Central bank research hub - Papers by Evan F. Koenig
https://www.bis.org/cbhub/list/author/author_6717/index.rss
Research hub papers by author Evan F. KoenigenThe roles of inflation expectations, core inflation, and slack in real-time inflation forecasting
http://www.dallasfed.org/assets/documents/research/papers/2016/wp1613.pdf
Dallas Fed Working Papers by N. Kundan Kishor and Evan F. KoenigThe roles of inflation expectations, core inflation, and slack in real-time inflation forecasting2016-11-01T00:00:00ZUsing state-space modeling, we extract information from surveys of long-term inflation expectations and multiple quarterly inflation series to undertake a real-time decomposition of quarterly headline PCE and GDP-deflator inflation rates into a common long-term trend, common cyclical component, and high-frequency noise components. We then explore alternative approaches to real-time forecasting of headline PCE inflation. We find that performance is enhanced if forecasting equations are estimated using inflation data that have been stripped of high-frequency noise. Performance can be further improved by including an unemployment-based measure of slack in the equations. The improvement is statistically significant relative to benchmark autoregressive models and also relative to professional forecasters at all but the shortest horizons. In contrast, introducing slack into models estimated using headline PCE inflation data or conventional core inflation data causes forecast performance to deteriorate. Finally, we demonstrate that forecasting models estimated using the Kishor-Koenig (2012) methodology-which mandates that each forecasting VAR be augmented with a flexible state-space model of data revisions-consistently outperform the corresponding conventionally estimated forecasting models.The roles of inflation expectations, core inflation, and slack in real-time inflation forecastingFull texthttp://www.dallasfed.org/assets/documents/research/papers/2016/wp1613.pdfN. Kundan KishorEvan F. KoenigN. Kundan Kishor and Evan F. Koenig2016-11-01Federal Reserve Bank of Dallas Working PapersE31E37Like a Good Neighbor: Monetary Policy, Financial Stability, and the Distribution of Risk
http://www.ijcb.org//www.ijcb.org/journal/ijcb13q2a3.pdf
IJCB International Journal of Central Banking by Evan F. KoenigLike a Good Neighbor: Monetary Policy, Financial Stability, and the Distribution of Risk2013-06-03T11:54:59ZIn an economy in which debt obligations are fixed in nominalLike a Good Neighbor: Monetary Policy, Financial Stability, and the Distribution of RiskAbstracthttp://www.ijcb.org/journal/ijcb13q2a3.htmFull texthttp://www.ijcb.org//www.ijcb.org/journal/ijcb13q2a3.pdfEvan F. KoenigEvan F. Koenig2013-05IJCB International Journal of Central BankingA Real-Time Historical Database for the OECD
http://dallasfed.org/institute/wpapers/2011/0096.pdf
Dallas Fed Institute Working Papers by Adriana Z. Fernandez, Evan F. Koenig and Alex Nikolsko-RzhevskyyA Real-Time Historical Database for the OECD2011-11-30T12:41:59ZAbstract: Ongoing economic globalization makes real-time international data increasingly relevant, though little work has been done on collecting and analyzing real-time data for economies other than the U.S. In this paper, we introduce and examine a new international real-time dataset assembled from original quarterly releases of 13 quarterly variables presented in the OECD Main Economic Indicators from 1962 to 1998 for 26 OECD countries. By merging this data with the current OECD real-time dataset, which starts in 1999, researchers get access to a standard, up-to-date resource. To illustrate the importance of using real-time data in macroeconomic analysis, we consider five economic applications analyzed from a real-time perspective.A Real-Time Historical Database for the OECDFull texthttp://dallasfed.org/institute/wpapers/2011/0096.pdfAlex Nikolsko-RzhevskyyEvan F. KoenigAdriana Z. FernándezAdriana Z. Fernandez, Evan F. Koenig and Alex Nikolsko-Rzhevskyy2011-11Federal Reserve Bank of Dallas Globalization Institute Working PapersHow Robust Are Popular Models of Nominal Frictions?
