Mariano Kulish

The University of Sydney · School of Economics

Evaluating the stability of the Phillips curve using aggregate data is challenging due to the bias that endogenous monetary policy imparts on estimated Phillips curve coefficients. We argue that regional data can be used to identify the structural relationship between unemployment and inflation. Our analysis, using city- and state-level data from 1...

At the zero lower bound, the expected duration of zero interest rate policy has two dimensions which are key to understanding the stance of monetary policy: (i) the actual duration communicated by the central bank or expected by the private sector, and (ii) the duration prescribed by the underlying monetary policy rule—the rule that is in place in...

We propose a shadow policy interest rate based on an estimated structural model that accounts for the zero lower bound. The lower bound constraint, if expected to bind, is contractionary and increases the shadow rate compared to an unconstrained systematic policy response. By contrast, forward guidance and other unconventional policies that extend...

We estimate a two‐country model of the US and Canada over the post 2009 sample to study the cross‐country spillovers of forward guidance shocks. To do so, we propose a method to identify forward guidance shocks during the fixed interest rate regime. The estimated forward guidance shocks coincide with significant US monetary policy announcements suc...

The early history of cycles research involved locating turning points in the data. Later, the development of methods such as spectral analysis led to a focus on oscillations. A distinction between cycles and oscillations is needed—both imply turning points, but turning points can occur without oscillations. Turning points can be identified in nonst...

We study disinflations under imperfect credibility of the central bank. We propose a framework to model imperfectly credible announcements and use it to study the distribution of the output cost for a given disinflation. Imperfect credibility is modeled as the extent to which agents rely on adaptive learning to form expectations. Lower credibility...

The development of Asia exposed commodity-exporting economies to unprecedented changes in their terms of trade. Using a small open economy model we estimate changes in the long-run level and variance of Australia’s terms of trade and study the quantitative implications of these changes. An innovation of our analysis is to account in estimation for...

We propose estimating DSGE models in which the central bank fixes the policy rate for an extended period of time and apply our approach to estimate expected durations of the Federal Reserve’s zero interest rate policy since 2009. We find a large increase in expected duration in 2011 with the move to calendar-based guidance and a decrease in 2013 wi...

Many articles which have estimated models with forward looking expectations have reported that the magnitude of the coefficients of the expectations term is very large when compared with the effects coming from past dynamics. This has sometimes been regarded as implausible and led to the feeling that the expectations coefficient is biased upwards....

In this paper, we develop solutions for linearized models with forward-looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about those structural changes. For each solution, we show how its associated likelihood function can be constructed by using a 'backward-forward' algorithm. We illustrate the te...

We study disinflations under imperfect credibility of the central bank. Imperfect credibility is modeled as the extent to which agents rely on adaptive learning to form expectations. Lower credibility increases the mean, variance, and skewness of the distribution of sacrifice ratios. When credibility is low, disinflationary policies become very cos...

Motivated by the increasing use of forward guidance, we consider DSGE models in which the central bank holds the policy rate fixed for an extended period of time. Private agents’ beliefs about how long the fixed-rate regime will last influences current output and inflation. We estimate the structural for US data and infer the expected duration of t...

Standard solution methods for linearised models with rational expectations take the structural parameters to be constant. These solutions are fundamental for likelihood-based estimation of such models. Regime changes, such as those associated with either changed rules for economic policy, institutional changes, or changes in the technology of produ...

Motivated by the increasing use of forward guidance, we consider DSGE models in which the central bank holds the policy rate fixed for an extended period of time. Private agents' beliefs about how long the fixed-rate regime will last influences current output and inflation. We estimate the structural parameters for US data and infer the expected du...

In a model where the risk premium on long-term debt is, in part, endogenously determined, we study two kinds of unconventional monetary policy: long-term nominal interest rates as operating instruments of monetary policy and announcements about the future path of the short-term rate. We find that both policies are consistent with unique equilibria,...

Standard solution methods for linear stochastic models with rational expectations presuppose a time-invariant structure. Consequently, credible announcements that entail future changes of the structure cannot be handled by standard solution methods. This paper develops the solution for linear stochastic rational expectations models in the face of a...

This paper studies determinants of some aspects of the structure of cities, including density and the price of land and housing. We use a version of the Alonso-Muth-Mills model, calibrated to broadly match some of the features of a representative large city. While the calibrated model omits many real-world features, it can nonetheless be used to ex...

Many papers which have estimated models with forward looking expectations have reported that the magnitude of the coefficients of the expectations term is very large when compared with the effects coming from past dynamics. This has sometimes been regarded as implausible and led to the feeling that the expectations coefficient is biased upwards. A...

We write a New Keynesian model as an aggregate demand curve and an aggregate supply curve, relating inflation to output growth. The graphical representation shows how structural shocks move aggregate demand and supply simultaneously. We estimate the curves on US data from 1948 to 2010 and study two recessions: the 2001 recession and the Great Reces...

The rational expectations equilibrium of a small open economy can be subject to indeterminacy if foreign monetary policy does not satisfy the Taylor principle. We study the implications of foreign induced indeterminacy in the two-country version of the sticky-price small open economy model. Our main finding is that 'smallness' is a property of the...

We study some economic consequences of aging in a general equilibrium overlapping generations model in which agents make optimal retirement decisions. The transitional dynamics of the economy are sensitive to the nature of the aging process, that is, the balance of declining fertility and rising longevity. Population aging unambiguously increases c...

Now that a number of central banks are faced with short-term nominal interest rates close to or at the zero lower bound, there is a renewed interest in the long-running debate about whether or not changes in the stock of money have direct effects. In particular, do changes in money have additional effects on aggregate demand outside of those induce...

Standard solution methods for linear stochastic models with rational expectations presuppose a time-invariant structure as well as an environment in which shocks are unanticipated. Consequently, credible announcements that entail future changes of the structure cannot be handled by standard solution methods. This paper develops the solution for lin...

Long-term nominal interest rates in a number of inflation-targeting small open economies have tended to be highly correlated with those of the United States. This observation has recently lent support to the view that the long end of the yield curve is determined abroad. We set up and estimate a micro-founded two-block small open economy model to s...

This paper studies two roles that long-term nominal interest rates can play in the conduct of monetary policy in a New Keynesian model. The first allows long-term rates to enter the reaction function of the monetary authority. The second considers the possibility of using long-term rates as instruments of policy. In both cases a unique rational exp...

The rational expectations equilibrium of a small open economy can be subject to indeterminacy if foreign monetary policy does not satisfy the Taylor principle. We study the implications of foreign-induced indeterminacy for the conduct of monetary policy in a small open economy. In the canonical sticky-price small open economy model, we find that in...

This paper studies the macroeconomic consequences of ageing in an overlapping-generations model with endogenous retirement. We study the behaviour of the economy when population ageing is driven by movements in fertility, changes in longevity, and a combination of both. To gauge the economic implications of these demographic changes we calibrate th...

This paper studies two types of interest rate rules that involve long-term nominal interest rates in the context of a New Keynesian model. The first type considers the possibility of adding longer-term rates to the list of variables the central bank reacts to in setting its short-term rate. The second type considers Taylor-type rules that are expre...

In this paper I study the ability of a standard New Keynesian model to reproduce the behavior of the term structure of interest rates for U.S. data. The model is consistent with important features of the data. The version of the expectations hypothesis embodied in the model does a good job in explaining the patterns of correlations between nominal...

Thesis (Ph. D.)--Boston College, 2005. Submitted to Dept. of Economics. Includes bibliographical references. Microfiche. s