This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, focusing on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-range dependence, a consequence of aggregation in the presence of real business cycles. We then derive the relation between properties of fractionally...

This paper compares several methods for estimating the effects of monetary innovations on key macroeconomic variables and, subsequently, clarifies issues related to the use of instrumental variables in the identification of structural impulse responses. In particular, we make explicit the property that a measure of monetary policy must satisfy in order to identify the effects of monetary shocks...

Stylized facts for South Asia show the dominance of supply shocks, amplified by macroeconomic policies and procyclical current accounts. Interest and exchange rate volatility rose initially on liberalization, but fell as markets deepened. A gradual middling through approach to openness and market development are helping the region absorb shocks without reducing growth. Diverse sources of demand...

The distribution of shocks to GDP growth rates is found to be exponential rather than normal. Their standard deviation b scales with GDP where b 5 2 0.1560.03. These macroeconomic results place restrictions on the microeconomic structure of interactions between agents.  1998 Elsevier Science S.A.

The macroeconomic implications of oil price fluctuations vary according to their sources. Our estimated two-country DSGE model distinguishes between country-specific oil supply shocks, various domestic and foreign activity shocks, and oil efficiency shocks. Changes in foreign oil efficiency, modeled as factor-augmenting technology, were the key driver of fluctuations in oil prices between 1984 ...

Inflation targeting has been widely adopted in both developed and emerging economies. In this essay, I survey the evidence on the effects of inflation targeting on macroeconomic performance and assess what lessons this evidence provides for inflation targeting and the design of monetary policy. While macroeconomic experiences among both inflation targeting and non-targeting developed economies ...

In this paper, economic vulnerability is defined as the exposure of an economy to exogenous shocks, arising out of economic openness, while economic resilience is defined as the policy-induced ability of an economy to withstand or recover from the effects of such shocks. The paper briefly reviews the work already carried out on economic vulnerability and extends the research towards the develop...

The literature on employment protection has largely ignored the influence that such policies may have on macroeconomic dynamics. Also, the manner in which exit has been modelled heretofore may understate the effects of these policies. Finally, industrial subsidies to failing plants have largely been ignored as an important element of employment protection. To address these issues, I develop a g...

We describe a methodology that integrates the narrative approach to the identification of macroeconomic shocks into existing structural VAR settings while allowing for measurement error in the narrative measures of the shocks of interest. We apply our methodology to the fiscal VAR setup of Blanchard and Perotti (2002) and make use of the tax shocks constructed by Romer and Romer (2009). We find...

This paper asks to which extent productivity shocks may account for real exchange rate and trade balance developments in the US in the second half of the 1990s. The analysis is based on a version GEM calibrated to analyze macroeconomic interdependence between the US and the rest of the world. The paper concludes that the Balassa-Samuelson effect of a permanent productivity shock in the tradable...