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Larsen, Vegard Høghaug - 2017

Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques...

Persistent link: https://www.econbiz.de/10012143904

Overborrowing and systemic externalities in the business cycle

Bianchi, Javier - 2009

Credit constraints that link a private agent’s debt to market-determined prices embody a credit externality that drives a wedge between competitive and constrained socially optimal equilibria, inducing private agents to overborrow. The externality arises because agents fail to internalize the...

Persistent link: https://www.econbiz.de/10010292300

When credit bites back: Leverage, business cycles and crises

Jordà, Òscar; Schularick, Moritz; Taylor, Alan - 2012

This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...

Persistent link: https://www.econbiz.de/10010318835

Financial Crises and Monetary Expansion

Grytten, Ola Honningdal - 2011

On the basis of data from the Historical Monetary Statistics-project by Norges Bank, the present paper serves a threefold purpose. In the first place it gives an overview of financial crisis in Norway from her independence from Denmark in 1814 till present times. Secondly, historical business...

Persistent link: https://www.econbiz.de/10012143786

Why Do Banking Crises Occur? the American Subprime Crisis Compared with the Norwegian Banking Crisis 1987-92

Knutsen, Sverre - 2012

This paper analyses the causes of banking crises by the way of a historical comparative case study. Moreover, the analysis draws on theories elaborated by the economist Hyman Minsky. The evidence presented suggests that the fundamental causes of the compared crises are found in the macroeconomic...

Persistent link: https://www.econbiz.de/10012143791

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

Persistent link: https://www.econbiz.de/10010305715

Econometric studies of business cycles in the history of econometrics

Qin, Duo - 2010

This study examines the evolution of econometric research in business cycle analysis during the 1960-90 period. It shows how the research was dominated by an assimilation of the tradition of NBER business cycle analysis by the Haavelmo-Cowles Commission approach, catalysed by time-series...

Persistent link: https://www.econbiz.de/10010280775

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2011

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10010282865

Forecasting large datasets with reduced rank multivariate models

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

Persistent link: https://www.econbiz.de/10010284099