Central bank research hub - Papers by Alexander Richter
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Research hub papers by author Alexander RichterenThe Accuracy of Linear and Nonlinear Estimation in the Presence of the Zero Lower Bound
https://www.dallasfed.org/-/media/documents/research/papers/2018/wp1804.pdf
Dallas Fed Working Papers by Tyler Atkinson, Alexander Richter and Nathaniel ThrockmortonThe Accuracy of Linear and Nonlinear Estimation in the Presence of the Zero Lower Bound2018-05-07T00:00:00ZThis paper evaluates the accuracy of linear and nonlinear estimation methods for dynamic stochastic general equilibrium models. We generate a large sample of artificial datasets using a global solution to a nonlinear New Keynesian model with an occasionally binding zero lower bound (ZLB) constraint on the nominal interest rate. For each dataset, we estimate the nonlinear model-solved globally, accounting for the ZLB-and the linear analogue of the nonlinear model-solved locally, ignoring the ZLB-with a Metropolis-Hastings algorithm where the likelihood function is evaluated with a Kalman filter, unscented Kalman filter, or particle filter. In datasets that resemble the U.S. experience, the nonlinear model estimated with a particle filter is more accurate and has a higher marginal data density than the linear model estimated with a Kalman filter, as long as the measurement error variances in the particle filter are not too big.The Accuracy of Linear and Nonlinear Estimation in the Presence of the Zero Lower BoundFull texthttps://www.dallasfed.org/-/media/documents/research/papers/2018/wp1804.pdfAlexander RichterNathaniel ThrockmortonTyler AtkinsonTyler Atkinson, Alexander Richter and Nathaniel Throckmorton2018-05-07Federal Reserve Bank of Dallas Working PapersC11C32C51E43Uncertainty Shocks in a Model of Effective Demand: Comment
https://www.dallasfed.org/~/media/documents/research/papers/2017/wp1706.pdf
Dallas Fed Working Papers by Oliver de Groot, Alexander Richter and Nathaniel ThrockmortonUncertainty Shocks in a Model of Effective Demand: Comment2017-05-19T00:00:00ZUncertainty Shocks in a Model of Effective Demand: CommentFull texthttps://www.dallasfed.org/~/media/documents/research/papers/2017/wp1706.pdfOliver de GrootAlexander RichterNathaniel ThrockmortonOliver de Groot, Alexander Richter and Nathaniel Throckmorton2017-05-19Federal Reserve Bank of Dallas Working PapersD81E32A New Way to Quantify the Effect of Uncertainty
https://www.dallasfed.org/~/media/documents/research/papers/2017/wp1705.pdf
Dallas Fed Working Papers by Alexander Richter and Nathaniel ThrockmortonA New Way to Quantify the Effect of Uncertainty2017-05-04T00:00:00ZThis 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 smallerA New Way to Quantify the Effect of UncertaintyFull texthttps://www.dallasfed.org/~/media/documents/research/papers/2017/wp1705.pdfAlexander RichterNathaniel ThrockmortonAlexander Richter and Nathaniel Throckmorton2017-05-04Federal Reserve Bank of Dallas Working PapersC11D81E32E58Forward guidance and the state of the economy
http://www.dallasfed.org/assets/documents/research/papers/2016/wp1612.pdf
Dallas Fed Working Papers by Benjamin D. Keen, Alexander Richter and Nathaniel ThrockmortonForward guidance and the state of the economy2016-11-08T00:00:00ZThis paper examines forward guidance using a nonlinear New Keynesian model with a zero lower bound (ZLB) constraint on the nominal interest rate. Forward guidance is modeled with news shocks to the monetary policy rule. The effectiveness of forward guidance depends on the state of the economy, the speed of the recovery, the ZLB constraint, the degree of uncertainty, the monetary response to inflation, the size of the news shocks, and the forward guidance horizon. Specifically, the stimulus from forward guidance falls as the economy deteriorates or as households expect a slower recovery. When the ZLB binds, less uncertainty about the economy or an expectation of a stronger response to inflation reduces the benefit of forward guidance. Forward guidance via a news shock is less stimulative than an unanticipated monetary policy shock around the steady state, but a news shock is more stimulative near the ZLB and always has a larger cumulative effect on output. When the central bank extends the forward guidance horizon, the cumulative effect initially increases but then decreases. These results indicate that there are limits to the stimulus forward guidance can provide, but that stimulus is largest when the news is communicated early in a recession.Forward guidance and the state of the economyFull texthttp://www.dallasfed.org/assets/documents/research/papers/2016/wp1612.pdfBenjamin D. KeenAlexander RichterNathaniel ThrockmortonBenjamin D. Keen, Alexander Richter and Nathaniel Throckmorton2016-11-08Federal Reserve Bank of Dallas Working PapersE43E58E61Are nonlinear methods necessary at the zero lower bound?
http://www.dallasfed.org/assets/documents/research/papers/2016/wp1606.pdf
Dallas Fed Working Papers by Alexander Richter and Nathaniel ThrockmortonAre nonlinear methods necessary at the zero lower bound?2016-08-02T00:00:00ZThis 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 occassionally 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 inflation that occurred during the ZLB period, whereas the linear models predict almost no changes in those statistics. We also compare the results from our nonlinear model to the quasi-linear solution based on OccBin. The quasi-linear model fits the data better than the linear models, but it still generate too little volatility at the ZLB and predicts that a large policy shock caused the ZLB to bind in 2008Q4.Are nonlinear methods necessary at the zero lower bound?Full texthttp://www.dallasfed.org/assets/documents/research/papers/2016/wp1606.pdfAlexander RichterNathaniel ThrockmortonAlexander Richter and Nathaniel Throckmorton2016-08-02Federal Reserve Bank of Dallas Working PapersC11E43E58The Stimulative Effect of Forward Guidance
http://research.stlouisfed.org/wp/more/2013-038/
St Louis Fed Working Papers by William T. Gavin, Benjamin D. Keen, Alexander Richter, and Nathaniel ThrockmortonThe Stimulative Effect of Forward Guidance2013-12-24T18:00:00ZThis article quantifies the stimulative effect of central bank forward guidancethe public announcement of the intended path for monetary policy in the futurewhen the nominal interest rate is stuck at its zero lower bound (ZLB).The Stimulative Effect of Forward GuidanceAbstracthttp://research.stlouisfed.org/wp/more/2013-038Full texthttp://research.stlouisfed.org/wp/2013/2013-038.pdfWilliam T. GavinBenjamin D. KeenNathaniel ThrockmortonAlexander RichterWilliam T. Gavin, Benjamin D. Keen, Alexander Richter, and Nathaniel Throckmorton2013-12Federal Reserve Bank of St Louis Working PapersGlobal Dynamics at the Zero Lower Bound
http://research.stlouisfed.org/wp/2013/2013-007.pdf
St Louis Fed Working Papers by William T. Gavin, Benjamin D. Keen, Alexander Richter, and Nathaniel ThrockmortonGlobal Dynamics at the Zero Lower Bound2013-02-16T06:21:59ZThis article presents global solutions to standard New Keynesian models to show how economic dynamics change when the nominal interest rate is constrained at its zero lower bound (ZLB).Global Dynamics at the Zero Lower BoundAbstracthttp://research.stlouisfed.org/wp/more/2013-007Full texthttp://research.stlouisfed.org/wp/2013/2013-007.pdfWilliam T. GavinBenjamin D. KeenNathaniel ThrockmortonAlexander RichterWilliam T. Gavin, Benjamin D. Keen, Alexander Richter, and Nathaniel Throckmorton2013-02Federal Reserve Bank of St Louis Working PapersE31E42E58E61