SSRN Author: Nathaniel A. ThrockmortonNathaniel A. Throckmorton SSRN Content
http://www.ssrn.com/author=1782730
http://www.ssrn.com/rss/en-usFri, 02 Jun 2017 03:51:41 GMTeditor@ssrn.com (Editor)Fri, 02 Jun 2017 03:51:41 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Uncertainty Shocks in a Model of Effective Demand: CommentNo abstract available.
http://www.ssrn.com/abstract=2978556
http://www.ssrn.com/1595903.htmlThu, 01 Jun 2017 05:49:17 GMTNew: A New Way to Quantify the Effect of UncertaintyThis paper develops a new method to quantify the effects of uncertainty using estimates from a nonlinear New Keynesian model. The model includes an occasionally binding zero lower bound constraint on the nominal interest rate, which creates time-varying endogenous uncertainty, and two exogenous types of time-varying uncertainty—a volatility shock to technology growth and a volatility shock to the risk premium. A filtered third-order approximation of the Euler equation shows consumption uncertainty on average reduced consumption by about 0.06% and the peak effect was 0.15% during the Great Recession. Other higher-order moments such as inflation uncertainty, technology growth uncertainty, consumption skewness, and inflation skewness had smaller
http://www.ssrn.com/abstract=2970281
http://www.ssrn.com/1591921.htmlThu, 18 May 2017 04:51:42 GMTREVISION: Forward Guidance and the State of the EconomyThis paper analyzes forward guidance in a nonlinear model with a zero lower bound (ZLB) on the nominal interest rate. Forward guidance is modeled with news shocks to the monetary policy rule, which capture innovations in expectations from central bank communication about future policy rates. Whereas most studies use quasi-linear models that disregard the expectational effects of hitting the ZLB, we show how the effectiveness of forward guidance nonlinearly depends on the state of the economy, the speed of the recovery, the degree of uncertainty, the policy shock size, and the forward guidance horizon when households account for the ZLB.
http://www.ssrn.com/abstract=2371686
http://www.ssrn.com/1588883.htmlSat, 06 May 2017 18:40:12 GMTREVISION: Is Rotemberg Pricing Justified by Macro Data?Structural models used to study monetary policy often include sticky prices. Calvo pricing is more common but Rotemberg pricing has become popular due to its computational advantage. To determine whether the data supports that change, we estimate a nonlinear New Keynesian model with a zero lower bound (ZLB) constraint and each type of sticky prices. The models produce similar parameter estimates and the filtered shocks are nearly identical when the Fed was not constrained, but the Rotemberg model has a higher marginal data density and it endogenously generates more volatility at the ZLB, which helps explain data from 2008-2011.
http://www.ssrn.com/abstract=2850502
http://www.ssrn.com/1543386.htmlSun, 13 Nov 2016 17:17:26 GMTREVISION: Are Nonlinear Methods Necessary at the Zero Lower Bound?This paper examines the importance of using nonlinear methods to account for the zero lower bound (ZLB) on the Fed's policy rate. We estimate three models with a particle filter: (1) a nonlinear model with a ZLB constraint; (2) a constrained linear model that imposes the constraint in the filter but not the solution; and (3) an unconstrained linear model that never imposes the constraint. The linear models have a lower likelihood than the nonlinear model when the Fed is constrained and predict large monetary policy shocks during the ZLB period. We also compare the predictions from our nonlinear model to the quasi-linear solution with OccBin. OccBin captures the ZLB much better than the linear solutions but it still generates less endogenous volatility than the nonlinear model and it is not as conducive to estimation. Finally, we extend the baseline model to include a banking sector. We find larger differences between the predictions from the nonlinear model and both the linear and ...
http://www.ssrn.com/abstract=2819220
http://www.ssrn.com/1543370.htmlSun, 13 Nov 2016 17:16:53 GMTREVISION: Is Rotemberg Pricing Justified by Macro Data?Structural models used to study monetary policy often include sticky prices. Calvo pricing is more common but Rotemberg pricing has become popular due to its computational advantage. To determine whether the data supports that change, we estimate a nonlinear New Keynesian model with a zero lower bound (ZLB) constraint and each type of sticky prices. The models produce similar parameter estimates and the filtered shocks are nearly identical when the Fed was not constrained, but the Rotemberg model has a higher marginal data density and it endogenously generates more volatility at the ZLB, which helps explain data from 2008-2011.
http://www.ssrn.com/abstract=2850502
http://www.ssrn.com/1535191.htmlWed, 12 Oct 2016 18:30:26 GMTREVISION: The Zero Lower Bound and Endogenous UncertaintyThis paper examines the correlation between uncertainty and real GDP growth. We use the volatility of real GDP growth from a VAR, stock market volatility, survey-based forecast dispersion, and the index from Jurado et al. (2015) as proxies for uncertainty. In each case, a stronger negative correlation emerged in 2008. We contend the zero lower bound (ZLB) on the federal funds rate contributed to our finding. To test our theory, we estimate a New Keynesian model with a ZLB constraint to generate a data-driven, forward-looking uncertainty measure. The correlations between that measure and real GDP growth are close to the values in the data.
http://www.ssrn.com/abstract=2456425
http://www.ssrn.com/1534793.htmlTue, 11 Oct 2016 14:09:56 GMTREVISION: Are Nonlinear Methods Necessary at the Zero Lower Bound?This paper examines the importance of the zero lower bound (ZLB) constraint on the nominal interest rate by estimating three variants of a small-scale New Keynesian model: (1) a nonlinear model with an occasionally binding ZLB constraint; (2) a constrained linear model, which imposes the constraint in the filter but not the solution; and (3) an unconstrained linear model, which never imposes the constraint. The posterior distributions are similar, but important differences arise in their predictions at the ZLB. The nonlinear model fits the data better at the ZLB and primarily attributes the ZLB to a reduction in household demand due to discount factor shocks. In the linear models, the ZLB is due to large contractionary monetary policy shocks, which is at odds with the Fed's expansionary policy during the Great Recession. Posterior predictive analysis shows the nonlinear model is partially able to account for the increase in output volatility and the negative skewness in output and ...
http://www.ssrn.com/abstract=2819220
http://www.ssrn.com/1517941.htmlSun, 07 Aug 2016 13:43:29 GMT