Author
Harald Uhlig
Other affiliations: Economic Policy Institute, Humboldt University of Berlin, Center for Economic and Policy Research ...read more
Bio: Harald Uhlig is an academic researcher from University of Chicago. The author has contributed to research in topics: Monetary policy & Vector autoregression. The author has an hindex of 54, co-authored 239 publications receiving 15442 citations. Previous affiliations of Harald Uhlig include Economic Policy Institute & Humboldt University of Berlin.
Papers published on a yearly basis
Papers
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TL;DR: The authors proposed to estimate the effects of monetary policy shocks by a new agnostic method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock.
2,058 citations
TL;DR: In this paper, the Hodrick-Prescott filter parameter was adjusted by multiplying it with the fourth power of the observation frequency ratios, which yields an HP parameter value of 6.25.
Abstract: This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given a value of 1600 for quarterly data. The relevance of the suggestion is illustrated empirically.
1,909 citations
TL;DR: In this paper, a new approach for analyzing the effects of fiscal policy using vector autoregressions was proposed and applied to US quarterly data from 1955 to 2000, and the impulse responses to three linear combinations of these fiscal shocks, corresponding to the three scenarios of deficit-spending, deficit-financed tax cuts and a balanced budget spending expansion were constructed.
Abstract: We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government revenue shock as well as a government spending shock, while controlling for a generic business cycle shock and a monetary policy shock. We explicitly allow for the possibility of announcement effects, i.e., that a current fiscal policy shock changes fiscal policy variables in the future, but not at present. We construct the impulse responses to three linear combinations of these fiscal shocks, corresponding to the three scenarios of deficit-spending, deficit-financed tax cuts and a balanced budget spending expansion. We apply the method to US quarterly data from 1955 to 2000. We find that deficit-financed tax cuts work best among these three scenarios to improve GDP, with a maximal present value multiplier of five dollars of total additional GDP per each dollar of the total cut in government revenue 5 years after the shock. Copyright © 2009 John Wiley & Sons, Ltd.
963 citations
TL;DR: In this paper, the role of tax policies in productivity-shock driven economies with catching-up-with-the-Joneses utility functions was examined and the optimal tax policy was shown to affect the economy countercyclically via procyclical taxes.
Abstract: This paper examines the role for tax policies in productivity-shock driven economies with catching-up-with-the-Joneses utility functions. The optimal tax policy is shown to affect the economy countercyclically via procyclical taxes, i.e., "cooling down" the economy with higher taxes when it is "overheating" in booms and "stimulating" the economy with lower taxes in recessions to keep consumption up. Thus, models with catching-up-with-the-Joneses utility functions call for traditional Keynesian demand-management policies but for rather unorthodox reasons.
554 citations
TL;DR: In this article, the HP-Filter parameter was adjusted by multiplying it with the fourth power of the observations frequency ratios, which yields an HP parameter value of 625 for annual data given a value of 1600 for quarterly data.
Abstract: This paper studies how the HP-Filter should be adjusted, when changing the frequency of observations It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observations frequency ratios This yields an HP parameter value of 625 for annual data given a value of 1600 for quarterly data The relevance of the suggestion is illustrated empirically
535 citations
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TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
Abstract: Any series of observations ordered along a single dimension, such as time, may be thought of as a time series. The emphasis in time series analysis is on studying the dependence among observations at different points in time. What distinguishes time series analysis from general multivariate analysis is precisely the temporal order imposed on the observations. Many economic variables, such as GNP and its components, price indices, sales, and stock returns are observed over time. In addition to being interested in the contemporaneous relationships among such variables, we are often concerned with relationships between their current and past values, that is, relationships over time.
9,919 citations
TL;DR: In this article, a review of the recent literature on monetary policy rules is presented, and the authors exposit the monetary policy design problem within a simple baseline theoretical framework and consider the implications of adding various real word complications.
Abstract: This paper reviews the recent literature on monetary policy rules. To organize the discussion, we exposit the monetary policy design problem within a simple baseline theoretical framework. We then consider the implications of adding various real word complications. We concentrate on developing results that are robust across a reasonable variety of competing macroeconomic frameworks. Among other things, we show that the optimal policy implicitly incorporates inflation targeting. We also characterize the gains from making credible commitments to fight inflation and consider the implications of frictions such as imperfect information and model uncertainty. Finally, we assess how proposed simple rules, such as the Taylor rule, square with the principles for optimal policy that we describe. We use this same metric to evaluate the recent course of U.S. monetary policy.
4,540 citations
TL;DR: The authors developed a new index of economic policy uncertainty based on newspaper coverage frequency and found that policy uncertainty spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute and other major battles over fiscal policy.
Abstract: We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency Several types of evidence – including human readings of 12,000 newspaper articles – indicate that our index proxies for movements in policy-related economic uncertainty Our US index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt-ceiling dispute and other major battles over fiscal policy Using firm-level data, we find that policy uncertainty raises stock price volatility and reduces investment and employment in policy-sensitive sectors like defense, healthcare, and infrastructure construction At the macro level, policy uncertainty innovations foreshadow declines in investment, output, and employment in the United States and, in a panel VAR setting, for 12 major economies Extending our US index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upwards since the 1960s
4,484 citations
TL;DR: In this article, the authors present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output, and the key features of their model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy.
Abstract: We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization.
4,250 citations
TL;DR: In contrast to conventional wisdom, this paper showed that gains from commitment may emerge even if the central bank is not trying to inadvisedly push output above its natural level, and also considered the implications of frictions such as imperfect information.
Abstract: The paper reviews the recent literature on monetary policy rules. We exposit the monetary policy design problem within a simple baseline theoretical framework. We then consider the implications of adding various real world complications. Among other things, we show that the optimal policy implicitly incorporates inflation targeting. We also characterize the gains from making a credible commitment to fight inflation. In contrast to conventional wisdom, we show that gains from commitment may emerge even if the central bank is not trying to inadvisedly push output above its natural level. We also consider the implications of frictions such as imperfect information.
3,990 citations