ORCID Profile
0000-0003-0694-4443
Current Organisation
University of Adelaide
Does something not look right? The information on this page has been harvested from data sources that may not be up to date. We continue to work with information providers to improve coverage and quality. To report an issue, use the Feedback Form.
Publisher: Elsevier BV
Date: 09-2017
Publisher: Wiley
Date: 19-10-2022
DOI: 10.1111/OBES.12526
Abstract: Existing empirical evidence on the Euler equation based on closed economy models suggests low responsiveness of aggregate consumption to changes in interest rates. We incorporate open economy features and consider extensions that include habit formation and hand‐to‐mouth consumers. For several open economies and applying econometric methods that are robust to weak instruments and structural changes, we continue to find low values for the elasticity of intertemporal substitution, implying a small effect of real interest rate changes on aggregate income. In some countries, structural changes are informative for identification, but otherwise aggregate data provide limited information to learn about IS‐curve specifications.
Publisher: Wiley
Date: 03-05-2023
DOI: 10.1111/JMCB.13057
Abstract: We estimate a medium‐scale model with and without rule‐of‐thumb consumers over the pre‐Volcker and the Great Moderation periods, allowing for indeterminacy. Passive monetary policy and sunspot fluctuations characterize the pre‐Volcker period for both models. In both subs les, the estimated fraction of rule‐of‐thumb consumers is low, such that the two models are empirically almost equivalent they yield very similar impulse response functions, variance, and historical decompositions. We conclude that rule‐of‐thumb consumers are irrelevant to explain aggregate U.S. business cycle fluctuations.
Publisher: Reserve Bank of Australia
Date: 12-05-2023
DOI: 10.47688/RDP2023-04
Abstract: Understanding the effects of monetary policy and its communication is crucial for a central bank. This paper explores a new approach to identifying the effects of monetary policy using high-frequency data around monetary policy decisions and other announcements that allows us to explore different facets of monetary policy, specifically: current policy action signalling or forward guidance about future rates and the effect on uncertainty and term premia. The approach provides an intuitive lens through which to understand how policy and its communication affected expectations for rates and risks during certain historical periods, and more generally. For ex le, it suggests that: (i) signalling/forward guidance shocks tended to raise expected future policy rates in the mid-2010s as the RBA highlighted rising risks in housing markets (ii) COVID-19-era monetary policy worked mainly through affecting term premia rather than expectations for future policy rates, unlike pre-COVID-19 policy and (iii) shocks to the expected path of rates are predictable based on data available at the time, which suggests that markets systematically misunderstand how the RBA reacts to data, highlighting the importance of clear communication. We also explore the macroeconomic effects of these different shocks. The effects of shocks to current policy are similar to those estimated in previous papers, and existing issues such as the 'price puzzle' remain, while the effects of other shocks are imprecisely estimated. Although the approach provides little new information on the macroeconomic effects of monetary policy, it does highlight the importance of these other facets of policy in moving interest rates and suggests additional work in this space could be valuable.
Publisher: Wiley
Date: 15-04-2023
DOI: 10.1002/FOR.2987
Abstract: The asymptotic distributions of the recursive out‐of‐s le forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often complicates their implementation in practice because the computation of their asymptotic critical values is burdensome. Hansen and Timmermann (2015, Econometrica) propose a Wald approximation of the commonly used recursive ‐statistic and provide a simple characterization of the exact density of its asymptotic distribution. However, this characterization holds only when the larger model has one extra predictor or the forecast errors are homoscedastic. No such closed‐form characterization is readily available when the nesting involves more than one predictor and heteroscedasticity or serial correlation is present. We first show through Monte Carlo experiments that both the recursive ‐test and its Wald approximation have poor finite‐s le properties, especially when the forecast horizon is greater than one and forecast errors exhibit serial correlation. We then propose a hybrid bootstrap method consisting of a moving block bootstrap and a residual‐based bootstrap for both statistics and establish its validity. Simulations show that the hybrid bootstrap has good finite‐s le performance, even in multi‐step ahead forecasts with more than one predictor, and with heteroscedastic or autocorrelated forecast errors. The bootstrap method is illustrated on forecasting core inflation and GDP growth.
Publisher: Elsevier BV
Date: 2021
Publisher: Wiley
Date: 05-02-2021
DOI: 10.1111/OBES.12420
Abstract: We study the time‐varying effects of financial uncertainty shocks in the United States using a vector autoregression with drifting parameters and stochastic volatilities. We find negative effects of financial uncertainty shocks on real activity with both consumption and investment growth declining significantly and comoving along the entire s le. These effects remained fairly stable in the post‐WWII period but the negative response of investment growth became more pronounced during the Zero Lower Bound episode. Our findings lend empirical support to theoretical frameworks that can successfully capture this macroeconomic comovement following an uncertainty shock. Remarkably, we find a limited role for financial uncertainty shocks during the Great Recession.
Publisher: Elsevier BV
Date: 05-2021
No related grants have been discovered for Qazi Haque.