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Seonghoon Cho

Not to be confused with: Seong-Hoon Cho

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.

Working papers

  1. Seonghoon Cho, 2015. "Online Appendix to "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models"," Online Appendices 14-34, Review of Economic Dynamics.

    Cited by:

    1. Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018. "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers 25386, National Bureau of Economic Research, Inc.
    2. Stéphane Lhuissier & Fabien Tripier, 2019. "Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation," Working papers 714, Banque de France.
    3. Marco Airaudo & Ina Hajdini, 2021. "Consistent Expectations Equilibria In Markov Regime Switching Models And Inflation Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(4), pages 1401-1430, November.
    4. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    5. Boris Blagov, 2013. "Financial crises and time- varying risk premia in a small open economy: a Markov-Switching DSGE model for Estonia," Bank of Estonia Working Papers wp2013-8, Bank of Estonia, revised 09 Dec 2013.
    6. Jean Barthélemy & Magali Marx, 2016. "Solving Endogenous Regime Switching Models," Working Papers hal-03393181, HAL.
    7. Guido Ascari & Anna Florio & Alessandro Gobbi, 2020. "Controlling Inflation With Timid Monetary–Fiscal Regime Changes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(2), pages 1001-1024, May.
    8. Shayan Zakipour-Saber, 2019. "Monetary policy regimes and inflation persistence in the United Kingdom," Working Papers 895, Queen Mary University of London, School of Economics and Finance.
    9. Xin Wei, 2020. "Dynamic Expectations Formation and U.S. Monetary Policy Regime Change," CAEPR Working Papers 2020-007, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    10. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    11. Kollmann, Robert, 2021. "Liquidity Traps in a World Economy," MPRA Paper 105113, University Library of Munich, Germany.
    12. Eo, Yunjong & McClung, Nigel, 2021. "Determinacy and E-stability with interest rate rules at the zero lower bound," Bank of Finland Research Discussion Papers 14/2021, Bank of Finland.
    13. Chang, Yoosoon & Maih, Junior & Tan, Fei, 2021. "Origins of monetary policy shifts: A New approach to regime switching in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    14. Francesco Bianchi & Leonardo Melosi, 2013. "Modeling the Evolution of Expectations and Uncertainty in General Equilibrium," Working Paper Series WP-2013-12, Federal Reserve Bank of Chicago.
    15. Neusser, Klaus, 2019. "Time–varying rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    16. Gibbs, Christopher G. & McClung, Nigel, 2019. "Does my model predict a forward guidance puzzle?," Bank of Finland Research Discussion Papers 19/2019, Bank of Finland.
    17. Maih, Junior & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2021. "Asymmetric monetary policy rules for the euro area and the US," Working Paper Series 2587, European Central Bank.
    18. Zakipour-Saber, Shayan, 2019. "State-dependent Monetary Policy Regimes," Research Technical Papers 4/RT/19, Central Bank of Ireland.
    19. Tolga Özden, 2021. "Heterogeneous Expectations and the Business Cycle at the Effective Lower Bound," Working Papers 714, DNB.
    20. 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.
    21. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2017. "Controlling inflation with switching monetary and fiscal policies: expectations, fiscal guidance and timid regime changes," Bank of Finland Research Discussion Papers 9/2017, Bank of Finland.
    22. Jean Barthelemy & Seonghoon Cho & Magali Marx, 2024. "Online Appendix to "A Unified Approach to Determinacy Conditions with Regime Switching"," Online Appendices 23-89, Review of Economic Dynamics.
    23. Roulleau-Pasdeloup, Jordan, 2020. "Optimal monetary policy and determinacy under active/passive regimes," European Economic Review, Elsevier, vol. 130(C).
    24. Christopher Gibbs & Nigel McClung, 2023. "Online Appendix to "Code and data files for "Does my model predict a forward guidance puzzle?"," Online Appendices 22-197, Review of Economic Dynamics.
    25. Dave, Chetan & Sorge, Marco, 2023. "Fat Tailed DSGE Models: A Survey and New Results," Working Papers 2023-3, University of Alberta, Department of Economics.
    26. McClung, Nigel, 2020. "E-stability vis-à-vis determinacy in regime-switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).

  2. Seonghoon Cho & Bennett T. McCallum, 2012. "Refining Linear Rational Expectations Models and Equilibria," NBER Working Papers 18348, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    2. Dennis Bonam & Bart Hobijn, 2021. "Generalized Stability of Monetary Unions Under Regime Switching in Monetary and Fiscal Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 73-94, February.
    3. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    4. Cuadra, Gabriel & Menna, Lorenzo, 2019. "Capital flows and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.

