The signal extraction problem revisited: A note on its impact on a model of monetary policy

Macroeconomic Dynamics

Volumn 14, Issue 3, 2010, Pages 405-426

  Keen, Benjamin D ^a  

^a UNIVERSITY OF OKLAHOMA   (United States)

Author keywords

Business Cycles; Imperfect Information; Monetary Policy; New Keynesian Models; Signal Extraction

Indexed keywords

EID: 77957259400     PISSN: 13651005     EISSN: 14698056     Source Type: Journal    
DOI: 10.1017/S1365100509090294     Document Type: Article

References (34)

1. Adam, Klaus (2005) Learning to forecast and cyclical behavior of output and inflation. Macroeconomic Dynamics 9, 1-27. (Pubitemid 40176956)
2. Altig, David, Lawrence J. Christiano, Martin Eichenbaum, and Jesper Linde (2005) Firm-Specific Capital, Nominal Rigiditiesand the Business Cycle. National Bureauof Economic Research Working Paper No. 11034.
3. Amano, Robert, Scott Hendry, and Guang-Jia Zhang (1999) Financial intermediation, beliefs, and the transmission mechanism. Proceedings of a Conference held by the Bank of Canada, pp. 283-316. Ottawa: Bank of Canada.
4. Aoki, Kosuke and Takeshi Kimura (2008) Central Bank's Two-Way Communication with the Public and Inflation Dynamics. Manuscript, Bank of Japan.
5. Basu, Susanto and Miles S. Kimball (1997) Cyclical Productivity with Unobserved Input Variation. National Bureau of Economic Research Working Paper No. 5915.
6. Bernanke, Ben, S. (2004) Inflation targeting. Federal Reserve Bank of St. Louis Review 86, 165-168.
7. Brunner, Karl, Alex Cukierman, and Allan Meltzer (1980) Stagflation, persistent unemployment and the permanence of economic shocks. Journal of Monetary Economics 6, 467-492.
8. Burstein, Ariel T. (2006) Inflation and output dynamics with state dependent pricing decisions. Journal of Monetary Economics 53, 1235-1257.
9. Calvo, Guillermo A. (1983) Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383-398.
10. Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans (1999) Monetary policy shocks: What have we learned and to what end? In John Taylor and Michael Woodford (eds.), Handbook of Macroeconomics, Chapter 2. Amsterdam: Elsevier Science Publication.
11. Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113, 1-45. (Pubitemid 40427103)
12. Cooley, Thomas F. and Gary Hansen (1995) Money and the business cycle. In Thomas F. Cooley (ed.), Chapter 7. Frontiers of Business Cycle Research. Princeton, NJ: Princeton University Press.
13. Dellas, Harris (2006) Monetary shocks and inflation dynamics in the New Keynesian model. Journal of Money, Credit, and Banking 38, 543-551. (Pubitemid 43555615)
14. Dixit, Avinash and Joseph Stiglitz (1977) Monopolistic competition and optimum product diversity. American Economic Review 67, 297-308.
15. Dueker, Michael J. (2000) Are prime rate changes asymmetric? Federal Reserve Bank of St. Louis Review 82, 33-40.
16. Erceg, Christopher J. (1997) Nominal Wage Rigidities and the Propagation of Monetary Disturbances. Board of Governors of the Federal Reserve System International Finance Discussion Papers No. 590.
17. Erceg, Christopher J., Dale Henderson, and Andrew T. Levin (2000) Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46, 281-313.
18. Erceg, Christopher J. and Andrew T. Levin (2003) Imperfect credibility and inflation persistence. Journal of Monetary Economics 50, 915-944.
19. Gali, Jordi and Mark Gertler (1999) Inflation dynamics: A structural econometric analysis. Journal of Monetary Economics 44, 195-222.
20. Gavin, William T., Benjamin D. Keen, and Michael R. Pakko (2009) Inflation risk and optimal monetary policy. Macroeconomic Dynamics 13 Supplement 1, 58-75.
21. Gurkaynak, Refet S., Brian Sack, and Eric Swanson (2005) The sensitivity of long-run interest rates to economic news: evidence and implications for macroeconomic models. American Economic Review 95, 425-436. (Pubitemid 40801733)
22. Hamilton, James D. (1994) Time Series Analysis. Princeton, NJ: Princeton University Press.
23. Ireland, Peter (2007) Changes in the Federal Reserve's inflation target: Causes and consequences. Journal of Money, Credit, and Banking 39, 1851-1882.
24. Kozicki, Sharon, and P. A. Tinsley (2005) Permanent and transitory policy shocks in an empirical macro model with asymmetric information. Journal of Economic Dynamics & Control 29, 1985-2015. (Pubitemid 41511583)
25. Kydland, Finn E. and Edward C. Prescott (1982) Time to build and aggregate fluctuations. Econometrica 50, 1345-1370.
26. Leeper, Eric M., Christopher A. Sims, and Tao Zha (1996) What does monetary policy do? Brookings Papers on Economic Activity 2, 1-78. (Pubitemid 127020507)
27. Lucas, Robert E., Jr. (1975) An equilibrium model of the business cycle. Journal of Political Economy 83, 1113-1144.
28. Mankiw, N. Gregory and Ricardo Reis (2002) Sticky information versus sticky prices: A proposal to replace the New Keynesian Phillips curve. Quarterly Journal of Economics 117, 1295-1328. (Pubitemid 36016509)
29. Mankiw, N. Gregory and Ricardo Reis (2007) Sticky information in general equilibrium. Journal of the European Economics Association 5, 603-613.
30. Orphanides, Athanasiso (2001) Monetary policy rules based on real-time data. American Economic Review 91, 964-985. (Pubitemid 33596439)
31. Schorfheide, Frank (2005) Learning and monetary policy shifts. Review of Economic Dynamics 8, 392-419. (Pubitemid 40451302)
32. Taylor, John B. (1993) Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39, 195-214.
33. Tsuruga, Takayuki (2007) The hump-shaped behavior of inflation and a dynamic externality. European Economic Review 51, 1107-1125. (Pubitemid 46860172)
34. Woodford, Michael (2003) Imperfect common knowledge and the effects of monetary policy. In P. Aghion, R. Frydman, J. Stiglitz, and M. Woodford (eds.). Knowledge, Information, and Expectations in Modern Macroeconomics: In Honor of Edmund S. Phelps, pp. 25-58. Princeton, NJ: Princeton University Press.