This paper uses an unobserved component model to examine the relative importance of the structural and the persistence approach to unemployment. We derive the NAIRU from a standard imperfect competition model. The price- and wage-setting schedules include a measure for unemployment persistence....

This paper employs a standard new Keynesian model to compute the inflation/output volatility frontier, i.e. the "Taylor curve". The computation is performed both under equilibrium uniqueness and under indeterminacy. While under uniqueness the Taylor curve looks like expected - i.e. a...

This paper studies the behaviour of firm entry and exit in response to macroeconomic shocks. We formulate a dynamic stochastic general equilibrium model with an endogenous number of producers. From the calibrated model, we derive a minimum set of robust sign restrictions to identify four kinds...

This paper estimates a standard version of the New Keynesian Monetary Model (NKM) augmented with the term structure in order to analyze two types of issue. First we analyse the relative importance of policy inertia, persistent policy shocks and the term spread in the estimated US monetary policy...

Inflation in the most industrialized economies of the world has an important international common component that accounts for the historical decline in the national rates. Country specific conditions explain the rise in inflation volatility of the late 1970s and early 1980s, and the subsequent...

This paper shows that the standard Mortensen-Pissarides framework embedded in a RBC macroeconomic model with risk averse agents, capital and a labor-leisure choice has the ability to match all moments of the ac- tual US-unemployment rate and other labor market variables within tight bounds when...

The last couple of decades has witnessed a growing interest in hedge funds. Academics and practitioners are intrigued by the distinct characteristics of these investment vehicles: hedge funds are flexible with respect to the types of securities they hold and the type of positions they take; they...

Dynamic stochastic general equilibrium models have begun to dominate the field of macroeconomic theory and policy making. In this paper, I present the first estimation results of investment expenditure for the french economy, applying the bayesian estimation approach of DSGE models. first, I...

I consider the problem of detecting and predicting regime switching behaviour in the context of Indian Stock Market data. First I discuss detection of volatility change points using the LRT and the Binary Segmentation procedure of Vostrikova (1981). The detected volatility changes are correlated...

We estimate the approximate nonlinear solution of a small DSGE model using Bayesian methods. Our results, based on euro area data, suggest that this approch delivers sharper inference compared to the estimation of the linearised solution. The nonlinear model can also account for richer economic...