Author
Robert W. Rich
Other affiliations: Vanderbilt University, Federal Reserve Bank of New York
Bio: Robert W. Rich is an academic researcher from Federal Reserve System. The author has contributed to research in topics: Inflation & Monetary policy. The author has an hindex of 22, co-authored 71 publications receiving 1632 citations. Previous affiliations of Robert W. Rich include Vanderbilt University & Federal Reserve Bank of New York.
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Papers
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TL;DR: This paper analyzed the relationship between oil price shocks and postwar U.S. business cycle fluctuations and found that while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output, movements in oil prices generally have not been a principal determinant in the historical evidence of these phases.
Abstract: This paper analyzes the relationship between oil price shocks and postwar U.S. business cycle fluctuations. The authors develop a generalized Markov switching model of output that includes a measure of net real oil price increases and examine the capabilities of this variable to generate shifts in the mean of GDP growth and to predict transitions between dichotomous growth phases. The results indicate that, while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output, movements in oil prices generally have not been a principal determinant in the historical evidence of these phases. Copyright 1997 by Ohio State University Press.
159 citations
TL;DR: This article analyzed the relationship between oil price shocks and postwar U.S. business cycle fluctuations and found that while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output, movements in oil prices generally have not been a principal determinant in the historical evidence of these phases.
Abstract: This paper analyzes the relationship between oil price shocks and postwar U.S. business cycle fluctuations. The authors develop a generalized Markov switching model of output that includes a measure of net real oil price increases and examine the capabilities of this variable to generate shifts in the mean of GDP growth and to predict transitions between dichotomous growth phases. The results indicate that, while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output, movements in oil prices generally have not been a principal determinant in the historical evidence of these phases. Copyright 1997 by Ohio State University Press.
141 citations
TL;DR: This article examined the relationship among expected inflation, disagreement, and uncertainty in matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation and uncertainty.
Abstract: This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation.
115 citations
TL;DR: In this paper, the authors examined postwar U.S. data and tested the implications of Ball and Mankiw's (1994) model of asymmetric price adjustment that monetary shocks have asymmetric effects on output and that the degree of asymmetry is positively related to movements in average inflation.
107 citations
TL;DR: In this article, the authors investigate the statistical properties of the U.S. sacrifice ratio, the cumulative output loss arising from a permanent reduction in inflation, and derive estimates of the sacrifice ratio from three structural vector autoregression models and then conduct a series of simulation exercises to analyze their sampling distribution.
Abstract: This article investigates the statistical properties of the U.S. sacrifice ratio—the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural vector autoregression models and then conduct a series of simulation exercises to analyze their sampling distribution. We obtain point estimates of the sacrifice ratio that are consistent with results reported in earlier studies. However, the estimates are very imprecise, which we suggest reflects the poor quality of instruments used in estimation. We conclude that the estimates provide a very unreliable guide for assessing the output cost of disinflation policy.
86 citations
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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: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
4,206 citations
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TL;DR: In this paper, the authors developed and estimated a structural model of inflation that allows for a fraction of firms that use a backward looking rule to set prices, and they concluded that the New Keynesian Phillips curve provides a good first approximation to the dynamics of inflation.
Abstract: We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward looking rule to set prices. The model nests the purely forward looking New Keynesian Phillips curve as a particular case. We use measures of marginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad-hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward looking price setting, while statistically significant, is not quantitatively important. Thus, we conclude that the New Keynesian Phillips curve provides a good first approximation to the dynamics of inflation.
2,644 citations
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TL;DR: This paper used a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth and reported clear evidence of nonlinearity, consistent with earlier claims in the literature that oil price increases are much more important than oil price decreases, and increases have significantly less predictive content if they simply correct earlier decreases.
Abstract: This paper uses a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth The paper reports clear evidence of nonlinearity, consistent with earlier claims in the literature-- oil price increases are much more important than oil price decreases, and increases have significantly less predictive content if they simply correct earlier decreases An alternative interpretation is suggested based on estimation of a linear functional form using exogenous disruptions in petroleum supplies as instruments The evidence suggests that oil shocks matter because they disrupt spending by consumers and firms on certain key sectors
1,721 citations
[...]
TL;DR: In this article, the authors used a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth and reported clear evidence of nonlinearity, consistent with earlier claims in the literature that oil price increases are much more important than oil price decreases.
1,620 citations