David Altig’s research while affiliated with Federal Reserve Bank of Cleveland and other places

... Both are limited to the long run effects and conclude for the regressivity of the reform. Examples of work that compute the whole transition path are Altig et al (2001), that impose an exogenous amount of debt over time across reforms, being its main contribution the formalization of intragenerational heterogeneity in a dynamic life cycle model and the specific calibration for the U.S. tax code. The other example is Ventura (1999) that compares distributions by income and wealth and not by welfare. ...

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Consumption Taxes and Redistribution

... It requires taking a stand on the percentage contribution of each type of shocks to output growth volatility. We set the marginal efficiency of investment shock contribution to 50 percent of output volatility based on evidence produced by Justiniano, Primiceri, and Tambalotti (2011) and others (Fisher, 2006a;Justiniano and Primiceri, 2008b;Justiniano, Primiceri, and Tambalotti, 2010a;Altig et al., 2011), 35% for the neutral technology, 10% for the monetary policy shock and 5% for the shock to the trend inflation. ...

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Welfare Costs of Shifting Trend Inflation and Staggered Nominal Contracts: Taylor vs. Calvo

... In addition, it should be noted that the literature is focused mainly on the effects of monetary policy on personal income distribution, not on functional income distribution (Kappes 2023). Notable exceptions can be found, among others, in the works of Christiano et al. (1997Christiano et al. ( , 2005, Altig et al. (2011), and Cantore et al. (2021). ...

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The impact of monetary policy on functional income distribution: a panel VAR analysis (1970-2019)

... During the 1990s, a new family of DSGE models incorporated in them fiscal policy, market imperfections, and shocks on other relevant variables such as the preferences (Benassy, 1995;Bernanke et al., 1999;Christiano & Eichenbaum, 1992;Clarida et al., 1999;Kim, 1998;King & Watson, 1996;Leeper & Sims, 1994;Rotemberg & Woodford, 1997). In the first decade of the current century, another family of DSGE models made its appearance, being in essence very similar to the previous, yet having higher mathematical complexity than ever before in order to reach the highest level of accuracy when representing an economy (Adolfson et al., 2007;Altig et al., 2005;Christiano et al., 2005;Iacoviello, 2005;Smets & Wouters, 2003;Smets & Wouters, 2007). ...

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An essay on the history of DSGE models

... In the literature, financial shocks most often take the form of monetary policy surprises (for instances King and Plosser (1984), Altig et al. (2004), and Clarida et al. (2002) or exchange rate regime changes (for instance, Baxter and Stockman (1989)). Once nominal frictions, like fixed prices and wages, are introduced, these models can generate impulse responses similar to those of technology shocks. ...

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A R&D Based Real Business Cycle Model

... However, even these rich models have not had the detail on domestic economic developments, such as specifications of highly disaggregated expenditure decisions, to address the range of questions typically analyzed by large models like the Federal Reserve's FRB/US model. 3 The Esti-3 See Reifschneider et al. [1997] for a discussion of the use of models (including the FRB/US model) in forecasting at the Federal Reserve and Brayton et al. [1997] for a discussion of the use of models in policy 5 mated, Dynamic, Optimization-based (Edo) model project at the Federal Reserve has been designed to build on earlier work at policy institutions, as well as academic research such as Smets and Wouters [2007] and Altig et al. [2004], by expanding the modeling of domestic economic decisions while investigating the ability of such DSGE models to examine a range of policy questions. For a detailed description and discussion of previous applications, the reader is referred to Edge et al. [2008], Edge et al. [2007a], and Edge et al. [2007b]. ...

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A Comparison of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, and a DSGE Model

... where y t is the endogenous variable vector with dimension r x 1 , x t is the observable state variables vector with dimension n x 1 , z t is the m x 1 exogenous state variables vector and " t is an m x 1 vector of stocastic variables such that E(" t ) = 0, E(" t " 0 t ) = , E(" t " 0 j ) = 0 for j 6 = t and where is a diagonal matrix, if n < m , the only …nite order representation of the model is a VARMA (p,q) representation 1 . It is argued that if the number of the exogenous variables exceeds the number of the observable state variables, the VARMA (p,q) can still be approximated by a …nite order VAR (p), provided that the VAR is characterized by a su¢ ciently high value of p. ...

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Does Cointegration Matter? An Analysis in a RBC Perspective

... The smaller is σ the more slowly marginal utility falls as consumption rises, so households are more willing to allow changes in 6 While the development of growth literature in the mainstream macroeconomics during the last few decade has been encouraging, application of these models in policy analysis has not been fully successful owing to the limited institutional structures and scant sectoral details in these models (Abel and Blanchard 1983, Romer 1986, Lucas 1988, Rebelo 1991, Barro and Sala-i-Martin 1995, Leeper and Sims 1994, Romer 1996. 7 Whalley (1977), Adelman & Robinson (1978), Ballard (1983), Ballard-Fullerton-Shoven-Whalley (1985), Mansur & Whalley (1986), Feltenstein (1986), Aurbach and Kotlikoff (1987), Goulder and Summers (1989), Devarajan and Lewis (1990), Go (1993), Mercenier & Michel (1994). consumption over time. ...

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Welfare and Distributional Impacts of Financial Liberalization in an Open Economy: Lessons from a Multi-Sectoral Dynamic CGE Model for Nepal

... Christiano, Eichenbaum and Vigfusson (2003), also, challenge the result that a positive shock to technology drives down per capita hours worked. Similarly to Altig et al. (2002), they argue that a specification error in modelling the low frequency component of hours worked lies behind it. On the theoretical side, in addition to the interpretation based on price rigidity, alternative explanations have been advanced to back the finding of contractionary technology improvements. ...

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Pricing Behavior and the Comovement of Productivity and Labor

... Additionally, price and wage stickiness are set at 2/3 and 3/4, respectively. This is based on findings from Altig et al. (2011) andErceg et al. (2000), which have shown that prices and wages do not frequently adjust in real-world economies. And finally, we vary the value of λ, representing the ratio of rule-of-thumb households, from 0 to 4 to examine the effects caused by changes in the ratio of rule-of-thumb households in response to a technology shock. ...

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Employment Shift in Response to a Technology Shock: An Analysis of Two Rigidities and Two Agents