  3. Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.

    Cited by:

    1. Abbas, Syed Kanwar & Lan, Hao, 2020. "Commodity price pass-through and inflation regimes," Energy Economics, Elsevier, vol. 92(C).
    2. Haan, Peter & Peichl, Andreas & Schrenker, Annekatrin & Weizsäcker, Georg & Winter, Joachim, 2021. "Expectation Management of Policy Leaders: Evidence from COVID-19," Rationality and Competition Discussion Paper Series 299, CRC TRR 190 Rationality and Competition.
    3. Jin, Hao & Xiong, Chen, 2021. "Fiscal stress and monetary policy stance in oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 111(C).
    4. Hännikäinen, Jari, 2017. "When does the yield curve contain predictive power? Evidence from a data-rich environment," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1044-1064.
    5. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    6. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    7. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
    8. Sun, Weihong & Liu, Ding, 2023. "Great moderation with Chinese characteristics: Uncovering the role of monetary policy," Economic Modelling, Elsevier, vol. 121(C).
    9. Arnoud Stevens & Joris Wauters, 2018. "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research 355, National Bank of Belgium.
    10. Liu, Xiaochun, 2021. "On fiscal and monetary policy-induced macroeconomic volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    11. John B Taylor, 2013. "The Effectiveness of Central Bank Independence vs. Policy Rules," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 48(3), pages 155-162, July.
    12. Kostas Mavromatis, 2018. "U.S. Monetary Regimes and Optimal Monetary Policy in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1441-1478, October.
    13. Rangan Gupta & Xiaojin Sun, 2020. "Housing market spillovers in South Africa: evidence from an estimated small open economy DSGE model," Empirical Economics, Springer, vol. 58(5), pages 2309-2332, May.
    14. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    15. John B. Taylor, 2013. "The Effectiveness of Central Bank Independence Versus Policy Rules," Discussion Papers 12-009, Stanford Institute for Economic Policy Research.
    16. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
    17. Pawel Baranowski & Zbigniew Kuchta, 2015. "Changes in nominal rigidities in Poland – a regime switching DSGE perspective," Lodz Economics Working Papers 6/2015, University of Lodz, Faculty of Economics and Sociology.
    18. 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.
    19. Ascari, Guido & Florio, Anna & Gobbi, Alessandro, 2018. "High trend inflation and passive monetary detours," Bank of Finland Research Discussion Papers 6/2018, Bank of Finland.
    20. Haderer, Michaela, 2022. "An Estimated DSGE Model of the Euro Area with Expectations about the Timing and Nature of Liftoff from the Lower Bound," Working Papers 2022-05, University of Sydney, School of Economics.
    21. Fabrizio Almeida Marodin & Marcelo Savino Portugal, 2019. "Exchange Rate Pass-Through in Brazil: À Markov Switching DSGE Estimation for the Inflation Targeting Period," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 36-66, March.
    22. Nikolaos Antonakakis & Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2016. "Components of Economic Policy Uncertainty and Predictability of US Stock Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantile Approach," Working Papers 201639, University of Pretoria, Department of Economics.
    23. Kulish, Mariano & Morley, James & Robinson, Tim, 2017. "Estimating DSGE models with zero interest rate policy," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 35-49.
    24. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    25. Jean Barthelemy & Seonghoon Cho & Magali Marx, 2024. "Online Appendix to "A Unified Approach to Determinacy Conditions with Regime Switching"," Online Appendices 23-89, Review of Economic Dynamics.
    26. Sun Xiaojin & Tsang Kwok Ping, 2019. "What cycles? Data detrending in DSGE models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(3), pages 1-23, June.
    27. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    28. McClung, Nigel, 2020. "E-stability vis-à-vis determinacy in regime-switching models," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).

