This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. It focuses on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. It obtains large and significant estimates of the...
This paper presents a dynamic, stochastic general equilibrium study of the causes of the international 'Great Depression'. It uses a fully articulated model to assess the relative contributions of deflation/monetary shocks, which are the most commonly, cited shocks for the Depression, and productivity shocks. It finds that productivity is the...
This paper examines which markets are most synchronized internationally and exhibit the greater extent of co movement. It focuses on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. The extent of co movement and responsiveness to external shocks is examined in different ways. To...
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