Bowen Fu, Chenghan Hou, Jan Prüser
arXiv 7 Oct 2025 · Econometrics
arXiv:2510.05802 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a structural multivariate unobserved components model with external instrument (SMUC-IV) to investigate the effects of monetary policy shocks on key U.S. macroeconomic "stars"-namely, the level of potential output, the growth rate of potential output, trend inflation, and the neutral interest rate. A key feature of our approach is the use of an external instrument to identify monetary policy shocks within the multivariate unob- served components modeling framework. We develop an MCMC estimation method to facilitate posterior inference within our proposed SMUC-IV frame- work. In addition, we propose an marginal likelihood estimator to enable model comparison across alternative specifications. Our empirical analysis shows that contractionary monetary policy shocks have significant negative effects on the macroeconomic stars, highlighting the nonzero long-run effects of transitory monetary policy shocks.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Grant, Angelia L and Chan, Joshua CC (2017) A Bayesian Model Comparison for Trend-Cycle Decompositions of Output | 1.000 | 5 | 4 | 100% |
| 2 | Grant, Angelia L and Chan, Joshua CC (2017) Reconciling Output Gaps: Unobserved Components Model and Hodrick–Prescott Filter | 1.000 | 5 | 4 | 100% |
| 3 | Laubach, Thomas and Williams, John C (2003) Measuring the Natural Rate of Interest | 0.928 | 4 | 3 | 100% |
| 4 | Bauer, Michael D and Swanson, Eric T (2023) A Reassessment of Monetary Policy Surprises and High-Frequency Identification | 0.909 | 8 | 4 | 75% |
| 5 | Chan, Joshua CC (2023) Comparing Stochastic Volatility Specifications for Large Bayesian VARs | 0.874 | 5 | 2 | 100% |
| 6 | Caldara, Dario and Herbst, Edward (2019) Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs | 0.843 | 3 | 3 | 100% |
| 7 | Diegel, Max and Nautz, Dieter (2021) Long-Term Inflation Expectations and the Transmission of Monetary Policy Shocks: Evidence from a SVAR Analysis | 0.811 | 4 | 2 | 100% |
| 8 | Arias, Jonas E and Rubio-Ramirez, Juan F and Waggoner, Daniel F (2021) Inference in Bayesian Proxy-SVARs | 0.737 | 3 | 2 | 100% |
| 9 | Chan, Joshua CC and Jeliazkov, Ivan (2009) Efficient Simulation and Integrated Likelihood Estimation in State Space Models | 0.737 | 3 | 2 | 100% |
| 10 | Chan, Joshua CC and Clark, Todd E and Koop, Gary (2018) A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 56 scored citations.