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A generalized approach to indeterminacy in linear rational expectations models

Bianchi, Francesco; Nicolò, Giovanni - 2019

We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The … number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always … and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown …

Persistent link: https://www.econbiz.de/10012181061

Fiscal Multipliers at the Zero Lower Bound : The Role of Policy Inertia

Hills, Timothy - 2015

The presence of the lagged shadow policy rate in the interest rate feedback rule reduces the government spending multiplier nontrivially when the policy rate is constrained at the zero lower bound (ZLB). In the economy with policy inertia, increased inflation and output due to higher government...

Persistent link: https://www.econbiz.de/10013031117

Solving Asset Pricing Models with Stochastic Volatility

De Groot, Oliver - 2017

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form

Persistent link: https://www.econbiz.de/10014121046

Reliably computing nonlinear dynamic stochastic model solutions : an algorithm with error formulas

Anderson, Gary S. - 2018

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

Persistent link: https://www.econbiz.de/10012016372

Solving Asset Pricing Models with Stochastic Volatility

De Groot, Oliver - 2014

Persistent link: https://www.econbiz.de/10013046488

Solving Linear Rational Expectations Models : A Horse Race

Anderson, Gary A. - 2006

This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998),...

Persistent link: https://www.econbiz.de/10014054699

These Caps Spilleth Over : Equilibrium Effects of Unemployment Insurance

Doniger, Cynthia - 2023

The design of US unemployment insurance (UI) policy--which features benefits assigned as a percentage of past wages up to a cap--engenders tests for spillovers from policy variation to workers who are not directly treated. We test for and find a pattern of spillovers from state-level UI policy...

Persistent link: https://www.econbiz.de/10014357209

The Distributional Effects of a Carbon Tax on Current and Future Generations

Fried, Stephie - 2016

This paper examines the non-environmental welfare effects of introducing a revenue- neutral carbon tax policy. Using a life cycle model, we find that the welfare effects of the policy differ substantially for agents who are alive when the policy is enacted compared to those who are born into the...

Persistent link: https://www.econbiz.de/10013210393

Policy Externalities and Banking Integration

Smolyansky, Michael - 2020

Can policies directed at the banking sector in one jurisdiction spill over and affect real economic activity elsewhere? To investigate this question, I exploit changes in tax rates on bank profits across U.S. states. Banks respond by reallocating small-business lending to otherwise unaffected...

Persistent link: https://www.econbiz.de/10012855726

Preventing controversial catastrophes

Baker, Steven D.; Hollifield, Burton; Osambela, Emilio - 2018

In a market-based democracy, we model different constituencies that disagree regarding the likelihood of economic disasters. Costly public policy initiatives to reduce or eliminate disasters are assessed relative to private alternatives presented by financial markets. Demand for such public...

Persistent link: https://www.econbiz.de/10012016091