We propose a method for solving and estimating linear rational expectations models that
exhibit indeterminacy and we provide step-by-step guidelines for implementing this method …

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using US
data to study the effects of uncertainty shocks on inflation. We find the response of inflation to …

Based on SVAR models identified by sign restrictions, we estimate the macroeconomic
effects of financial and uncertainty shocks in the euro area and the US, paying particular …

We propose a generalization of the rational expectations framework to allow for temporarily
unstable paths. Our approach introduces multiplicative sunspot shocks and it yields drifting …

Empirical questions such as whether the Phillips curve or the Okun's law is stable can often
be framed as a model comparison—eg, comparing a vector autoregression (VAR) in which …

How do short‐and long‐term interest rates respond to a jump in financial uncertainty? We
address this question by conducting a local projections analysis with US monthly data …

This paper investigates the potentials of the bootstrap as a tool for inference on the
parameters of macroeconometric models which admit a state space representation. We …

We employ real-time data available to the US monetary policy makers to estimate a Taylor
rule augmented with a measure of financial uncertainty over the period 1969–2008. We find …

This article investigates the forecasting performance of a new small-scale dynamic
stochastic general equilibrium (DSGE) model. To this end, this article first conducts a Monte …

Cholesky-VAR impulse responses estimated with post-1984 US data predict modest
macroeconomic reactions to monetary policy shocks. We interpret this evidence by …