J Faust… - Journal of Business & Economic Statistics, 1997 - JSTOR
Many recent articles have identified behavioral disturbances in vector autoregressions by
imposing restrictions on the long-run effects of shocks. This article demonstrates that this
approach will be unreliable unless the underlying economy satisfies three types of strong ...
J Faust… - 1998 - nber.org
We define and study transparency, credibility, and reputation in a model where the central
bank's characteristics are unobservable to the private sector and are inferred from the policy
outcome. A low-credibility bank optimally conducts a more inflationary policy than a high- ...
J Faust - Carnegie-Rochester Conference Series on Public …, 1998 - Elsevier
This paper presents a new way to assess robustness of claims from identified VAR work. All
possible identifications are checked for the one that is worst for the claim, subject to the
restriction that the VAR produce reasonable impulse responses to shocks. The parameter ...
J Faust… - Journal of Monetary Economics, 2003 - Elsevier
We address the role of monetary policy shocks in exchange rate behavior using an
inference procedure that allows us to relax dubious identifying assumptions. We find:(i) The
peak exchange rate response may be delayed or nearly immediate;(ii) In every otherwise ...
J Faust, JH Rogers… - Journal of International Economics, 2003 - Elsevier
We examine the real-time forecasting performance of standard exchange rate models, using
dozens of different vintages of data. Favorable evidence of long-horizon exchange rate
predictability for the DM and Yen found in Mark (American Economic Review 1995; 85: ...
A Ahearne, J Gagnon, J Haltmaier… - International Finance …, 2002 - vaamllc.com
Abstract: This paper examines Japan's experience in the first half of the 1990s to shed some
light on several issues that arise as inflation declines toward zero. Is it possible to recognize
when an economy is moving into a phase of sustained deflation? How quickly should ...
J Faust, JH Rogers… - Journal of Money, Credit and Banking, 2005 - JSTOR
Revisions to GDP announcements are known to be quite large in all G-7 countries; quarterly
growth rate revisions are regularly more than a full percentage point at an annualized rate.
We examine the predictability of these revisions using standard statistical tests of whether ...
J Faust… - 1999 - nber.org
We examine a central bank's endogenous choice of degree of control and degree of
transparency, under both commitment and discretion. Under commitment, we find that the
deliberate choice of sloppy control is far less likely under a standard central-bank loss ...
J Faust, JH Rogers, SYB Wang… - Journal of Monetary …, 2007 - Elsevier
The joint movements of exchange rates and US and foreign term structures over short-time
windows around macro announcements are studied using a 14-year span of high-frequency
data. In order to evaluate whether the joint effects can be reconciled with conventional ...
J Faust, J Rogers… - 2001 - papers.ssrn.com
Abstract: We estimate a monetary policy reaction function for the Bundesbank and use it as a
benchmark to assess the monetary policy of the ECB since the launch of the euro in January
1999. We find that euro interest rates are low relative to this benchmark. We consider ...
BM Doyle… - Review of Economics and Statistics, 2005 - MIT Press
This paper investigates breaks in the variability and comovement of output, consumption,
and investment in the G-7 economies. In contrast with most other papers on comovement,
we test for changes in comovement, allowing for breaks in mean and variance. Despite ...
J Faust, DW Henderson… - 2004 - papers.ssrn.com
Abstract: We describe the inflation targeting framework (ITF) and compare it against
hypothetical best-practice based on optimization. The core requirements of the ITF are an
explicit long-run inflation goal and a commitment to transparency in policymaking. ...
J Faust,
ET Swanson… - Journal of Monetary Economics, 2004 - Elsevier
Using the prices of federal funds futures contracts, we measure the impact of the surprise
component of Federal Reserve policy decisions on the expected future trajectory of interest
rates. We show how this information can be used to identify the effects of a monetary ...
J Faust - Journal of Monetary Economics, 1996 - Elsevier
The Federal Reserve has been called a bizarre policymaking structure. This paper
documents and formalizes a historical argument that the Fed's structure was a response to
public conflict over inflation's redistributive powers. The paper shows that, in the face of ...
