The Econometrics Journal published a Special Issue on Structural Macroeconometrics, with contributions by the speakers, Barbara Rossi (Universitat Pompeu Fabra) and Marco Del Negro (Federal Reserve Bank of New York), at its eponymous Special Session at the Society’s 2018 Conference.
In their Special Session contributions, the two speakers provided complementary perspectives on the unconventional monetary policy measures that were implemented by central banks during the recent financial crises once a more conventional instrument, the short-term interest rate, hit the zero lower bound (ZLB): large-scale asset purchases (quantitative easing) and announcements intended to move the public’s beliefs about future policy (forward guidance).
Barbara Rossi discussed the identification and estimation of unconventional monetary policy shocks and their effects using structural vector autoregressions (VARs). In her contribution to the Special Issue, she reviews this and other approaches to the econometric analysis of unconventional monetary policy measures.
In his presentation, Marco Del Negro focused on the performance of dynamic stochastic general equilibrium (DSGE) models in forecasting, in real time, the U.S. economy in the period following the Great Recession. His article in the Special Issue, which is joint work with Michael Cai, Edward Herbst, Ethan Matlin, Reca Sarfati, and Frank Schorfheide, develops and implements a set of practical tools for one of the most difficult tasks in Bayesian DSGE analysis, calculating the DSGE model’s posterior distribution.
The freely available editorial for the Special Issue, by Jaap Abbring and Jeffrey Campbell, provides more details.
Barbara’s and Marco’s articles were earlier included in a Virtual Issue on Macroeconometrics, which collects recent contributions to The Econometrics Journal that study cutting edge topics in macroeconometrics.