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Browsing Duke Faculty Scholarship by Author "0412099"

DukeSpace

Browsing Duke Faculty Scholarship by Author "0412099"

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  • A, B, C's (and D)'s for Understanding VARs
    Rubio-Ramirez, J.F.; Fernandez-Villaverde, Jesus; Sargent, Thomas J. (American Economic Review, 2005)
    The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector ...
  • Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach
    Rubio-Ramirez, J.F.; (IMF), Pau Rabanal (Journal of Monetary Economics, 2005)
    This paper estimates and compares four versions of the sticky price New Keynesian model using a Bayesian approach. We estimate an average duration of price contracts between four and seven quarters in all cases. When we ...
  • Reading the Recent Monetary History of the United States, 1959-2007
    Rubio-Ramirez, Juan F. (FEDERAL RESERVE BANK ST LOUIS, 2010)
    In this paper the authors report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. ...