J Faust… - Journal of Monetary Economics, 1999 - Elsevier
The political economy literature has enshrined as stylized fact the view that lower inflation
and temporarily lower growth follow the election of Republican presidents and has
emphasized political manipulation of monetary policy as an explanation. Support for the ...
BM Doyle… - Fed. Res. Bull., 2002 - HeinOnline
Early in 2000, after a decade of economic expansion, growth began to slow in the United
States. Over the ensuing months, the growth rates of gross domestic product began to
decline simultaneously in many countries, including each of the large, advanced ...
J Faust, JH Rogers,
E Swanson… - 2003 - nber.org
This paper proposes a new approach to identifying the effects of monetary policy shocks in
an international vector autoregression. Using high-frequency data on the prices of Fed
Funds futures contracts, we measure the impact of the surprise component of the FOMC- ...
J Faust… - Carnegie-Rochester Conference Series on Public …, 1997 - Elsevier
We characterize the LSE approach by its implications for reduced-form modeling and
structural interpretations. Much of what has come to be associated with the LSE
methodology involves the approach to fitting reduced forms, and can be thought of as a ...
J Faust,
ET Swanson… - Contributions to …, 2004 - ericswanson.us
Abstract A number of recent papers have hypothesized that the Federal Reserve possesses
information about the course of inflation and output that is unknown to the private sector, and
that policy actions by the Federal Reserve convey some of this superior information. We ...
J Faust - Econometrica: Journal of the Econometric Society, 1992 - JSTOR
This paper considers a class of statistics that can be written as the ratio of the sample
variance of a filtered time series to the sample variance of the original series. Any such
statistic is shown to be optimal under normality for testing a null of white noise against ...
J Faust - Econometric Theory, 1996 - Cambridge Univ Press
Abstract Said and Dickey (1984, Biometrika 71, 599–608) and Phillips and Perron (1988,
Biometrika 75, 335–346) have derived unit root tests that have asymptotic distributions free
of nuisance parameters under very general maintained models. Under models as general ...
J Faust… - Manuscript, Indiana University, 2005 - riksbank.se
Abstract. This paper argues that the most straightforward way central banks can enhance
transparency is to provide the following, in order of importance: i) an unconditional forecast
of the policy interest rate; ii) an unconditional forecast of goal variables; iii) conditional ...
J Faust - Board of Governors of the Federal Reserve System …, 1993 - federalreserve.gov
Abstract A number of recent papers have discussed the fact that difference stationary and
trend stationary processes are nearly observationally equivalent. The meaning of this fact,
however, remains clouded. This paper defines near observational equivalence and ...
D Bowman… - Journal of Political Economy, 1997 - JSTOR
We present two examples in which the addition of an option market leads to sunspot
equilibria despite the fact that no sunspot equilibria exist without the market. These
examples highlight limitations in two prevalent views of option markets. It is often assumed ...
[CITATION] Credibility and transparency: monetary policy with unobservable goals
JW Faust… - Int. Econ. Rev., forthcoming, 2000
J Faust… - Journal of Econometrics, 2008 - Elsevier
Central Banks regularly make forecasts, such as the Fed's Greenbook forecast, that are
conditioned on hypothetical paths for the policy interest rate. While there are good public
policy reasons to evaluate the quality of such forecasts, up until now, the most common ...
J Faust - Econometrica, 1999 - Wiley Online Library
OFTEN WE WISH TO MAKE INFERENCES about the spectrum of a time series and have
little a priori basis for restricting the class of possible processes. By the early 1970s, this
issue seemed largely settled with the appearance of textbook approaches to forming ...
J Faust - Manuscript, Federal Reserve Board, 2005 - crei.eu
Abstract In this paper, I argue that applied monetary policy analysis is hard. In particular, all
of our models are grossly deficient relative to the ideal, and this cannot be corrected in the
medium term. This view has important implications for answering the Simsian question of ...
J Faust - The American Economic Review, 1989 - JSTOR
In recent years, economists have attempted to elucidate the micro-foundations of the
demand for money by rigorously modeling monetary economies. Work toward this goal has
been hampered by a perplexing problem: in standard models of finite-duration economies ...
[CITATION] Do Long Run Restrictions Really Identify Anything?