  4. Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dewachter, Hans & Iania, Leonardo & Lyrio, Marco, 2014. "Information in the yield curve: A macro-finance approach," LIDAM Reprints LFIN 2014007, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.
    3. Jakas, Vicente, 2011. "Theory and empirics of an affine term structure model applied to European data," MPRA Paper 36029, University Library of Munich, Germany.
    4. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
    5. Levant, Jared & Ma, Jun, 2017. "A dynamic Nelson-Siegel yield curve model with Markov switching," Economic Modelling, Elsevier, vol. 67(C), pages 73-87.
    6. Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018. "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers 25386, National Bureau of Economic Research, Inc.
    7. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
    8. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    9. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print hal-00732517, HAL.
    10. Juha Seppala & Federico Ravenna, 2005. "Monetary Policy and the Term Structure of Interest Rates," 2005 Meeting Papers 804, Society for Economic Dynamics.
    11. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
    12. Dewachter, Hans & Iania, Leonardo, 2012. "An Extended Macro-Finance Model with Financial Factors," LIDAM Reprints LFIN 2012001, Université catholique de Louvain, Louvain Finance (LFIN).
    13. 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.
    14. Nimark, Kristoffer, 2008. "Monetary policy with signal extraction from the bond market," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1389-1400, November.
    15. Gunnar Bårdsen & Luca Fanelli, 2015. "Frequentist Evaluation of Small DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 307-322, July.
    16. Li, Erica X.N. & Palomino, Francisco, 2014. "Nominal rigidities, asset returns, and monetary policy," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 210-225.
    17. Neyer, Ulrike & Stempel, Daniel & Horst, Maximilian, 2022. "Asymmetric Macroeconomic Effects of QE and Excess Reserves in a Monetary Union," VfS Annual Conference 2022 (Basel): Big Data in Economics 264074, Verein für Socialpolitik / German Economic Association.
    18. EL FAIZ, Zakaria & ZIANI, Manal, 2016. "Influence de la politique monétaire sur le taux long Quelques évidences empiriques, cas du Maroc [The impact of monetary on long rates : Some empirical evidence from Morocco]," MPRA Paper 72817, University Library of Munich, Germany.
    19. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    20. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    21. Kaminska, Iryna, 2008. "A no-arbitrage structural vector autoregressive model of the UK yield curve," Bank of England working papers 357, Bank of England.
    22. Hans Dewachter, 2008. "Imperfect information, macroeconomic dynamics and the yield curve : an encompassing macro-finance model," Working Paper Research 144, National Bank of Belgium.
    23. Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008. "An Affine Model of the Term Structure of Interest Rates in Mexico," Working Papers 2008-09, Banco de México.
    24. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
    25. Belke, Ansgar & Dubova, Irina, 2017. "International spillovers in global asset markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168087, Verein für Socialpolitik / German Economic Association.
    26. Yu-chin Chen & Kwok Ping Tsang, 2009. "A Macro-Finance Approach to Exchange Rate Determination," Working Papers UWEC-2009-24-R, University of Washington, Department of Economics, revised May 2010.
    27. López-Espinosa, Germán & Moreno, Antonio & Pérez de Gracia, Fernando, 2011. "Banks' Net Interest Margin in the 2000s: A Macro-Accounting international perspective," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1214-1233, October.
    28. Antonio Moreno Ibáñez & Luis Rey, 2005. "Inflation Targeting in Western Europe," Faculty Working Papers 14/05, School of Economics and Business Administration, University of Navarra.
    29. Dewachter, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Series 2214, European Central Bank.
    30. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
    31. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    32. Hibiki Ichiue & Yoichi Ueno, 2007. "Equilibrium Interest Rate and the Yield Curve in a Low Interest Rate Environment," Bank of Japan Working Paper Series 07-E-18, Bank of Japan.
    33. Glenn D. Rudebusch & Eric T. Swanson, 2008. "Examining the bond premium puzzle with a DSGE model," Working Paper Series 2007-25, Federal Reserve Bank of San Francisco.
    34. Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
    35. Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
    36. Ferman, Marcelo, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," Dynare Working Papers 5, CEPREMAP.
    37. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
    38. 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.
    39. Luis Alberiko Gil-Alana & Antonio Moreno, 2006. "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
    40. Haitham A. Al-Zoubi, 2024. "An affine model for short rates when monetary policy is path dependent," Review of Derivatives Research, Springer, vol. 27(2), pages 151-201, July.
    41. Haensly, Paul J., 2022. "Lessons from naïve diversification about the risk-reward trade-off," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    42. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    43. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    44. Hans Dewachter & Marco Lyrio, 2008. "Learning, Macroeconomic Dynamics and the Term Structure of Interest Rates," NBER Chapters, in: Asset Prices and Monetary Policy, pages 191-245, National Bureau of Economic Research, Inc.
    45. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    46. Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
    47. Carlos Garriga & Finn E. Kydland & Roman Šustek, 2019. "MoNK: Mortgages in a New-Keynesian Model," Working Papers 2019-32, Federal Reserve Bank of St. Louis.
    48. Jagjit Chadha & Sean Holly, 2006. "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006 105, Society for Computational Economics.
    49. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
    50. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    51. Hiona Balfoussia & Sophocles N. Brissimis & Manthos D. Delis, 2011. "The theoretical framework of monetary policy revisited," Working Papers 138, Bank of Greece.
    52. Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working papers 187, Centre for Development Economics, Delhi School of Economics.
