Search Results - subject:"Second order approximation"

Long-Term Growth and Short-Term Volatility: The Labour Market Nexus

Annicchiarico, B.; Corrado, L.; Pelloni, A. - Faculty of Economics, University of Cambridge - 2008

We study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by learning-by-doing. We show that this relationship may be positive or negative depending on the impulse source of fluctuations A key role is also played by the Frisch elasticity...

Persistent link: https://www.econbiz.de/10005207811

Long-Term Growth and Short-Term Volatility: The Labour Market Nexus

Annicchiarico, Barbara; Corrado, Luisa; Pelloni, Alessandra - Centre for Dynamic Macroeconomic Analysis, University … - 2008

63. Keywords: Growth; Volatility; Monetary and Real Shocks; Labour Supply Elasticity; Second-Order Approximation Methods … realizations of the shocks - through the rate of investment, as can be seen from (19). Calculating a second-order approximation of … based on accurate second-order approximation to the policy functions representing the optimum paths 15 for the control and …

Persistent link: https://www.econbiz.de/10005671092

Welfare costs of shifting trend inflation

Nakata, Taisuke - In: Journal of Macroeconomics 41 (2014) C, pp. 66-78

This paper studies the welfare consequences of exogenous variations in trend inflation in a New Keynesian economy. Consumption and leisure respond asymmetrically to a rise and a decline in trend inflation. As a result, an increase in the variance of shocks to the trend inflation process...

Persistent link: https://www.econbiz.de/10010907070

A variable selection criterion for linear discriminant rule and its optimality in high dimensional and large sample data

Hyodo, Masashi; Kubokawa, Tatsuya - In: Journal of Multivariate Analysis 123 (2014) C, pp. 364-379

In this paper, we suggest the new variable selection procedure, called MEC, for linear discriminant rule in the high dimensional and large sample setup. MEC is derived as a second-order unbiased estimator of the misclassification error probability of the linear discriminant rule (LDR). It is...

Persistent link: https://www.econbiz.de/10010718981

Welfare costs of shifting trend inflation

Nakata, Taisuke - In: Journal of macroeconomics 41 (2014), pp. 66-78

Persistent link: https://www.econbiz.de/10010514770

Optimal simple and implementable monetary and fiscal rules

Schmitt-Grohé, Stephanie; Uribe, Martín - 2007

This paper computes welfare-maximizing monetary and fiscal policy rules in a real business cycle model augmented with sticky prices, a demand for money, taxation, and stochastic government consumption. We consider simple feedback rules whereby the nominal interest rate is set as a function of...

Persistent link: https://www.econbiz.de/10010292297

The measurement of social welfare

Tsuneki, Atsushi - 2007

This paper derives a basic formula for the measure of social welfare, a second order approximation to the difference of …

Persistent link: https://www.econbiz.de/10010332307

Welfare implications of Calvo vs. Rotemberg pricing assumptions

Lombardo, Giovanni; Vestin, David - 2007

This paper compares the welfare implications of two widely used pricing assumptions in the New-Keynesian literature: Calvo-pricing vs. Rotemberg-pricing. We show that despite the strong similarities between the two assumptions to a first order of approximation, in general they might entail...

Persistent link: https://www.econbiz.de/10011604816

Interest Rate Rules and Welfare in Open Economies

Senay, Ozge - Centre for Dynamic Macroeconomic Analysis, University … - 2007

, F41. Keywords: Welfare, Monetary Policy, Interest Rate Rules, Second Order Approximation. 1 Introduction Recent … open economy model is technically much more diﬃcult than in a closed economy model. In fact, the second-order approximation … second-order approximation techniques, Benigno and Woodford (2004) have shown that price stabilisation is not optimal when …

Persistent link: https://www.econbiz.de/10005807923

Trade Openness and the Cost of Sudden Stops: The Role of Financial Friction

Liu, Xuan - Volkswirtschaftliche Fakultät, … - 2007

This paper studies the long-run welfare effect of the extra volatility of country spread due to the possibility of sudden stops. Both analytical and numerical results show that sudden stops have weaker output impact when the small open economy is more open to trade. However, welfare consequences...

Persistent link: https://www.econbiz.de/10008533573