J Faust… - Journal of Business and Economic Statistics, 1997
[CITATION] The New Macro Models: Washing Our Hands and Watching for Icebergs
J Faust - Economic Review, 2009
[CITATION] Do long-run identifying restrictions identify anything
F Canova, J Faust… - Manuscript, Federal Reserve Board, 1993
J Faust… - manuscript, Johns Hopkins University, 2011 - econ2.jhu.edu
Long $ term nominal commitments such as labor contracts, mortgages and other debt, and
price stickiness are overwhelming features of modern economies. In such a world,
forecasting how the general price level will evolve over the life of a commitment is an ...
B Higgins… - Economic Review, 1981 - kansascityfed.org
The velocity of money, sometimes called the" turnover rate," has long been a central concept
in macroeconomic analysis. The proposition that the velocity of money is stable was the
cornerstone of the original quantity theory of money, which emphasized the role of the ...
[CITATION] Does the fed possess inside information about the economy
J Faust,
E Swanson… - Manuscript, Board of Governors of the Federal …, 2002
J Faust - Federal Reserve Bank of Kansas City Economic …, 1990 - kc.frb.org
In the decade of the 1980s, huge debt-financed takeovers spotlighted the rapid growth in
corporate debt in the United States. With the rise in debt, nonfinancial corporations enter the
1990s with debt equal to about 40 percent of gross national product, up almost ten ...
D Berger, J Faust, JH Rogers… - 2009 - papers.ssrn.com
Abstract: We analyze retail prices and at-the-dock (import) prices of specific items in the
Bureau of Labor Statistics'(BLS) CPI and IPP databases, using both databases
simultaneously to identify items that are identical in description at the dock and when sold ...
J Faust - Manuscript, Johns Hopkins University, 2008 - 217.114.82.6
¤ Suppose all [economics] can do is help us to organize our necessarily incomplete
perceptions about the economy, to see connections the untutored eye would miss, to tell
plausible stories with the help of a few central principles.... In that case what we want a ...
B Higgins… - Economic Review, 1983 - kansascityfed.com
The concept of money has long played a central role in economic theory and analysis.
Moreover, empirical measures of money have increasingly been used in the implementation
of monetary policy. Nevertheless, there has never been complete agreement on how best ...
[CITATION] A variance ratio test for mean reversion: statistical properties and implementation
J Faust - mimeographed, Federal Reserve Bank of Kansas City, 1989
J Faust, S Gilchrist, JH Wright… - 2011 - nber.org
Employing a large number of real and financial indicators, we use Bayesian Model
Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the
predictor set includes option-adjusted credit spread indexes based on bond portfolios ...
J Faust - Economic Review, 1989 - frbkc.org
In the decades following World War II, the United States came to be known as the world's
largest lender, helping to finance economic growth throughout the world. Indeed, by 1981
the United States had amassed $141 billion in net holdings of foreign assets. In the three ...
[CITATION] VForecasts and Inflation Reports: An Eval# uationV
J Faust… - Washington, DC: Federal Reserve Board, 2005
[CITATION] Do Federal Reserve policy surprises reveal private information about the economy
J Faust,
E Swanson… - Manuscript, Board of Governors of the Federal …, 2003
[CITATION] The Equilibrium Degree of Transparency and Control in
J Faust… - 2002
D Berger, J Faust, J Rogers… - … paper. Washington: Board …, 2007 - app.ny.frb.org
Page 1. Border Prices and Retail Prices David Berger (Yale) Jon Faust (John Hopkins) John
H. Rogers (Federal Reserve Board) Kai Steverson (Federal Reserve Board) December 7, 2007
Page 2. What We Do * Use CPI and IPP databases US Bureau of Labor Statistics ...
J Faust… - Review of Economics and Statistics, 2011 - MIT Press
Abstract It is well known that augmenting a standard linear regression model with variables
that are correlated with the error term but uncorrelated with the original regressors will
increase the asymptotic efficiency of the original coefficients. We argue that in the context ...
[CITATION] News or Noise in G-7 GDP Announcements
J Faust, JH Rogers… - August 2001. Working Paper
J Faust… - Carnegie-Rochester Conference Series …, 1997 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. In case of further problems read the IDEAS help page. Note that these files are
not on the IDEAS site. Please be patient as the files may be large.
