Search Results - subject:"parameter uncertainty"

On the unstable relationship between exchange rates and macroeconomic fundamentals

Bacchetta, Philippe; van Wincoop, Eric - In: Journal of International Economics 91 (2013) 1, pp. 18-26

Survey evidence shows that the relationship between the exchange rate and macro fundamentals is perceived to be highly unstable. We argue that this unstable relationship naturally develops when structural parameters in the economy are unknown. We show that the reduced form relationship between...

Persistent link: https://www.econbiz.de/10011056316

Allocation to industry portfolios under Markov switching returns

Kebabci Tudor, Deniz - In: Studies in Economics and Finance 30 (2013) 4, pp. 317-346

Purpose – The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with … propose a Gibbs sampling approach to take into account parameter uncertainty. This paper compares the results with a linear … benchmark model and estimates without taking into account parameter uncertainty. This paper also checks the predictive power of …

Persistent link: https://www.econbiz.de/10015014204

Monetary policy, parameter uncertainty and welfare

Traficante, Guido - In: Journal of Macroeconomics 35 (2013) C, pp. 73-80

This paper derives optimal robust monetary policy in a standard microfounded new Keynesian model with uncertainty about the degree of price stickiness and the autocorrelation of the cost-push shock. The uncertain degree of price stickiness spills over to the endogenous objective function pursued...

Persistent link: https://www.econbiz.de/10010617292

On the equivalence of quadratic optimization problems commonly used in portfolio theory

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European Journal of Operational Research 229 (2013) 3, pp. 637-644

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic utility. Conditions are derived under which the...

Persistent link: https://www.econbiz.de/10010666132