Journal ArticleDOI
The post-war U.S. phillips curve: a revisionist econometric history
Robert G. King,Mark W. Watson +1 more
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TLDR
The authors conducted a wide-ranging investigation of the post-war U.S. Phillips correlations and Phillips curve and found that a strikingly stable negative correlation exists over the business cycle, and recent theory indicates the Lucas-Sargent critique may not be empirically relevant.About:
This article is published in Carnegie-Rochester Conference Series on Public Policy.The article was published on 1994-12-01. It has received 282 citations till now. The article focuses on the topics: Phillips curve & Business cycle.read more
Citations
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Inflation dynamics: A structural econometric analysis
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 the model nests the purely forward-looking New Keynesian Phillips curve as a particular case.
Journal ArticleDOI
Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series
Marianne Baxter,Robert G. King +1 more
TL;DR: The authors developed a set of approximate band-pass filters and illustrates their application to measuring the business-cycle component of macroeconomic activity, and compared them with several alternative filters commonly used for extracting business cycle components.
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The band pass filter
TL;DR: In this paper, the authors developed optimal finite-sample approximations for the band pass filter, based on the generally false assumption that the data are generated by a random walk.
Journal ArticleDOI
Economic News and Bond Prices: Evidence from the U.S. Treasury Market
TL;DR: This article used intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads, and found that 17 public news releases, as measured by the surprise in the announced quantity, have a significant impact on the price of at least one of the following instruments: a three-month bill, a two-year note, a 10-year notes, and a 30-year bond.
Journal ArticleDOI
Evolving Post-World War II U.S. Inflation Dynamics
Timothy Cogley,Thomas J. Sargent +1 more
TL;DR: This article used Bayesian methods to account for the four sources of uncertainty in a random coefficients vector autoregression for inflation, unemployment, and an interest rate, and used the model to assemble evidence about the evolution of measures of the persistence of inflation, prospective long-horizon forecasts (means) of inflation and unemployment.
References
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Journal ArticleDOI
Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
TL;DR: In this article, the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
Book ChapterDOI
The role of monetary policy
TL;DR: There is wide agreement about the major goals of economic policy: high employment, stable prices, and rapid growth as discussed by the authors.There is less agreement that these goals are mutually compatible or, among those who regard them as incompatible, about the terms at which they can and should be substituted for one another.
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Techniques for Testing the Constancy of Regression Relationships Over Time
TL;DR: In this paper, the stability over time of regression relationships is investigated using recursive residuals, defined to be uncorrelated with zero means and constant variance, and tests based on the cusum and cusume of squares of recursive residual coefficients are developed.
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The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957†
TL;DR: The relationship between unemployment and the rate of change of money wage rates is highly non-linear as discussed by the authors, and it is possible that one of the most important factors influencing the change in money wage rate is the level of unemployment.
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A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’☆
TL;DR: In this article, a general procedure for decomposition of non-stationary time series into a permanent and transitory component allowing both components to be stochastic is introduced. But the decomposition methodology depends only on past data and therefore is computable in real-time.