    53. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
    54. Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
    55. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    56. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    57. Yu-chin Chen & Kwok Ping Tsang, 2010. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers 292010, Hong Kong Institute for Monetary Research.
    58. Christopher Otrok & Andre Kurmann, 2011. "News Shocks and the Term Structure of Interest Rates: A Challenge for DSGE Models," 2011 Meeting Papers 426, Society for Economic Dynamics.
    59. Baele, L.T.M. & Bekaert, G.R.J. & Cho, S. & Inghelbrecht, K. & Moreno, A., 2015. "Macroeconomic regimes," Other publications TiSEM e92a1993-778e-4ce2-b603-6, Tilburg University, School of Economics and Management.
    60. Peter Hordahl & Oreste Tristani & David Vestin, 2004. "A joint econometric model of macroeconomic and term structure dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 48, Money Macro and Finance Research Group.
    61. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
    62. 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.
    63. Carboni, Giacomo, 2014. "Term premia implications of macroeconomic regime changes," Working Paper Series 1694, European Central Bank.
    64. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
    65. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
    66. 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.
    67. 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.
    68. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    69. Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve Credibility and the Term Structure of Interest Rates," MPRA Paper 78253, University Library of Munich, Germany.
    70. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Bank of Finland Research Discussion Papers 6/2008, Bank of Finland.
    71. Carboni, Giacomo & Ellison, Martin, 2009. "Inflation and output volatility under asymmetric incomplete information," Working Paper Series 1092, European Central Bank.
    72. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers 18/2007, Bank of Finland.
    73. Taeyoung Doh, 2012. "What Does the Yield Curve Tell Us about the Federal Reserve’s Implicit Inflation Target?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 469-486, March.
    74. Pablo Aguilar & Jesús Vázquez, 2015. "The role of term structure in an estimated DSGE model with learning," LIDAM Discussion Papers IRES 2015007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    75. Martin Møller Andreasen, 2008. "Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter," CREATES Research Papers 2008-33, Department of Economics and Business Economics, Aarhus University.
    76. Sensarma, Rudra & Bhattacharyya, Indranil, 2015. "Measuring monetary policy and its impact on the bond market of an emerging economy," MPRA Paper 81067, University Library of Munich, Germany.
    77. Asian Development Bank Institute, 2017. "Asia Bond Monitor - June 2016," Working Papers id:11793, eSocialSciences.
    78. Cortés Espada Josué Fernando & Ramos Francia Manuel, 2008. "A Macroeconomic Model of the Term Structure of Interest Rates in Mexico," Working Papers 2008-10, Banco de México.
    79. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
    80. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
    81. 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.
    82. Ramón Maria-Dolores & Jesus Vazquez, 2006. "The relative importance of Term Spread, Policy Inertia and Persistent Monetary Policy Shocks in Monetary Policy Rules," Computing in Economics and Finance 2006 6, Society for Computational Economics.
    83. Taeyoung Doh, 2009. "Yield curve in an estimated nonlinear macro model," Research Working Paper RWP 09-04, Federal Reserve Bank of Kansas City.
    84. Badarinza, Cristian & Margaritov, Emil, 2011. "News and policy foresight in a macro-finance model of the US," Working Paper Series 1313, European Central Bank.
    85. Andre Kurmann & Christopher Otrok, 2012. "News shocks and the slope of the term structure of interest rates," Working Papers 2012-011, Federal Reserve Bank of St. Louis.
    86. Hibiki Ichiue, 2005. "How Do Monetary Policy Rules Affect Term Premia?," Bank of Japan Working Paper Series 05-E-14, Bank of Japan.
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    4. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
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    34. Kim, Insu & Kim, Young Se, 2019. "Inattentive agents and inflation forecast error dynamics: A Bayesian DSGE approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
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    37. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
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    48. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    49. Patrice Borda & Nlandu Mamingi, 2007. "On the persistence of unemployment in small open economies," Working Papers hal-04053066, HAL.
    50. Franke, Reiner & Jang, Tae-Seok & Sacht, Stephen, 2011. "Moment matching versus Bayesian estimation: Backward-looking behaviour in the new-Keynesian three-equations model," Economics Working Papers 2011-10, Christian-Albrechts-University of Kiel, Department of Economics.
    51. Borek Vasícek, 2009. "Monetary policy rules and inflation process in open emerging economies: evidence for 12 new EU members," Working Papers wpdea0903, Department of Applied Economics at Universitat Autonoma of Barcelona.
    52. Melecky, M, 2007. "Currency Preferences in a Tri-Polar Model of Foreign Exchange," MPRA Paper 4186, University Library of Munich, Germany.
    53. John McDermott & Peter McMenamin, 2008. "Assessing Inflation Targeting in Latin America With a DSGE Model," Working Papers Central Bank of Chile 469, Central Bank of Chile.
    54. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "Determinants of asymmetric return comovements of gold and other financial assets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 229-242.
    55. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
    56. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
    57. Pavel Kapinos, 2011. "Liquidity Trap in an Inflation-Targeting Framework: A Graphical Analysis," International Review of Economic Education, Economics Network, University of Bristol, vol. 10(2), pages 91-105.
    58. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    59. Reiner Franke, 2018. "Competitive moment matching of a New-Keynesian and an Old-Keynesian model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 201-239, July.

