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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models

Huang, Ji - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014345557

Forensics, Elasticities and Benford's Law

Demir, Banu - 2019

Estimates of the trade elasticity based on actual trade policy changes are scarce, and the few that exist are all over the place. This paper offers a setting where an exogenous increase in a border tax can be used to estimate the trade elasticity. It shows theoretically and empirically that if...

Persistent link: https://www.econbiz.de/10012892309

The Distribution of Ambiguity Attitudes

Gaudecker, Hans-Martin von; Wogrolly, Axel; Zimpelmann, … - 2022

This paper analyzes the stability and distribution of ambiguity attitudes using a broad population sample. Using high-powered incentives, we collected six waves of data on ambiguity attitudes about financial markets—our main application—and climate change. Estimating a structural stochastic...

Persistent link: https://www.econbiz.de/10014241994

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10010276212

The Social Cost of Carbon with Intragenerational Inequality Under Economic Uncertainty

Ploeg, Frederick van der; Emmerling, Johannes; Groom, … - 2022

intergenerational inequality aversion and for risk aversion. If growth increases (reduces) intra-generational inequality, the SDR is …

Persistent link: https://www.econbiz.de/10014082790

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021

We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...

Persistent link: https://www.econbiz.de/10013251262

Gender Differences in Sabotage : The Role of Uncertainty and Beliefs

Dato, Simon - 2019

We study gender differences in relation to performance and sabotage in competitions. While we find no systematic gender differences in performance in the real effort task, we observe a strong gender gap in sabotage choices in our experiment. This gap is rooted in the uncertainty about the...

Persistent link: https://www.econbiz.de/10012892013

Wealth Management and Uncertain Tipping Points

Strøm, Steinar - 2019

hitting a threshold, as well as a set of risk-modified optimality conditions for overall wealth management, as long as no …

Persistent link: https://www.econbiz.de/10012892098

Policy Coordination Under Model Disagreement and Uncertainty

Hefeker, Carsten - 2019

What are the incentives for governments to coordinate their policies internationally when there is model disagreement and uncertainty? We build a model where countries disagree on policy targets and how policies affect the economies, and show that uncertainty not only determines the type of...

Persistent link: https://www.econbiz.de/10012892108

The Optimal Amount of Attention to Capital Income Risk and Heterogeneous Precautionary Saving Behavior

Yin, Penghui - 2019

uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to … capital income risk, we solve for the optimal consumption-saving choices and show that the expected welfare is increasing with … capacity, assuming a relative risk aversion degree larger than unity. Furthermore, we solve for attention choice and find that …

Persistent link: https://www.econbiz.de/10012892117