Estimating the Euler equation for output

Journal of Monetary Economics

Volumn 51, Issue 6, 2004, Pages 1133-1153

  Fuhrer, Jeffrey C ^a   Rudebusch, Glenn D ^b  

^a FEDERAL RESERVE BANK OF BOSTON   (United States)

^b FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

Author keywords

Euler equation; Monetary policy

Indexed keywords

EID: 4544237605     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2003.10.004     Document Type: Article

References (39)

1. G.S. Anderson G. Moore A linear algebraic procedure for solving linear perfect foresight models Economic Letters 17 1985 247-252
2. Casares M. McCallum B. An optimizing IS-LM framework with endogenous investment NBER Working Paper No.7908 2000
3. Christiano L. Fitzgerald T. The band pass filter International Economic Review 44 2 2003 435-465
4. R. Clarida J. Gali M. Gertler The science of monetary policy a new Keynesian perspective Journal of Economic Literature 37 1999 1661-1707
5. T. Cogley J. Nason Output dynamics in real-business-cycle models American Economic Review 85 1995 492-511
6. Cragg J.G. Donald S.G. Testing identifiability and specification in instrumental variable models Economic Theory 9 1993 222-240
7. Dennis R. New Keynesian optimal-policy models: an empirical assessment Manuscript, Federal Reserve Bank of San Francisco 2003
8. A. Estrella J.C. Fuhrer Dynamic inconsistencies counterfactual implications of a class of rational expectations models American Economic Review 92 2002 1013-1028
9. A. Estrella J.C. Fuhrer Monetary policy shifts and the stability of monetary policy models Review of Economics and Statistics 85 2003 94-104
10. Fuhrer J.C. The (un)importance of forward-looking behavior in price specifications Journal of Money, Credit, and Banking August 1997 338-350
11. J.C. Fuhrer Habit formation in consumption and its implications for monetary-policy models American Economic Review 90 2000 367-390
12. J.C. Fuhrer G.R. Moore Monetary policy trade-offs and the correlation between nominal interest rates and real output American Economic Review 85 1995 219-239
13. J.C. Fuhrer G.R. Moore S. Schuh Estimating the linear-quadratic inventory model maximum likelihood versus generalized method of moments Journal of Monetary Economics 35 1995 115-158
14. J. Gali M. Gertler Inflation dynamics a structural econometric analysis Journal of Monetary Economics 44 1999 195-222
15. Goodfriend M. King R.G. The new neoclassical synthesis and the role of monetary policy NBER Macroeconomics Annual 1997 231-283
16. A.R. Hall A. Inoue The large sample behaviour of the generalized method of moments estimator in misspecified models Journal of Econometrics 114 2003 361-394
17. A.R. Hall G. Rudebusch D.W. Wilcox Judging instrument relevance in instrumental variables estimation International Economic Review 37 1996 283-298
18. Jondeau E. Le Bihan H.L. ML vs. GMM estimates of hybrid macroeconomic models Manuscript, Bank of France 2003
19. Koenig E. Rethinking the IS in IS-LM: adapting Keynesian tools to non-Keynesian economies Economic Review, Q3 Federal Reserve Bank of Dallas 1993 33-49
20. Mankiw G. Reis R. Sticky information: a model of monetary nonneutrality and structural slumps NBER Working Paper No. 8614 2001
21. Mavroeidis S. Identification and misspecification issues in forward-looking models Manuscript, University of Amsterdam 2003
22. B.T. McCallum E. Nelson Nominal income targeting in an open-economy optimizing model Journal of Monetary Economics 43 1999 553-578
23. C. Nelson R. Startz Some further results on the exact small sample properties of the instrumental variables estimator Econometrica 58 1990 967-976
24. C. Nelson R. Startz The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one Journal of Business 63 1990 5125-5140
25. S. Oliner G.D. Rudebusch D. Sichel New and old models of business investment a comparison of forecasting performance Journal of Money, Credit, and Banking 27 1995 806-826
26. S. Oliner G.D. Rudebusch D. Sichel The Lucas Critique revisited assessing the stability of empirical Euler equations for investment Journal of Econometrics 70 1996 291-316
27. J. Rotemberg M. Woodford Interest rate rules in an estimated sticky price model In: J.B. Taylor (Ed.) Monetary Policy Rules 1999 University of Chicago Press Chicago, IL 57-119
28. Rudd J. Whelan K. Can rational expectations sticky-price models explain inflation dynamics? Manuscript, Federal Reserve Board 2003
29. G.D. Rudebusch Assessing nominal income rules for monetary policy with model and data uncertainty Economic Journal 112 2002 1-31
30. Rudebusch G.D. Wu T. A macro-finance model of the term structure, monetary policy, and the economy Manuscript, Federal Reserve Bank of San Francisco 2004
31. J. Shea Instrument relevance in multivariate linear models a simple measure Review of Economics and Statistics 79 1997 348-352
32. Smets F. What horizon for price stability? European Central Bank Working paper No. 24 2000
33. D. Staiger J.H. Stock Instrumental variables regression with weak instruments Econometrica 65 1997 557-586
34. Stock J.H. Yogo M. Testing for weak instruments in linear IV regression In: Andrews D.W.K. Stock J.H. (Eds.) Festschrift in Honor of Thomas Rothenberg (working title). Cambridge University Press, Cambridge, forthcoming 2003
35. J.H. Stock J. Wright M. Yogo A survey of weak instruments and weak identification in generalized method of moments Journal of Business and Economic Statistics 20 2002 518-529
36. L.E.O. Svensson Inflation targeting some extensions Scandinavian Journal of Economics 101 1999 337-361
37. C.E. Walsh Monetary Theory and Policy 1998 MIT Press Cambridge, MA
38. K.D. West D.W. Wilcox Some evidence on the finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model In: \R. Fiorito (Ed.) Inventory Cycles and Monetary Policy 1994 Springer Berlin 253-282
39. Woodford M. Control of the public debt: a requirement for price stability? NBER Working Paper No.5984 1996