This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching SVAR model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We also derive efficient MCMC...

In this paper we capture the implied distribution from option market data using non-recombining binomial trees allowing the local volatility to be a function of the underlying asset and of time. We elaborate on the initial guess for the volatility term structure, and use non-linear constrained...

We develop a dynamic general equilibrium model where workers can engage in search while on the job. We show that on-the-job search is a key component in explaining labor market dynamics in models of equilibrium unemployment. The model predicts fluctuations of unemployment, vacancies, and labor...

This paper concentrates on evaluating current econometric practices for estimating parameters of the Phillips curve (price stickiness, back-looking component, etc). Standard practices do not recognize the key role that monetary policy may have on shaping the results obtained

This study analyses the relationship between financial transparency and price informativeness with respect to forward earnings for a sample of European firms. Price informativeness is defined in the context of the amount of information reflected in current returns about future and current...