Challenges in macro-finance modeling

Federal Reserve Bank of St. Louis Review

Volumn 91, Issue 5 PART 2, 2009, Pages 519-544

  Kim, Don H ^a  

^a Yonsei University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 70350561910     PISSN: 00149187     EISSN: None     Source Type: Journal    
DOI: 10.20955/r.91.519-544     Document Type: Article

References (48)

1. Ang, Andrew; Bekaert, Geert and Wei, Min. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?" Journal of Monetary Economics, 2007, 54, pp. 1163-212.
2. Ang, Andrew; Bekaert, Geert and Wei, Min. "The Term Structure of Real Rates and Inflation Expectation." Journal of Finance, April 2008, 63(2) pp. 797-849.
3. Ang, Andrew; Boivin, Jean and Dong, Sen. "Monetary Policy Shifts and the Term Structure." Working paper, October 2007; http://neumann.hec.ca/pages/ jean.boivin/mypapers/abd.pdf working paper.
4. Ang, Andrew; Dong, Sen and Piazzesi, Monika. "No-Arbitrage Taylor Rules." Working paper, European Central Bank, August 2005; www.ecb.int/events/pdf/conferences/ECB-BIS_2005/ADP2004.pdf.
5. Ang, Andrew and Piazzesi, Monika. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables." Journal of Monetary Economics, May 2003, 50(4), pp. 745-87.
6. Backus, David and Wright, Jonathan H. "Cracking the Conundrum." Working Paper 2007-46, Federal Reserve Board Finance and Economics Discussion Series, 2007; www.federalreserve.gov/Pubs/feds/ 2007/200746/200746pap.pdf.
7. Ball, Laurence; Cecchetti, Stephen G. and Gordon, Robert J. "Inflation Uncertainty at Short and Long Horizons." Brookings Papers on Economic Activity, 1990, 1990(1), pp. 215-54.
8. Bansal, Ravi and Yaron, Amir. "Risks for the Long Run: A Potential Resolution of the Equity Premium Puzzle." Journal of Finance, August 2004, 59(4), pp. 1481-509.
9. Bernanke, Ben S. "What Policymakers Can Learn from Asset Prices." Speech before the Investment Analyst Society of Chicago, April 15, 2004a; www.federalreserve.gov/BoardDocs/Speeches/ 2004/20040415/default.html.
10. Bernanke, Ben. S. "The Great Moderation." Speech at the meetings of the Eastern Economic Association, Washington, DC; February 20, 2004b; www.federalreserve.gov/boarddocs/speeches/2004/ 20040220/default.html;.
11. Blinder, Alan S. Commentary on "Measuring Short- Run Inflation for Central Bankers." Federal Reserve Bank of St. Louis Review, May/June 1997, 79(3), pp. 157-60; http://research.stlouisfed.org/ publications/review/97/05/9705ab.pdf.
12. Brayton, Flint; Mauskopf, Eileen; Reifschneider, David; Tinsley, Peter and Williams, John. "The Role of Expectations in the FRB/US Macroeconomic Model." Federal Reserve Bulletin, April 1997; www.federalreserve.gov/pubs/bulletin/1997/199704lead.pdf.
13. Campbell, John Y.; Chan, Yeung. L. and Viceira Luis. M. "A Multivariate Model of Strategic Asset Allocation." Journal of Financial Economics, January 2003, 67(1), pp. 41-80.
14. Campbell, John Y.; Lo, Andrew W. and MacKinlay, A. Craig. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press, 1996.
15. Clarida, Richard H.; Galí Jordi and Gertler, Mark. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory." Quarterly Journal of Economics, January 2000, 115(1), pp. 147-80.
16. Clark, Todd and McCracken, Michael W. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence." Journal of Money, Credit, and Banking, 2006, 38(5), pp. 1127-48.
17. Cochrane, John H. Asset Pricing. Princeton, NJ: Princeton University Press, 2001.
18. Cochrane, John H. and Piazzesi, Monika. "Decomposing the Yield Curve." Presented at the September 2006 Brookings Papers on Economic Activity Conference. Working paper (March 13, 2008, revision); http://faculty.chicagobooth.edu/john.cochrane/research/Papers/interest_rate_revised.pdf.
19. Collin-Dufresne, P. and Goldstein. Robert, S. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility." Journal of Finance, August 2002, 57(4), pp. 1685-730.
20. Cox, John C.; Ingersoll, Jonathan E. and Ross, Stephen A. "A Reexamination of Traditional Hypothesis about the Term Structure of Interest Rates." Journal of Finance, September 1981, 36(4), pp. 769-99.
21. Croushore, Dean. "Low Inflation: The Surprise of the 1990s." Federal Reserve Bank of Philadelphia Business Review, July/August 1998, pp. 3-12; www.philadelphiafed.org/research-and-data/ publications/business-review/1998/july-august/ brja98dc.pdf.
22. Dai, Qiang and Singleton, Kenneth J. "Specification Analysis of the Affine Term Structure Models." Journal of Finance, October 2000, 55(5), pp. 1943-978.
