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Characterizing Very High Uncertainty Episodes

Bijsterbosch, Martin - 2014

This paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify episodes of very high uncertainty using a regime-switching model. Second, we assess the behaviour of macroeconomic and...

Persistent link: https://www.econbiz.de/10013059583

Culture and Portfolios : Trust, Precautionary Savings and Home Ownership

Fleck, Johannes - 2020

This paper shows that individual beliefs on the effectiveness of formal and informal sources of risk sharing determine … access to private risk sharing networks. Moreover, we find that both types of trust associate positively with the probability … to take on financial risk for the purpose of becoming a homeowner and the related loan-to-value ratio. Our findings are …

Persistent link: https://www.econbiz.de/10012825354

Insurance policies for monetary policy in the euro area

Kuester, Keith; Wieland, Volker - 2005

In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB. We find that maximal insurance across this model range in terms of a Minimax policy comes at moderate...

Persistent link: https://www.econbiz.de/10011604526

The performance and robustness of interest-rate rules in models of the euro area

Adalid, Ramón; Coenen, Günter; McAdam, Peter; … - 2005

In this paper, we examine the performance and robustness of optimised interest-rate rules in four models of the euro …

Persistent link: https://www.econbiz.de/10011604525

A Factor Risk Model with Reference Returns for the Us Dollar and Japanese Yen Bond Markets

Bernadell, Carlos; Coche, Joachim; Nyholm, Ken - 2021

factor risk model, when augmented with reference returns, is capable of generating visually consistent return distributions …

Persistent link: https://www.econbiz.de/10013317575

Prior Selection for Vector Autoregressions

Giannone, Domenico - 2015

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/10013036278

Optimal Sticky Prices under Rational Inattention

Maćkowiak, Bartosz - 2009

This paper presents a model in which price setting firms decide what to pay attention to, subject to a constraint on information flow. When idiosyncratic conditions are more variable or more important than aggregate conditions, firms pay more attention to idiosyncratic conditions than to...

Persistent link: https://www.econbiz.de/10012765187

Deciding with Judgment

Manganelli, Simone - 2018

Non sample information is hidden in frequentist statistics in the choice of the hypothesis to be tested and of the confidence level. Explicit treatment of these elements provides the connection between Bayesian and frequentist statistics. A frequentist decision maker starts from a judgmental...

Persistent link: https://www.econbiz.de/10012935635

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - 2008

uncertainty and possible equation misspecifications and approximations. This correction sensibly enhances the robustness of the …

Persistent link: https://www.econbiz.de/10011604963

Domestic and External Sectoral Portfolios : Network Structure and Balance-Sheet Contagion

Heipertz, Jonas - 2018

This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external...

Persistent link: https://www.econbiz.de/10012906433