http://www.dallasfed.org/research/papers/2009/wp0903.pdf
Dallas Fed Working Papers by Benjamin D. Keen and Evan F. KoenigHow Robust Are Popular Models of Nominal Frictions?2009-10-07T17:42:00ZAbstract: This paper analyzes three popular models of nominal price and wage fric tions to determine which best fits post-war U.S. data. We construct a dynamic stochastic general equilibrium (DSGE) model and use maximum likelihood to estimate each model's parameters. Because previous research finds that the conduct of monetary policy and the behavior of in‡ation changed in the early 1980s, we examine two distinct sample periods. Using a Bayesian, pseudo-odds measure as a means for comparison, a sticky price and wage model with dynamic indexation best fits the data in the early-sample period, whereas either a sticky price and wage model with static indexation or a sticky information model best fits the data in the late-sample period. Our results suggest that price- and wage-setting behavior may be sensitive to changes in the monetary policy regime. If true, the evaluation of alternative monetary policy rules may be even more complicated than previously believed.How Robust Are Popular Models of Nominal Frictions?Full texthttp://www.dallasfed.org/research/papers/2009/wp0903.pdfBenjamin D. KeenEvan F. KoenigBenjamin D. Keen and Evan F. Koenig2009-10Federal Reserve Bank of Dallas Working PapersC51E31E32E52Keynesian Economics without the LM and IS Curves: A Dynamic Generalization of the Taylor-Romer Model
http://www.dallasfed.org/research/papers/2008/wp0813.pdf
Dallas Fed Working Papers by Evan F. KoenigKeynesian Economics without the LM and IS Curves: A Dynamic Generalization of the Taylor-Romer Model2008-12-01T12:00:00ZAbstract: John Taylor and David Romer champion an approach to teaching undergraduate macroeconomics that dispenses with the LM half of the IS-LM model and replaces it with a rule for setting the interest rate as a function of inflation and the output gap¿i.e., a Taylor rule. Butthe IS curve is problematic, too. It is consistent with the permanent-income hypothesis only when the interest rate that enters the IS equation is a long-term rate¿not the short-term rate controlled by the monetary authority. This article shows how the Taylor-Romer framework can be readily modified to eliminate this maturity mismatch. The modified model is a dynamic system in output and inflation, with a unique stable path that behaves very much like Taylor and Romer¿s aggregate demand (AD) schedule. Many¿but not all¿of the original Taylor-Romer model¿s predictions carry over to the new framework. It helps bridge the gap between the Taylor-Romer analysis and the more sophisticated models taught in graduate-level courses.Keynesian Economics without the LM and IS Curves: A Dynamic Generalization of the Taylor-Romer ModelFull texthttp://www.dallasfed.org/research/papers/2008/wp0813.pdfEvan F. KoenigEvan F. Koenig2008-09Federal Reserve Bank of Dallas Working PapersVAR Estimation and Forecasting When Data Are Subject to Revision
http://www.dallasfed.org/research/papers/2005/wp0501.pdf
Dallas Fed Working Papers by N. Kundan Kishor and Evan F. KoenigVAR Estimation and Forecasting When Data Are Subject to Revision2005-02-14T17:56:59ZVAR Estimation and Forecasting When Data Are Subject to RevisionFull texthttp://www.dallasfed.org/research/papers/2005/wp0501.pdfEvan F. KoenigN. Kundan KishorN. Kundan Kishor and Evan F. Koenig2005-02Federal Reserve Bank of Dallas Working PapersOptimal Monetary Policy in Economies with ¿Sticky-Information¿ Wages
http://www.dallasfed.org/research/papers/2004/wp0405.pdf
Dallas Fed Working Papers by Evan F. KoenigOptimal Monetary Policy in Economies with ¿Sticky-Information¿ Wages2005-01-22T07:37:00ZOptimal Monetary Policy in Economies with ¿Sticky-Information¿ WagesFull texthttp://www.dallasfed.org/research/papers/2004/wp0405.pdfEvan F. KoenigEvan F. Koenig2004-01Federal Reserve Bank of Dallas Working Papers