23. D'Amico, Stefania; Kim, Don H. and Wei, Min. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices." BIS Working Paper No. 248, Bank for International Settlements, 2008.
24. Duffee, Gregory R. "Term Premia and Interest Rate Forecasts in Affine Models." Journal of Finance, February 2002, 57(1), pp. 405-43.
25. Duffee, Gregory R. "Are Variations in Term Premia Related to the Macroeconomy?" Working paper, Hass School of Business, University of California- Berkeley, March 2006.
26. Duffie, Darrell. Dynamic Asset Pricing Theory. Third Edition. Princeton, NJ: Princeton University Press, 2001.
27. Evans, Martin. "Discovering the Link Between Inflation Rates and Inflation Uncertainty." Journal of Money, Credit, and Banking, May 1991, 23(2), pp. 169-84.
28. Hördahl, Peter; Tristani, Oreste and Vestin, David. "A Joint Econometric Model of Macroeconomic and Term-Structure Dynamics." Journal of Econometrics, March/April 2006, 131(1-2), pp. 405-44.
29. Kim, Don H. "Challenges in Macro-Finance Modeling." Working Paper 2008-06, Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series, February 2008.
30. Kim, Don H. and Orphanides, Athanasios. "Term Structure Estimation with Survey Data on Interest Rate Forecasts." Working Paper 2005-48, Finance and Economics Discussion Series, Federal Reserve Board, October 2005; www.federalreserve.gov/pubs/feds/2005/200548/200548pap.pdf.
31. Kim, Don H. and Orphanides, Athanasios. "Bond Market Term Premium: What Is It, and How Can We Measure It?" BIS Quarterly Review, June 2007, pp. 27-40.
32. Kohn, Donald L. Comment on "Forward-Looking Rules for Monetary Policy," in John B. Taylor, ed., Monetary Policy Rules. Chicago: University of Chicago Press, 1999, pp. 157-202.
33. Kohn, Donald L. "Inflation Modeling: A Policymaker's Perspective." Remarks to the International Research Forum on Monetary Policy Conference, Frankfurt am Main, Germany, May 20, 2005; www.federalreserve.gov/Boarddocs/Speeches/2005/ 20050520/default.html.
34. Litterman, Robert B. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience." Journal of Business and Economic Statistics, January 1986, 4(1), pp. 25-38.
35. Litterman, Robert B. and Scheinkman, Jose A. "Common Factors Affecting Bond Returns." Journal of Fixed Income, June 1991, 1(1), pp. 54-61.
36. Moench, E. "Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach." Journal of Econometrics, September 2008, 146(1), pp. 26-43.
37. Muth, John, F. "Optimal Properties of the Exponentially Weighted Forecasts," Journal of the American Statistical Association, 1960, 55, pp. 299-306.
38. Rudd, Jeremy and Whelan, Karl. "Can Rational Expectations Sticky-Price Models Explain Inflation Dynamics?" American Economic Review, March 2006, 96(1), pp. 303-20.
39. Rudebusch, Glenn, D. "Do Measures of Monetary Policy in a VAR Make Sense?" International Economic Review, November 1998, 39(4), pp. 907-31.
40. Rudebusch, Glenn D. and Wu, Tao. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy." Working Paper 2003-17, Federal Reserve Bank of San Francisco, 2003; www.frbsf.org/publications/economics/papers/2003/ wp03-17bk.pdf.
41. Sangvinatsos, Antonios and Wachter, Jessica A. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?" Journal of Finance, February 2005, 60(1), pp. 179-230.
42. Sims, Christopher A. "Macroeconomics and Reality." Econometrica, 1980, 48, pp. 1-48.
43. Sims, Christopher A. Commentary on "Do Measures of Monetary Policy in a VAR Make Sense?" International Economic Review, 1998, 39(4), pp. 933-41.
44. Stock, James H. and Watson, Mark W. "Evidence on Structural Instability of Macroeconomic Time Series Relations." Journal of Business Economics and Statistics, January 1996, 14(1), pp. 11-30.
45. Stock, James H. and Watson, Mark W. "Vector Autoregressions." Journal of Economic Perspectives, Fall 2001, 15(4), pp. 101-15.
46. Stock, James H. and Watson, Mark W. "Forecasting Output and Inflation: The Role of Asset Prices." Journal of Economic Literature, September 2003, 41(3), pp. 788-829.
47. Stock, James H. and Watson, Mark W. "Why Has U.S. Inflation Become Harder to Forecast?" Journal of Money, Credit, and Banking, February 2007, 39(s1), pp. 3-33.
48. Todd, Richard M. "Improving Economic Forecasting with Bayesian Vector Autoregression." Federal Reserve Bank of Minneapolis Quarterly Review, Fall 1984, 8(4), pp. 18-29; www.minneapolisfed.org/research/QR/QR843.pdf.