This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of tests to assess the empirical performance of the model...

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...

The paper attempts to verify whether equity returns of individual firms, and their realized volatilities, improve the in-sample and out-of-sample predictability of the US business cycle, as measured by the IP index VAR analysis and tests for forecasting ability The equity returns of individual...

Establishing a full-fledged input-output tables and carry out various impact and alternative scenarios for socio-economic development of the economy. The modelling approach is based on input-output techniques and methodologies to measure the impact of various policy and scenario alternatives,...

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We estimate the impulse response of key US macro series to the monetary policy shocks identified by Romer and Romer (2004), allowing the response to depend flexibly on the state of the business cycle. We find strong evidence that the effects of monetary policy on real and nominal variables are...

This research forecasts the sales of an innovative agro-industrial product, the feta cheese from buffalo milk, in Thailand using limited information from January 2000 to August 2012. It aims to find how much data sufficiently needed for the prediction of accurate sales concerning that newly...