Economics Working papers

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Browsing Economics Working papers by Author "Haque, Q.G."

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    Monetary policy and indeterminacy after the 2001 slump
    (Centre for Applied Macroeconomic Analysis, 2016) Doko Tchatoka, F.; Groshenny, N.; Haque, Q.G.; Weder, M.
    This paper estimates a New Keynesian model of the U.S. economy over the period following the 2001 slump, a period for which the adequacy of monetary policy is intensely debated. To relate to this debate, we consider three alternative empirical inflation series in the estimation. When using CPI or PCE, we find some support for the view that the Federal Reserve’s policy was extra easy and may have led to equilibrium indeterminacy. Instead, when measuring inflation with core PCE, monetary policy appears to have been reasonable and sufficiently active to rule out indeterminacy. We then relax the assumption that inflation in the model is measured by a single indicator. We re-formulate the artificial economy as a factor model where the theory’s concept of inflation is the common factor to the three empirical inflation series. We find that CPI and PCE provide better indicators of the latent concept while core PCE is less informative. Again, this procedure cannot dismiss indeterminacy.
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    Monetary policy and indeterminacy after the 2001 slump
    (School of Economics, University of Adelaide, 2016) Doko Tchatoka, F.I.R.M.I.N.; Groshenny, N.I.C.O.L.A.S.; Haque, Q.G.; Weder, M.A.R.K.
    This paper estimates a New Keynesian model of the U.S. economy over the period following the 2001 slump, a period for which the adequacy of monetary policy is intensely debated. We nd that only when measuring in ation with core PCE does monetary policy appear to have been reasonable and su¢ ciently active to rule out indeterminacy. We then relax the assumption that in ation in the model is measured by a single indicator and re-formulate the arti cial economy as a factor model where the theory s concept of in ation is the common factor to the empirical in ation series. CPI and PCE provide better indicators of the latent concept while core PCE is less informative. Finally, we estimate an economy that distinguishes between core and headline in ation rates. This model comfortably rules out indeterminacy.
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    Monetary policy, target inflation and the great moderation: an empirical investigation
    (School of Economics, The University of Adelaide, 2017) Haque, Q.G.
    This paper compares the empirical fit of a Taylor rule featuring constant versus time-varying inflation target by estimating a Generalized New Keyne- sian model under positive trend inflation while allowing for indeterminacy. The estimation is conducted over two di¤erent periods covering the Great Inflation and the Great Moderation. We find that the rule embedding time variation in target inflation turns out to be empirically superior and determinacy prevails in both sample periods. Counterfactual simulations point toward both 'good policy' and 'good luck' as drivers of the Great Moderation. We find that bet- ter monetary policy, both in terms of a more active response to inflation gap and a more anchored inflation target, has resulted in the decline in inflation gap volatility and predictability. In contrast, the reduction in output growth variability is mainly explained by reduced volatility of technology shocks.