  6. Seonghoon Cho & Antonio Moreno, 2003. "A Structural Estimation and Interpretation of the New Keynesian Macro Model," Faculty Working Papers 14/03, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Antonio Moreno, 2004. "The Feds Monetary Policy Rule: Past, Present and Future," Faculty Working Papers 02/04, School of Economics and Business Administration, University of Navarra.
    2. Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
    3. 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.
    4. Psaradakis, Zacharias & Vávra, Marián, 2014. "On testing for nonlinearity in multivariate time series," Economics Letters, Elsevier, vol. 125(1), pages 1-4.
    5. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España.
    6. Poghosyan, K. & Boldea, O., 2011. "Structural versus Matching Estimation : Transmission Mechanisms in Armenia," Discussion Paper 2011-104, Tilburg University, Center for Economic Research.
    7. 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.
    8. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
    9. Antonio Moreno, 2004. "Reaching Inflation Stability," Econometric Society 2004 North American Summer Meetings 269, Econometric Society.
    10. Zbynek Stork, 2011. "A DSGE model of the Czech economy: a Ministry of Finance approach," EcoMod2011 3007, EcoMod.
    11. Martin S. Eichenbaum & Jonas D. M. Fisher, 2003. "Testing the Calvo model of sticky prices," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q II), pages 40-53.
    12. Seonghoon Cho & Antonio Moreno, 2005. "A Small-Sample Study of the New-Keynesian Macro Model," Faculty Working Papers 03/05, School of Economics and Business Administration, University of Navarra.

