Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: -mdrawsfor deriving draws from the standard uniform density using either Halton or pseudo-random sequences, and an egen function -mvnp()for calc...

We document heterogeneity in the marginal propensity to consume (MPC) across household characteristics relevant understanding heterogeneous agent models and monetary policy transmission. find a strong negative relationship between liquid wealth MPC. show that predicts MPC closely for every other characteristic we look at. use new empirical method overcomes sources of bias found existing literat...

Commonly used instruments for the identification of monetary policy disturbances are likely to combine true shock with information about state economy due disclosed through action. We show that this signaling effect can give rise empirical puzzles reported in literature, and propose a new high-frequency instrument shocks accounts informational rigidities. find tightening is unequivocally contra...

We build a new empirical model to estimate the global impact of an increase in volatility US monetary policy shocks. Specifically, we admit time-varying variances local structural shocks from stochastic specification. By allowing for rich dynamic interaction between endogenous variables and setting, find that interest rate uncertainty not only drives output inflation volatility, but also causes...

We develop a theory of low-frequency movements in inflation expectations, and use it to interpret joint dynamics expectations for the United States other countries over postwar period. In our theory, long-run are endogenous. They driven by short-run surprises, way that depends on recent forecasting performance monetary policy. This distinguishes from common explanations properties inflation. Th...

We use quasi-random access to the Home Affordable Refinance Program (HARP) identify causal effect of refinancing into a lower-rate mortgage on borrower balance sheet outcomes. Refinancing substantially reduces default rates mortgages and other debt. also causes borrowers expand their debt instruments, such as auto loans, home equity lines, consumer debts that are proxies for spending. Borrowers...

We study optimal monetary policy in an analytically tractable heterogeneous agent New Keynesian model with rich cross-sectional heterogeneity. Optimal differs from a representative benchmark because can affect consumption inequality, by stabilizing risk arising both idiosyncratic shocks and unequal exposures to aggregate shocks. The trade-off between productive efficiency, price stability is su...