Search Results - subject:"Model Uncertainty"

Moral-Benito, Enrique

La incertidumbre del modelo continúa siendo un reto para los investigadores aplicados. En general, al llevar a cabo una investigación empírica hay diferentes modelos/ especificaciones disponibles para estudiar el efecto de interés. Frente a esta situación, la técnica más común es...

Persistent link: https://www.econbiz.de/10012530348

The impact of financial (de)regulation on current account balances

Moral-Benito, Enrique; Roehn, Oliver

Tanto los desequilibrios mundiales como la (des)regulación de los mercados fi nancieros destacan como posibles causas de la crisis fi nanciera mundial. En este documento se investiga la posible relación entre ambos fenómenos ; concretamente, analizamos la relación entra la (des)regulación...

Persistent link: https://www.econbiz.de/10012530451

Private saving : new cross-country evidence based on bayesian techniques

Hernando, Ignacio; Pablos, Irene; Santabárbara, Daniel; …

La literatura económica muestra una gran incertidumbre sobre los determinantes teóricos y empíricos del ahorro privado. Este trabajo aporta nueva evidencia sobre los principales determinantes del ahorro privado mediante la aplicación de técnicas bayesianas, utilizando datos de las 35...

Persistent link: https://www.econbiz.de/10012530596

The Meta Taylor Rule

Lee, Kevin; Morley, James; Shields, Kalvinder - Centre for Finance, Credit and Macroeconomics (CFCM), …

This paper provides a characterisation of U.S. monetary policy within a generalized Tay¬lor rule framework that accommodates uncertainties about the duration of policy regimes and the speciÞcation of the rule, in addition to the standard parameter and stochastic un¬certainties inherent in...

Persistent link: https://www.econbiz.de/10009144345

International Policy Cooperation and Model Uncertainty

Holtham, Gerald; Hughes Hallett, Andrew - C.E.P.R. Discussion Papers - 1987

The main obstacles to coordinating policies in practice are uncertainty about the correct model to use for policy design, and uncertainty about external variables. This paper examines the former problem. Numerical calculations using ten models from the recent Brookings Multicountry comparison...

Persistent link: https://www.econbiz.de/10005662409

Dynamic Asset Allocation with Ambiguous Return Predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - Department of Economics, Boston University

ambiguity model to accommodate the investor's aversion to model uncertainty. The investor deals with specification doubts by … framework, the hedging demand against model uncertainty may cause the investor's stock allocations to first decrease sharply and … than under the predictability model. Adopting suboptimal investment strategies by ignoring model uncertainty can lead to …

Persistent link: https://www.econbiz.de/10008545858

Ambiguity, Learning, and Asset Returns

Ju, Nengjiu; Miao, Jianjun - Department of Economics, Boston University

We propose a novel generalized recursive smooth ambiguity model which allows a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility to a consumption-based asset pricing model in which consumption and dividends follow hidden Markov...

Persistent link: https://www.econbiz.de/10008545859