Robert H. Rasche
National Bureau of Economic Research
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Featured researches published by Robert H. Rasche.
The Review of Economics and Statistics | 1991
Dennis L. Hoffman; Robert H. Rasche
This study investigates the stability of long-run log-linear demand functions for narrowly defined monetary aggregates (M1, Monetary Base) in the U.S. during the post World War II period. The hypotheses that the individual time series which appear in such equations (real M1, real Monetary Base, real Personal Income and short-term and long-term nominal interest rates) all have unit roots cannot be rejected. The primary conclusion of this study is that with proper attention to the time series properties of the available data, there exists strong evidence in support of a stable equilibrium demand function for real balances in the post-World War II U.S. economy. The hypothesis of a unitary equilibrium real income elasticity (a velocity function) cannot be rejected. Further, the estimates of equilibrium interest elasticities are approximately -.5 to -.6 for real M1 and -.4 to -.5 for real monetary base. The estimated interest elasticities are significantly different statistically depending on whether long- term or short-term interest rates are used, but the observed differences in these estimates are not of economic significance.
The Economic Journal | 1992
Jack Meyer; Robert H. Rasche
This paper presents and implements a procedure which examines for empirical support for the location and scale condition. The Kolmogorov-Smirnov multisample test is used to determine if the distribution functions describing the nonsystematic risk component of rate of return for portfolios of common stock are equal to one another except for location and scale. Implications concerning the relationship between mean-variance and expected utility efficient sets are noted. Copyright 1992 by Royal Economic Society.
Canadian Parliamentary Review | 2005
Robert H. Rasche; Marcela M. Williams
This analysis addresses changing views of the role and effectiveness of monetary policy, inflation targeting as an effective monetary policy, monetary policy and short-run (output) stabilization, and problems in implementing a short-run stabilization policy.
International Journal of Central Banking | 2006
Jeremy M. Piger; Robert H. Rasche
We measure the relative contribution of the deviation of real activity from its equilibrium (the gap), “supply-shock” variables, and long-horizon inflation forecasts for explaining the U.S. inflation rate in the post-war period. For alternative specifications for the inflation-driving process and measures of inflation and the gap, we reach a similar conclusion: the contribution of changes in long-horizon inflation forecasts dominates that for the gap and supply-shock variables. Put another way, variation in long-horizon inflation forecasts explains the bulk of the movement in realized inflation. Further, we find evidence that long-horizon forecasts have become substantially less volatile over the sample period, suggesting that permanent shocks to the inflation rate have moderated. Finally, we use our preferred specification for the inflation-driving process to compute a history of model-based forecasts of the inflation rate. For both short and long horizons, these forecasts are close to inflation expectations obtained from surveys.
Macroeconomic Dynamics | 2011
James Morley; Jeremy M. Piger; Robert H. Rasche
We investigate the importance of trend inflation and the real-activity gap for explaining observed inflation variation in G7 countries since 1960. Our results are based on a bivariate unobserved-components model of inflation and unemployment in which inflation is decomposed into a stochastic trend and transitory component. As in recent implementations of the New Keynesian Phillips Curve, it is the transitory component of inflation, or inflation gap, that is driven by the real-activity gap, which we measure as the deviation of unemployment from its natural rate. Even when allowing for changes in the contributions of trend inflation and the inflation gap, we find that both are important determinants of inflation variation at business cycle horizons for all G7 countries throughout much of the past 50 years. Also, the real-activity gap explains a large fraction of the variation in the inflation gap for each country, both historically and in recent years. Taken together, the results suggest the New Keynesian Phillips Curve, once augmented to include trend inflation, is an empirically relevant model for the G7 countries. We also provide new estimates of trend inflation for the G7 that incorporate information in the real-activity gap for identification and, through formal model comparisons, new statistical evidence regarding structural breaks in the variability of trend inflation and the inflation gap.
Archive | 2006
Richard G. Anderson; Hailong Qian; Robert H. Rasche
In this paper, we examine the use of Box-Tiao*s (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen*s (1995) ML-based method suffers from severe small sample size distortions. Furthermore, the distributions of empirical economic and financial time series tend to display fat tails, heteroskedasticity and skewness that are inconsistent with the usual distributional assumptions of likelihood-based approach. The testing statistic based on Box-Tiao*s canonical correlations shows promise as an alternative to Johansen*s ML-based approach for testing of cointegration rank in VECM models.
Canadian Parliamentary Review | 2004
David E. Lindsey; Athanasios Orphanides; Robert H. Rasche
Archive | 1989
Jack Meyer; Robert H. Rasche
National Bureau of Economic Research | 2008
William Poole; Robert H. Rasche; David C. Wheelock
National Bureau of Economic Research | 1989
Dennis L. Hoffman; Robert H. Rasche