Search Results - subject:"bayesian estimation"

Productivity shocks and aggregate cycles in an estimated endogenous growth model

Malley, Jim; Woitek, Ulrich - Department of Economics, Adam Smith Business School - 2009

hours. Keywords: endogenous growth, human capital, real business cycles, Bayesian estimation, VAR errors JEL codes: C11, C52 …

Persistent link: https://www.econbiz.de/10005034846

Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model

Malley, Jim; Woitek, Ulrich - CESifo - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model’s posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10005000367

Are 'intrinsic inflation persistence' models structural in the sense of Lucas (1976)?

Benati, Luca - European Central Bank - 2009

Following Fuhrer and Moore (1995), several authors have proposed alternative mechanisms to ‘hardwire’ inflation persistence into macroeconomic models, thus making it structural in the sense of Lucas (1976). Drawing on the experience of the European Monetary Union, of inflation-targeting...

Persistent link: https://www.econbiz.de/10005002747

The role of labor markets for euro area monetary policy

Christoffel, Kai; Kuester, Keith; Linzert, Tobias - European Central Bank - 2009

In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behaviour...

Persistent link: https://www.econbiz.de/10005002790

Long run evidence on money growth and inflation

Benati, Luca - European Central Bank - 2009

Over the last two centuries, the cross-spectral coherence between either narrow or broad money growth and inflation at the frequency ω=0 has exhibited little variation–being, most of the time, close to one–in the U.S., the U.K., and several other countries, thus implying that the fraction...

Persistent link: https://www.econbiz.de/10005002808

Expectations, Learning, and the Changing Relationship between Oil Prices and the Macroeconomy

Milani, Fabio - Department of Economics, University of California-Irvine - 2009

This paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables. The oil price, through the role of oil in production and consumption, affects aggregate demand and supply in the model. The assumption of...

Persistent link: https://www.econbiz.de/10005006717

Bid-Ask Spreads, Volume, and Volatility: Evidence from Livestock Markets

Frank, Julieta; Garcia, Philip - Agricultural and Applied Economics Association - AAEA - 2009

Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often biased, and by a failure to account for a jointly determined micro-market structure. We estimate liquidity costs and its determinants for...

Persistent link: https://www.econbiz.de/10005012549

A bayesian approach to model-based clustering for panel probit models

Aßmann, Christian; Boysen-Hogrefe, Jens - Institut für Volkswirtschaftslehre, … - 2009

arise within the considered model setup and are directly at hand within Bayesian estimation via MCMC methodology. An …

Persistent link: https://www.econbiz.de/10005059011

Structural Change and Counterfactual Inflation-Targeting in Hong Kong

McNelis, Paul D. - Hong Kong Institute for Monetary Research (HKIMR), … - 2009

This paper evaluates structural change and adjustment in Hong Kong with Bayesian estimation of a small open economy …

Persistent link: https://www.econbiz.de/10005064047

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, Jim; Woitek, Ulrich - Department of Economics, Adam Smith Business School - 2009

: Real Business Cycle, Bayesian estimation, VARMA errors JEL codes: C11, C52, E32 ∗We would like to thank seminar … overview of this literature and extensive ref- erences relating to classical and Bayesian estimation of both linear and … Bayesian estimation of a linearized RBC model and reports standard deviations that are roughly the same order of magnitude but …

Persistent link: https://www.econbiz.de/10005687314