#2005-024E "A Flexible Finite-Horizon Identification of Technology Shocks"
by Neville Francis, Michael T. Owyang, and Jennifer E. Roush
April 2005
Revised July 2008

Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. More...

#2004-002D "What Explains the Varying Monetary Response to Technology Shocks in G-7 Countries?"
by Neville Francis, Michael T. Owyang, and Athena T. Theodorou
February 2004
Revised April 2005

In a recent paper, Galí, López-Salido, and Vallés (2003) examined the Federal Reserve's response to VAR-identified technology shocks. They found that during the Martin-Burns-Miller era, the Fed responded to technology shocks by overstabilizing output, while in the Volcker-Greenspan era, the Fed adopted an inflation-targeting rule. More...

PUBLISHED: International Journal of Central Banking, December 2005, 1(3), pp. 33-71

#2003-010E "The Use of Long-Run Restrictions for the Identification of Technology Shocks"
by Neville Francis, Michael T. Owyang, and Athena T. Theodorou
May 2003
Revised November 2003

We survey the recent empirical literature using long run restrictions to identify technology shocks. We provide an illustrative walkthrough of the long-run restricted vector autoregression (VAR) methodology in a bivariate framework. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2003, 85(6), pp. 53-66

#2003-001D "Monetary Policy in a Markov-Switching VECM: Implications for the Cost of Disinflation and the Price Puzzle"
by Neville Francis, and Michael T. Owyang

Revised June 2004

Monetary policy VARs typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy alternates between sustaining long-run growth and disinflationary regimes. More...

PUBLISHED: Journal of Business and Economic Statistics, July 2005, 23(3), pp. 305-13