Timothy Conley, 2004. "The Fed Response to Equity Prices and Inflation," American Economic Review, American Economic Association, vol. 94(2), pages 24-28, May.
    58. Honoré Sèwanoudé HOUNGBEDJI, 2022. "Non linéarité de la fonction de réaction de la Banque centrale des Etats de l’Afrique de l’Ouest," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 56, pages 133-157.
    59. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94.
    60. Carmen Díaz Roldán & Alberto Montero Soler, 2004. "How useful are monetary policy rules to deal with inflation: The Spanish case," Economic Working Papers at Centro de Estudios Andaluces E2004/63, Centro de Estudios Andaluces.
    61. Carlstrom, Charles T. & Fuerst, Timothy S., 2006. "Oil Prices, Monetary Policy, and Counterfactual Experiments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1945-1958, October.
    62. Pierdzioch, Christian & Kamps, Christophe, 2002. "Geldpolitik und vorausschauende Taylor-Regeln: Theorie und Empirie am Beispiel der Deutschen Bundesbank," Kiel Working Papers 1089, Kiel Institute for the World Economy (IfW Kiel).
    63. Claudia Arguedas Gonzales, 2004. "Las tasas de interés en moneda nacional y la inflación: una revisión de la Hipótesis de Fisher para Bolivia," Monetaria, CEMLA, vol. 0(4), pages 325-341, octubre-d.
    64. Wei, Xiaoyun & Li, Jie & Han, Liyan, 2020. "Optimal targeted reduction in reserve requirement ratio in China," Economic Modelling, Elsevier, vol. 85(C), pages 1-15.
    65. Ullrich, Katrin, 2003. "A Comparison Between the Fed and the ECB: Taylor Rules," ZEW Discussion Papers 03-19, ZEW - Leibniz Centre for European Economic Research.
    66. Kevin Lee, James Morley and Kalvinder Sheields, 2011. "The Meta Taylor Rule," Department of Economics - Working Papers Series 1131, The University of Melbourne.
    67. Robert Tchaidze, 2002. "Greenspan and the Greenbook," Economics Working Paper Archive 472, The Johns Hopkins University,Department of Economics.
    68. Joe Haslag & R.W. Hafer & Garett Jones, 2003. "The Effect of Monetary Policy on Economic Output," Working Papers 0311, Department of Economics, University of Missouri.
    69. utku altunöz, 2022. "Describing of central banks’ monetary policy in the context to linear and nonlinear taylor rule: the case of Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4641-4662, December.
    70. Fritsche, Ulrich, 2006. "Ergebnisse der ökonometrischen Untersuchung zum Forschungsprojekt Wirtschaftspolitische Regime westlicher Industrienationen," Working Papers 24, Berlin School of Economics and Law, Institute of Management Berlin (IMB).
    71. Efrem Castelnuovo, 2004. "Describing the Fed's conduct with simple Taylor rules: is interest rate smoothing important?," Money Macro and Finance (MMF) Research Group Conference 2003 12, Money Macro and Finance Research Group.
    72. Mr. Robert Tchaidze & Ms. Alina Carare, 2005. "The Use and Abuse of Taylor Rules: How Precisely Can We Estimate Them?," IMF Working Papers 2005/148, International Monetary Fund.
    73. Hayat, Aziz & Mishra, Sagarika, 2010. "Federal reserve monetary policy and the non-linearity of the Taylor rule," Economic Modelling, Elsevier, vol. 27(5), pages 1292-1301, September.
    74. William T. Gavin & Rachel J. Mandal, 2000. "Forecasting inflation and growth: do private forecasts match those of policymakers?," Working Papers 2000-026, Federal Reserve Bank of St. Louis.
    75. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
    76. Gerberding, Christina & Worms, Andreas & Seitz, Franz, 2004. "How the Bundesbank really conducted monetary policy: An analysis based on real-time data," Discussion Paper Series 1: Economic Studies 2004,25, Deutsche Bundesbank.
    77. Jamie Armour & Ben Fung & Dinah Maclean, 2002. "Taylor Rules in the Quarterly Projection Model," Staff Working Papers 02-1, Bank of Canada.

  22. Kozicki, Sharon & Tinsley, P. A., 1999. "Vector rational error correction," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1299-1327, September.
    See citations under working paper version above.
  23. Kozicki, Sharon, 1999. "Multivariate detrending under common trend restrictions: Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 997-1028, June.
    See citations under working paper version above.
  24. Kozicki, Sharon & Tinsley, P A, 1998. "Moving Endpoints and the Internal Consistency of Agents' Ex Ante Forecasts," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 21-40, April.
    See citations under working paper version above.
  25. Sharon Kozicki, 1997. "The productivity growth slowdown: diverging trends in the manufacturing and service sectors," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 31-46.

    Cited by:

    1. Andrew J. Filardo, 1997. "Cyclical implications of the declining manufacturing employment share," Economic Review, Federal Reserve Bank of Kansas City, vol. 82(Q II), pages 63-87.
    2. Dupuy, A. & Marey, P.S., 2005. "Shifts and twists in the relative productivity of skilled labor," ROA Research Memorandum 9E, Maastricht University, Research Centre for Education and the Labour Market (ROA).
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    4. Roy Trivedi, Smita, 2011. "The growing dichotomy between real and financial sectors," MPRA Paper 41421, University Library of Munich, Germany.
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    1. Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2018. "Using the Entire Yield Curve in Forecasting Output and Inflation," Econometrics, MDPI, vol. 6(3), pages 1-27, August.
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    3. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
    4. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
    5. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    6. Serafín Frache & Gabriel Katz, 2004. "Estimating a Risky Term Structure of Uruguayan Sovereign Bonds," Documentos de Trabajo (working papers) 0304, Department of Economics - dECON.
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    25. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series 691, European Central Bank.
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    See citations under working paper version above.
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