This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for first and second unconditional moments and...

The starting point in this research in the analysis of dynamic and structure of assets of investment funds in particular types of funds (assets, hybrids, money market funds, stable growth funds). Analyzing time series of assets of funds the tendency of growth can be noticed. The tendency is...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...

This paper analyzes the determinants of regional economic growth in the European Union. The nonparametric approach adopted allows us not only to uncover their relevance but also to determine whether or not they exert a linear in uence. We obtain evidence of a nonlinear relationship between...

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback impact on the price process of the underlying asset. We present numerical results showing that the smile and skewness patterns of implied volatility can actually be reproduced...

With fiscal adjustment proceeding quickly in Bulgaria and given the weak economic growth environment, there is keen interest in making the budget composition more growth friendly. This paper quantifies the short-term impact of fiscal policy on economic activity in Bulgaria using econometric and...

We use income satisfaction data in order to estimate equivalence scales. Our method differs from previous attempts to use satisfaction data for this purpose in that it can be used to estimate or evaluate any given parametric equivalence scale. It can also be employed to investigate specific...

Consider the most simple problem in microeconomics, a maximization problem with an additive separable utility function over bundles of two goods which provide equal satisfaction to an agent. Although simple, this framework allows for a very wide range of applications, from the Arrow-Debreu...

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...

How do monetary policy variables affect housing prices? In this paper we apply a non-linear modelling approach, the Nonlinear Auto Regressive Moving Average with eXogenous inputs (NAR-MAX), to investigate determinants of housing prices in China over the period 1999:01 to 2010:06. The NARMAX...