Estimating US persistent and transitory monetary shocks: implications for monetary policy

This paper proposes an estimation method for persistent and transitory monetary shocks using the monetary policy modeling proposed in Andolfatto et al, [Journal of Monetary Economics, 55 (2008), pp.: 406-422]. The contribution of the paper is threefold: a) to deal with non-Gaussian innovations, we consider a convenient reformulation of the state-space representation that enables us to use the Kalman filter as an optimal estimation algorithm. Now the state equation allows expectations play a significant role in explaining the future time evolution of monetary shocks; b) it offers the possibility to perform maximum likelihood estimation for all the parameters involved in the monetary policy, and c) as a consequence, we can estimate the conditional probability that a regime change has occurred in the current period given an observed monetary shock. Empirical evidence on US monetary policy making is provided through the lens of a Taylor rule, suggesting that the Fed’s policy was implemented accordingly with the macroeconomic conditions after the Great Moderation. The use of the particle filter produces similar quantitative and qualitative findings. However, our procedure has much less computational cost.Kalman filter, Non-normality, Particle filter, Monetary policy

Experimental study for the determination of the turbulence onset in natural convection on inclined plates

In June, 8th, 2009 the balloon-borne solar telescope SUNRISE was launched from the Swedish Space Corporation balloon facility Esrange. A telescope with a mirror of 1 m in diameter ob-served the Sun during six days until the mission was terminated in Canada. The design process of SUNRISE and of any optical telescope requires the analysis of the effect of surrounding air on the quality of images. The turbulence encountered in the local telescope environment de-grades its optical performance. This phenomenon called `seeing' consists of optical aberrations produced by density non-homogeneities in the air along the optical path. The refraction index of air changes due to thermal non-uniformities so that the wavefront incident on the mirror is randomly distorted, and therefore, images are altered. When telescope mirrors are heated, as it happens in solar telescopes, and therefore they are at a temperature different from the environment's, natural convection occurs. It is then crucial to know whether the flow in front of the mirror is laminar or turbulent. After reviewing the literature, it was found that the scattering of results about the onset of the transition gives only rough orders of magnitude of the values of the critical Grashof numbers. Aiming to obtain more information about it, the problem of determination of the turbulence onset in natural convection on heated inclined plates in air environment was experimentally revisited. The transition has been determined from hot wire velocity measurements. The onset of turbulence has been considered to take place where velocity perturbations start to grow. Experiments have shown that the onset depends not only on the Grashof number, but also on other parameters as the temperature difference between the heated plate and the surrounding air. A correlation between dimensionless Grashof and Reynolds numbers has been obtained, fitting extraordinarily well the experimental data. The results are obtained in terms of non-dimensional numbers, this way they apply to any air pressure and therefore to any floating altitud

On the onset of turbulence in natural convection on inclined plates

The problem of determination of the turbulence onset in natural convection on heated inclined plates in an air environment has been experimentally revisited. The transition has been detected by using hot wire velocity measurements. The onset of turbulence has been considered to take place where velocity fluctuations (measured through turbulence intensity) start to grow. Experiments have shown that the onset depends not only on the Grashof number defined in terms of the temperature difference between the heated plate and the surrounding air. A correlation between dimensionless Grashof and Reynolds numbers has been obtained, fitting quite well the experimental data

Experimental determination of the onset of turbulence on inclined plates using hot wire velocity measurements

The problem of determination of the turbulence onset in natural convection on heated inclined plates in an air environment has been experimentally revisited. The transition has been detected by using hot wire velocity measurements. The onset of turbulence has been considered to take place where velocity fluctuations (measured through turbulence intensity) start to grow. Experiments have shown that the distance to the plate edge where the onset begins depends both on the plate inclination angle and the plate temperature, and thus on the Grashof number defined in terms of the temperature difference between the heated plate and the surrounding air. An experimental setup to measure the above mentioned distance has been developed. In this paper, such an apparatus is presented, as well as the experimental procedure and some experimental results

Disentangling permanent and transitory monetary shocks with a nonlinear Taylor rule

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation expectations rational? Journal of Monetary Economics, 55, 406–422]. To use the Kalman filter as the optimal signal extraction technique, we use a convenient reformulation for the state equation by allowing expectations to play a significant role in explaining the future time evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the parameters involved in the monetary policy as well as to recover conditional probabilities of regime change. Empirical evidence on the US monetary policy making is provided for the period covering 1986-Q1 to 2021-Q2. We compare our empirical estimates with those obtained based on the particle filter. While both procedures lead to similar quantitative and qualitative findings, our approach has much less computational cost