[CITATION] Forecasts and inflation reports: An evaluation. Paper prepared for the Sveriges Riksbank conference, Inflation Targeting: Implementation, Communication …
J Faust… - 2005
[CITATION] Commentary on Infl ation and Growth: In Search of a Stable Relationship
F Jon - Federd Reserve Bank of St. Louis Re 口/ew, 1996
J Faust… - 2009 - econ2.jhu.edu
Abstract: Financial asset returns are widely agreed to be somewhat predictable. This paper
is concerned with decomposing these predictable returns into those earned in short
windows around the times of macroeconomic news announcements (which mostly come ...
[CITATION] Do Federal Reserve Policy Surprises Reveal Inside Information About the Economy?
J Faust, ET Swanson… - 2002 - mimeo. Washington, DC: Federal …
J Faust… - 2010 - mpra.ub.uni-muenchen.de
In this paper, we develop and apply certain tools to evaluate the strengths and weaknesses
of dynamic stochastic general equilibrium (DSGE) models. In particular, this paper makes
three contributions: One, it argues the need for such tools to evaluate the usefulness of the ...
J Faust - Journal of Business and Economic Statistics, 2007 - ASA
5. CONCLUSION The DS approach is already practically useful and appears to be the most
promising direction to follow in developing models that combine accurate probability
modeling of the behavior of economic time series with insights from stochastic general ...
[CITATION] When Credibility Matters: Monetary Policy with Unobserved Targets
J Faust… - 1996 - preparation
A Ahearne, JE Gagnon, J Haltmaier, S Kamin… - 2003 - papers.ssrn.com
Abstract: This paper examines Japan's experience in the first half of the 1990s to shed some
light on several issues that arise as inflation declines toward zero. Is it possible to recognize
when an economy is moving into a phase of sustained deflation? How quickly should ...
J Faust… - Computational economic systems: models, …, 1996 - books.google.com
Abstract. This paper examines variations on a baseline Fair-Taylor algorithm used to solve
multi-country, rational expectations models. One notable feature of these variations is the
ability to exploit small-scale distributed processing using a network of workstations or PCs. ...
[CITATION] Near Observational Equivalence: Generic Concepts and Peculiar Implications for Unit Root Tests
J Faust - draft, International Finance Division of the Federal …, 1992
[CITATION] 0. Svensson. 1998." Transparency and Credibility: Monetary Policy with Unobservable Goals."
J Faust… - … Paper 1852: 1-40. Centre for …
[CITATION] Joseph Gagnon, Jaime Marquez, Robert Martin, Trevor Reeve, and John Rogers,“Exchange Rate Pass-through to US Import Prices: Some New Evidence” …
M Marazzi, N Sheets, R Vigfusson… - … Discussion Papers, Board of Governors of the …
J Faust… - Manuscript, Johns Hopkins University, 2005 - nber.org
Abstract It is well known that augmenting a standard linear regression model with variables
that are correlated with the error term but uncorrelated with the original regressors will
increase asymptotic effi ciency of the original coeffi cients. We argue that in the context of ...
N Sheets, M Marazzi, R Vigfusson, J Faust… - IFCD Paper No. …, 2005 - papers.ssrn.com
Abstract: This paper documents a sustained decline in exchange rate pass-through to US
import prices, from above 0.5 during the 1980s to somewhere in the neighborhood of 0.2
during the last decade. This decline in the pass-through coefficient is robust to the ...
[CITATION] When Do Long-Run Identifying Restrictions Give Reliable Results?. Federal Reserve Bank of Atlanta
J Faust… - 1994 - Working Paper 94–2
[CITATION] Commentary [on Grayham E
J Faust… - Mizon's Progressive modeling of, 1995
[CITATION] Preventing Deflation: Lessons from Japan's Experience in the 1990s
C Erceg, J Faust, L Guerrieri, C Hemphill, L Kole… - … Finance Discussion Paper, …, 2002
J Faust - Economic, 1990 - kc.frb.org
Was investment growth strong or weak in the 1980s? This question is important because
strong investment has historically promoted higher living standards for US citizens.
Surprisingly, however, there is no consensus on the strength of investment in recent years. ...
