Narrow search
Showing 1 - 10 of 671
Cover Image
Can Rare Events Explain the Equity Premium Puzzle?
Ghosh, Anisha; Julliard, Christian - C.E.P.R. Discussion Papers - 2012
arise. Fourth, the rare events hypothesis, by reducing the cross-sectional dispersion of consumption risk, worsens the …
Persistent link: https://www.econbiz.de/10011084458
Cover Image
Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2013
the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then …
Persistent link: https://www.econbiz.de/10011083330
Cover Image
Bayesian Analysis of DSGE Models
An, Sungbae; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2005
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons,...
Persistent link: https://www.econbiz.de/10005498080
Cover Image
Prior Selection for Vector Autoregressions
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....
Persistent link: https://www.econbiz.de/10011083403
Cover Image
A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014
moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility … conditional volatility generate more accurate forecasts than conventional benchmarks. Finally, we find that forecast combination …
Persistent link: https://www.econbiz.de/10011083475
Cover Image
The Empirical Implications of the Interest-Rate Lower Bound
Gust, Christopher; López-Salido, J David; Smith, Matthew E - C.E.P.R. Discussion Papers - 2012
Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate lower bound is occasionally binding. We quantify the size and nature of disturbances that pushed the U.S. economy to the lower bound in late 2008 as well as the contribution of the lower bound constraint to the...
Persistent link: https://www.econbiz.de/10011084119
Cover Image
On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005
The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...
Persistent link: https://www.econbiz.de/10005124071
Cover Image
Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
Chang, Yongsung; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2010
This paper assesses biases in policy predictions due to the lack of invariance of ``structural'' parameters in representative-agent models. We simulate data under various fiscal policy regimes from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply....
Persistent link: https://www.econbiz.de/10008684682
Cover Image
Forecasting Stock Returns under Economic Constraints
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013
on the conditional Sharpe ratio, the latter of which incorporates timevarying volatility in the predictive regression … risk of selecting a poor forecasting model, and improve both statistical and economic measures of out-of-sample forecast …
Persistent link: https://www.econbiz.de/10011083895
Cover Image
Volatility Clustering and Volatility Transmission: A Non-Parametric View of ERM Exchange Rates
Artis, Michael J; Zhang, Wenda - C.E.P.R. Discussion Papers - 1997
This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM … given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility … clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility …
Persistent link: https://www.econbiz.de/10005792273