Articles

  1. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).

    Cited by:

    1. Marco Airaudo & Ina Hajdini, 2021. "Consistent Expectations Equilibria In Markov Regime Switching Models And Inflation Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(4), pages 1401-1430, November.
    2. Gibbs, Christopher G. & McClung, Nigel, 2019. "Does my model predict a forward guidance puzzle?," Bank of Finland Research Discussion Papers 19/2019, Bank of Finland.
    3. Jean Barthelemy & Seonghoon Cho & Magali Marx, 2024. "Online Appendix to "A Unified Approach to Determinacy Conditions with Regime Switching"," Online Appendices 23-89, Review of Economic Dynamics.
    4. Christopher Gibbs & Nigel McClung, 2023. "Online Appendix to "Code and data files for "Does my model predict a forward guidance puzzle?"," Online Appendices 22-197, Review of Economic Dynamics.

  2. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    See citations under working paper version above.
  3. Cho, Seonghoon & McCallum, Bennett T., 2015. "Refining linear rational expectations models and equilibria," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 160-169.
    See citations under working paper version above.
  4. Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
    See citations under working paper version above.
  5. Cho, Seonghoon & Moreno, Antonio, 2011. "The forward method as a solution refinement in rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 257-272, March.

    Cited by:

    1. Hatcher, Michael, 2022. "Solving linear rational expectations models in the presence of structural change: Some extensions," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    2. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    3. Cho, Seonghoon, 2021. "Determinacy and classification of Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    4. Kollmann, Robert, 2021. "Liquidity Traps in a World Economy," MPRA Paper 105113, University Library of Munich, Germany.
    5. Barrdear, John, 2015. "Towards a new Keynesian theory of the price level," LSE Research Online Documents on Economics 86315, London School of Economics and Political Science, LSE Library.
    6. Baele, L.T.M. & Bekaert, G.R.J. & Cho, S. & Inghelbrecht, K. & Moreno, A., 2015. "Macroeconomic regimes," Other publications TiSEM e92a1993-778e-4ce2-b603-6, Tilburg University, School of Economics and Management.
    7. Gibbs, Christopher G. & McClung, Nigel, 2019. "Does my model predict a forward guidance puzzle?," Bank of Finland Research Discussion Papers 19/2019, Bank of Finland.
    8. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
    9. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
    10. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
    11. Fabrizio Almeida Marodin & Marcelo Savino Portugal, 2019. "Exchange Rate Pass-Through in Brazil: À Markov Switching DSGE Estimation for the Inflation Targeting Period," Russian Journal of Money and Finance, Bank of Russia, vol. 78(1), pages 36-66, March.
    12. Thanassis Kazanas & Apostolis Philippopoulos & Elias Tzavalis, 2011. "Monetary Policy Rules And Business Cycle Conditions," Manchester School, University of Manchester, vol. 79(s2), pages 73-97, September.
    13. Thanassis Kazanas & Elias Tzavalis, 2011. "Unveiling the monetary policy rule in euro area," Working Papers 130, Bank of Greece.
    14. Cho, Seonghoon & McCallum, Bennett T., 2015. "Refining linear rational expectations models and equilibria," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 160-169.
    15. Christopher Gibbs & Nigel McClung, 2023. "Online Appendix to "Code and data files for "Does my model predict a forward guidance puzzle?"," Online Appendices 22-197, Review of Economic Dynamics.
    16. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    17. Cuadra, Gabriel & Menna, Lorenzo, 2019. "Capital flows and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    18. Bennett T. McCallum, 2012. "Determinacy, Learnability, Plausibility, and the Role of Money in New Keynesian Models," NBER Working Papers 18215, National Bureau of Economic Research, Inc.

  6. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
    See citations under working paper version above.
  7. Seonghoon Cho, 2009. "Estimating monthly Macro-Finance Model for Korea (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 15(2), pages 1-53, June.

    Cited by:

    1. Sangyong Joo & Daehwan Kim & Jeffrey Nilsen, 2021. "Monetary Policy and Long-Term Interest Rates in Korea: A Decomposition Analysis," Korean Economic Review, Korean Economic Association, vol. 37, pages 327-366.

  8. Cho, Seonghoon & McCallum, Bennett T., 2009. "Another weakness of "determinacy" as a selection criterion for rational expectations models," Economics Letters, Elsevier, vol. 104(1), pages 17-19, July.

    Cited by:

    1. Cho, Seonghoon & Moreno, Antonio, 2011. "The forward method as a solution refinement in rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 257-272, March.
    2. Bennett T. McCallum, 2009. "The Role of "Determinacy" in Monetary Policy Analysis," IMES Discussion Paper Series 09-E-17, Institute for Monetary and Economic Studies, Bank of Japan.
    3. Bennett T. McCallum, 2010. "Indeterminacy, Causality, and the Foundations of Monetary Policy Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 107-120, March.
    4. Bennett T. Mccallum, 2011. "Causality, Structure And The Uniqueness Of Rational Expectations Equilibria," Manchester School, University of Manchester, vol. 79(s1), pages 551-566, June.
    5. Cho, Seonghoon & McCallum, Bennett T., 2015. "Refining linear rational expectations models and equilibria," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 160-169.
    6. Bennett T. McCallum, 2009. "2009 International Conference "Financial System and Monetary Policy Implementation," Keynote Speech, The Role of "Determinacy" in Monetary Policy Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 27(1), pages 25-34, November.
    7. Mostafavi, Moeen & Fatehi, Ali-Reza & Shakouri G., Hamed & Von zur Muehlen, Peter, 2011. "A predictive multi-agent approach to model systems with linear rational expectations," MPRA Paper 35351, University Library of Munich, Germany, revised 11 Dec 2011.

  9. Cho, Seonghoon & Moreno, Antonio, 2006. "A Small-Sample Study of the New-Keynesian Macro Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1461-1481, September.
    See citations under working paper version above.

Software components

    Sorry, no citations of software components recorded.
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