The aim of our paper is to investigate the potential asymmetric effects of monetary policy shocks... more The aim of our paper is to investigate the potential asymmetric effects of monetary policy shocks on U.S. economic activity. For that matter, we focus on the business cycle phase in which the shock occurs. We then propose a natural extension of the structural VAR methodology and of its analysis tools to a nonlinear framework. The identification strategy of shocks we adopt is the one proposed by Sims and Zha (1998). At this stage, our findings reveal that a contractionary money supply shock yields asymmetric responses of output, prices and money.
Meese and Rogoff [1983] show that macroeconomic models "of the Seventies" fail to outperform the ... more Meese and Rogoff [1983] show that macroeconomic models "of the Seventies" fail to outperform the random walk exchange rate forecasts. Macroeconomics thus provide useless information as far as out-of-sample exchange rate forecasting is concerned. However, since Meese and Rogoff's seminal paper, advances have been made in the theoretical modeling of international macroeconomic dynamics. New Open Economy Macroeconomics, developed in the wake of Obstfeld and Rogoff [1995]'s work, show that intertemporal general equilibrium models capture international stylized facts. In particular, the models based on pricing-tomarket and limited participation account for exchange rate volatility. This paper aims at showing that these international macroeconomic models are able to beat the random walk forecasts. To that end, we first estimate the deep parameters of pricing-to-market and limited participation models through simulation-based methods. We find that the limited participation model succeeds in beating the random walk in the medium run.
The aim of our paper is to investigate the potential asymmetric effects of monetary policy shocks... more The aim of our paper is to investigate the potential asymmetric effects of monetary policy shocks on U.S. economic activity. For that matter, we focus on the business cycle phase in which the shock occurs. We then propose a natural extension of the structural VAR methodology and of its analysis tools to a nonlinear framework. The identification strategy of shocks we adopt is the one proposed by Sims and Zha (1998). At this stage, our findings reveal that a contractionary money supply shock yields asymmetric responses of output, prices and money.
Meese and Rogoff [1983] show that macroeconomic models "of the Seventies" fail to outperform the ... more Meese and Rogoff [1983] show that macroeconomic models "of the Seventies" fail to outperform the random walk exchange rate forecasts. Macroeconomics thus provide useless information as far as out-of-sample exchange rate forecasting is concerned. However, since Meese and Rogoff's seminal paper, advances have been made in the theoretical modeling of international macroeconomic dynamics. New Open Economy Macroeconomics, developed in the wake of Obstfeld and Rogoff [1995]'s work, show that intertemporal general equilibrium models capture international stylized facts. In particular, the models based on pricing-tomarket and limited participation account for exchange rate volatility. This paper aims at showing that these international macroeconomic models are able to beat the random walk forecasts. To that end, we first estimate the deep parameters of pricing-to-market and limited participation models through simulation-based methods. We find that the limited participation model succeeds in beating the random walk in the medium run.
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Papers by F. Karamé