Central bank research hub - Papers by Roger E. A. Farmer
https://www.bis.org/cbhub/list/author/author_2316/index.rss
Research hub papers by author Roger E. A. FarmerenSome International Evidence for Keynesian Economics Without the Phillips Curve
https://www.federalreserve.gov/econres/feds/files/2019032pap.pdf
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series by Roger E. A. Farmer and Giovanni NicoloSome International Evidence for Keynesian Economics Without the Phillips Curve2019-04-30T23:00:32ZFarmer and NicolĂ˛ (2018) show that the Farmer Monetary (FM)-model outperforms the three-equation New-Keynesian (NK)-model in post war U.S. data. In this paper, we compare the marginal data density of the FM-model with marginal data densities for determinate and indeterminate versions of the NK-model for three separate samples using U.S., U.K. and Canadian data. We estimate versions of both models that restrict the parameters of the private sector equations to be the same for all three countries. Our preferred specification is the constrained version of the FM-model which has a marginal data density that is more than 30 log points higher than the NK alternative. Our findings also demonstrate that cross-country macroeconomic differences are well explained by the different shocks that hit each economy and by differences in the ways in which national central banks reacted to those shocks.Some International Evidence for Keynesian Economics Without the Phillips CurveFull texthttps://www.federalreserve.gov/econres/feds/files/2019032pap.pdfGiovanni NicoloRoger E. A. FarmerRoger E. A. Farmer and Giovanni Nicolo2019-05-29Board of Governors of the Federal Reserve System Finance and Economics Discussion SeriesE00E12E52F42F44Understanding Markov-Switching Rational Expectations Models
http://www.frbatlanta.org/filelegacydocs/wp0905.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaUnderstanding Markov-Switching Rational Expectations Models2009-03-24T17:38:59ZWe develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov switching with forward-looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.Understanding Markov-Switching Rational Expectations ModelsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=0FC7FC9A-5056-9F12-1271FFA4DFFAB9DC&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0905.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2009-03Federal Reserve Bank of Atlanta Working PapersMinimal State Variable Solutions to Markov-Switching Rational Expectations Models
http://www.frbatlanta.org/filelegacydocs/wp0823.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaMinimal State Variable Solutions to Markov-Switching Rational Expectations Models2008-10-03T07:14:59ZMinimal State Variable Solutions to Markov-Switching Rational Expectations ModelsAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=BE917AE1-5056-9F12-12911814A649E9DA&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0823.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2008-10Federal Reserve Bank of Atlanta Working PapersGeneralizing the Taylor Principle: Comment
http://www.frbatlanta.org/filelegacydocs/wp0819.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaGeneralizing the Taylor Principle: Comment2008-09-22T17:38:59ZGeneralizing the Taylor Principle: CommentAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=57D5B9FB-5056-9F12-12ADB837A622DB9E&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0819.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2008-09Federal Reserve Bank of Atlanta Working PapersUnderstanding the New Keynesian Model When Monetary Policy Switches Regimes
http://www.frbatlanta.org/filelegacydocs/wp0712.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaUnderstanding the New Keynesian Model When Monetary Policy Switches Regimes2007-07-03T19:00:59ZUnderstanding the New Keynesian Model When Monetary Policy Switches RegimesAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=6D6980F0-5056-9F12-1250D7154503D094&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0712.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2007-07Federal Reserve Bank of Atlanta Working PapersIndeterminacy in a Forward-Looking Regime-Switching Model
http://www.frbatlanta.org/filelegacydocs/wp0619.pdf
Atlanta Fed Working papers by Roger E.A. Farmer, Daniel F. Waggoner, and Tao ZhaIndeterminacy in a Forward-Looking Regime-Switching Model2006-11-14T07:12:00ZIndeterminacy in a Forward-Looking Regime-Switching ModelAbstracthttp://www.frbatlanta.org/invoke.cfm?objectid=E1D6ACEE-5056-9F12-1252B6299ECE9449&method=displayFull texthttp://www.frbatlanta.org/filelegacydocs/wp0619.pdfTao ZhaDaniel F. WaggonerRoger E. A. FarmerRoger E.A. Farmer, Daniel F. Waggoner, and Tao Zha2006-11Federal Reserve Bank of Atlanta Working PapersA method to generate structural impulse-responses for measuring the effects of shocks in structural macro models
http://www.ecb.int/pub/pdf/scpwps/ecbwp586.pdf
European Central Bank Working papers by Andreas Beyer and Roger E. A. FarmerA method to generate structural impulse-responses for measuring the effects of shocks in structural macro models2006-02-09T19:02:59ZA method to generate structural impulse-responses for measuring the effects of shocks in structural macro modelsECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp586.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer and Roger E. A. Farmer2006-02European Central Bank Working PapersC39C62D51E52E58Factor analysis in a New-Keynesian model
http://www.ecb.int/pub/pdf/scpwps/ecbwp510.pdf
European Central Bank Working papers by Andreas Beyer, Roger E. A. FarmerFactor analysis in a New-Keynesian model2005-08-22T17:30:59ZFactor analysis in a New-Keynesian modelECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp510.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer, Roger E. A. Farmer2005-08European Central Bank Working PapersE5E52E58On the indeterminacy of determinacy and indeterminacy
http://www.ecb.int/pub/pdf/scpwps/ecbwp277.pdf
European Central Bank Working papers by Andreas Beyer and Roger E. A. FarmerOn the indeterminacy of determinacy and indeterminacy2004-04-13T17:32:00ZOn the indeterminacy of determinacy and indeterminacyECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp277.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer and Roger E. A. Farmer2003-09European Central Bank Working PapersIdentifying the monetary transmission mechanism using structural breaks
http://www.ecb.int/pub/pdf/scpwps/ecbwp275.pdf
European Central Bank Working papers by Andreas Beyer and Roger E. A. FarmerIdentifying the monetary transmission mechanism using structural breaks2004-04-13T17:32:00ZIdentifying the monetary transmission mechanism using structural breaksECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp275.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer and Roger E. A. Farmer2003-09European Central Bank Working PapersOn the indeterminacy of new-Keynesian economics
http://www.ecb.int/pub/pdf/scpwps/ecbwp323.pdf
European Central Bank Working papers by Andreas Beyer and Roger E.A. FarmerOn the indeterminacy of new-Keynesian economics2004-04-13T17:32:00ZOn the indeterminacy of new-Keynesian economicsECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp323.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer and Roger E.A. Farmer2004-03European Central Bank Working PapersC39C62D51E52E58Natural rate doubts
http://www.ecb.int/pub/pdf/scpwps/ecbwp121.pdf
European Central Bank Working papers by Andreas Beyer and Roger E. A. FarmerNatural rate doubts2003-04-02T15:23:59ZNatural rate doubtsECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp121.pdfAndreas BeyerRoger E. A. FarmerAndreas Beyer and Roger E. A. Farmer2002-02European Central Bank Working Papers