[CITATION] Theoretical and empirical asset price anomalies
JW Faust - 1988 - University of California, Berkeley
J Faust - International Finance Discussion Papers, 1992 - federalreserve.gov
Abstract The Federal Reserve Act erected a unique structure of government decisionmaking,
independent with elaborate rules balancing internal power. Historical evidence suggests
that this outcome was a response to public conflict over inflation's redistributive powers. ...
[CITATION] The Robustness of Identified VAR Conclusions about Money ', International Finance Discussion Paper s 610, Board of Governors of the Federal Reserve …
J Faust - 1998
J Faust… - Review of economics and statistics, 2005 - dialnet.unirioja.es
... Breaks in the Variability and Comovement of G-7 Economic Growth. Autores: Jon Faust, Brian
M. Doyle; Localización: Review of economics and statistics, ISSN 0034-6535, Vol. 87, Nº 4, 2005 ,
págs. 721-740. Fundación Dialnet. Acceso de usuarios registrados. ...
J Faust - International Journal of Central Banking, 2012 - ijcb.org
I was very pleased to be invited to participate in the Third Annual Fall IJCB Conference on
Monetary Policy Issues in Open Economics. When the IJCB was initially conceived, I was a
Federal Reserve economist. From the outset of my years at the Federal Reserve, I ...
J Faust - Proceedings, 1996 - econpapers.repec.org
... Please update your bookmarks. Inflation and growth: in search of a stable relationship -
commentary. Jon Faust. Proceedings, 1996, issue May, pages 147-149. Keywords: Inflation;
(Finance) (search for similar items in EconPapers) Date: 1996 Track citations by RSS feed. ...
Abstract: This paper proposes a new approach to identifying the effects of monetary policy
shocks in an international vector autoregression. Using high-frequency data on the prices of
Fed Funds futures contracts, we measure the impact of the surprise component of the ...
J Faust - Working Paper, 2008 - 199.169.243.129
Abstract: This working paper comments on Monika Piazzesi and Martin Schneider's “Bond
Positions, Expectations, and the Yield Curve,” delivered at the Fiscal Policy and
Monetary/Fiscal Policy Interactions conference held at the Atlanta Fed on April 19–20, ...
J Faust - Financial Letters, 1989 - econpapers.repec.org
... Please update your bookmarks. Does the inverted yield curve signal a recession? Jon Faust ().
Financial Letters, 1989, issue Mar. Keywords: Interest rates; Recessions (search for similar
items in EconPapers) Date: 1989 Track citations by RSS feed. ...
J Faust… - Fed. Res. Bull., 2004 - HeinOnline
On March 26 and 27, 2004, the Federal Reserve Board held a conference in Washington,
DC, on the application of economic models to the analysis of monetary policy issues. The
papers presented at the conference addressed several topics that, because they are of ...
J Faust, J Rogers… - federalreserve.gov
Abstract: We estimate a monetary policy reaction function for the Bundesbank and use it as a
benchmark to assess the monetary policy of the ECB since the launch of the euro in January
1999. We find that euro interest rates are low relative to this benchmark. We consider ...
F Jon, EO Lars - ukpmc.ac.uk
We examine a central bank's endogenous choice of degree of control and degree of
transparency, under both commitment and discretion. We argue that discretion is the more
realistic assumption for the choice of control and that commitment is more realistic for the ...
[CITATION] Board of Governors of the Federal Reserve System
A Ahearne, J Gagnon, J Haltmaier, S Kamin… - 2002
D Berger, J Faust, JH Rogers… - federalreserve.gov
Abstract: We analyze retail prices and at-the-dock (import) prices of specific items in the
Bureau of Labor Statistics'(BLS) CPI and IPP databases, using both databases
simultaneously to identify items that are identical in description at the dock and when sold ...
J Faust - c.federalreserve.gov
Abstract: A number of recent papers have discussed the fact that difference stationary and
trend stationary processes are nearly observationally equivalent. The meaning of this fact,
however, remains clouded. This paper defines near observational equivalence and ...
J Faust… - 1994 - c.federalreserve.gov
Abstract Many recent papers have tried to identify behavioral disturbances in vector
autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This
paper argues that this approach will support reliable structural inferences only if the ...
J Faust - Research Working Paper, 1989 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Optimal
variance ratio tests for serial dependence and a test for mean reversion. Jon Faust (). No 89-07,
Research Working Paper from Federal Reserve Bank of Kansas City. ...
J Faust - Journal of Money, Credit and Banking, 2001 - JSTOR
Applying a cross-country growth regression approach, the paper by Ross Levine and Maria
Carkovic attempts to quantify the growth effects that might flow from providing a more stable
nominal environment low and steady inflation and stable exchange rates. Thus, the paper ...
J Faust - c.federalreserve.gov
Abstract: Textbook approaches to forming asymptotically justified confidence intervals for the
spectrum under very general assumptions were developed by the mid-1970s. This paper
shows that under the textbook assumptions, the true confidence level for these intervals ...
J Faust… - 1999 - cepr.org
We examine a central bank's endogenous choice of degree of control and degree of
transparency, under both commitment and discretion. Under commitment, we find that the
deliberate choice of sloppy control is far less likely under a standard central-bank loss ...
J Faust, JH Rogers… - federalreserve.gov
Abstract: Revisions to GDP announcements are known to be quite large in all G-7 countries:
many revisions in quarterly GDP growth are over a full percentage point at an annualized
rate. In this paper, we examine the predictability of these data revisions. Previous work ...
J Faust… - federalreserve.gov
Abstract: We define and study transparency, credibility, and reputation in a model where the
central bank's characteristics are unobservable to the private sector and are inferred from
the policy outcome. A low-credibility bank optimally conducts a more inflationary policy ...
J Faust, JH Rogers, SYB Wang… - federalreserve.gov
Abstract: Many recent papers have studied movements in stock, bond, and currency prices
over short windows of time around macro announcements. This paper adds to the
announcement effects literature in two ways. First, we study the joint announcement ...
HB Willem, B David, C Alec, C John, F Jon… - ukpmc.ac.uk
This paper argues that thefiscal theory or the price level'(FTPL), developed byWoodford,
Cochrane, Sims and others, is a fallacy. The source of the fallacy is an elementary economic
misspecification. The FTPLdenies a fundamental property of any model of a market ...
J Faust… - federalreserve.gov
Abstract: Many recent papers have tried to identify behavioral disturbances in vector
autoregressions (VAR's) by imposing restrictions on the long-run effects of shocks. This
paper argues that this approach will support reliable structured inferences only if the ...
[CITATION] Board of Governors of the Federal Reserve System
BM Doyle… - 2003
[CITATION] NEW WAYS OF IDENTIFYING OLS VARS
D Bowman… - federalreserve.gov
Abstract: We present a model in which the addition of an option market leads to sunspot
equilibria in an economy which has no sunspot equilibrium before the market is introduced.
This phenomenon occurs because the payoff of an option contract is contingent upon ...
J Faust… - c.federalreserve.gov
Abstract: We describe the inflation targeting framework (ITF) and compare it against
hypothetical best-practice based on optimization. The core requirements of the ITF are an
explicit long-run inflation goal and a commitment to transparency in policymaking. ...
J Faust - federalreserve.gov
Abstract: The Federal Reserve Act erected a unique structure of government
decisionmaking, independent with elaborate rules balancing internal power. Historical
evidence suggests that this outcome was a response to public conflict over inflation's ...
J Faust… - 1998 - cepr.org
We define and study transparency, credibility and reputation in a model where the central
bank's characteristics are unobservable to the private sector and are inferred from the policy
outcome. A low-credibility bank optimally conducts a more inflationary policy than a high- ...
J Faust - 2006 - frbatlanta.org
Abstract Central Banks regularly make forecasts, such as the Fed's Greenbook forecast, that
are conditioned on hypothetical paths for the policy interest rate. While there are good public
policy reasons to evaluate the quality of such forecasts, up until now, the most common ...
J Faust - Review, 2009 - econpapers.repec.org
By Jon Faust; Commentary on Issues on potential growth measurement and
comparison: how structural is the production function approach? ... production function
approach? Jon Faust. Review, 2009, issue Jul, pages 241-246. ...
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