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You Don‘t Know What You‘ve Got Till It‘s Gone! Unemployment and Intertemporal Changes in Self-Reported Life Satisfaction

Klemm, Marcus - 2011

This paper uses concurrently and – for the first time – retrospectively reported life satisfaction from the 1984 to … correlation of unemployment and subjective life satisfaction. It is found that unemployed individuals do not only report … significantly lower concurrent satisfaction, but also recall reduced satisfaction from past unemployment well, and retrospectively …

Persistent link: https://www.econbiz.de/10013117693

A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry

Lesage, James P.; Vance, Colin; Chih, Yao-Yu - 2016

We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to explore competition/cooperation by Berlin fueling stations in setting prices for diesel and E5 fuel. Unlike the maximum likelihood estimation method set forth by Aquaro, Bailey and...

Persistent link: https://www.econbiz.de/10011471318

Improving inference and forecasting in VAR models using cross-sectional information

Prüser, Jan; Blagov, Boris - 2022

We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...

Persistent link: https://www.econbiz.de/10013366009

Exchange rate uncertainty and import prices in the euro area

Blagov, Boris - 2018

This paper analyses the effects of exchange rate uncertainty on the pricing behaviour of import firms in the euro area. Uncertainty is measured via the volatility of the structural shocks to the exchange rate in a non-linear VAR framework and is an important determinant of import prices. An...

Persistent link: https://www.econbiz.de/10011963733

The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR

Prüser, Jan; Schlösser, Alexander - 2017

Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven...

Persistent link: https://www.econbiz.de/10011701315

Forecasting US inflation using Markov dimension switching

Prüser, Jan - 2017

This study considers Bayesian variable selection in the Phillips curve context by using the Bernoulli approach of Korobilis (2013a). The Bernoulli model, however, is unable to account for model change over time, which is important if the set of relevant predictors changes over time. To tackle...

Persistent link: https://www.econbiz.de/10011722809

Forecasting industrial production in Germany: The predictive power of leading indicators

Schlösser, Alexander - 2020

We investigate the predictive power of several leading indicators in order to forecast industrial production in Germany. In addition, we compare their predictive performance with variables from two competing categories, namely macroeconomic and financial variables. The predictive power within...

Persistent link: https://www.econbiz.de/10012150760

Efficient Bayesian nonparametric hazard regression

Kaeding, Matthias - 2020

We model the log-cumulative baseline hazard for the Cox model via Bayesian, monotonic P-splines. This approach permits fast computation, accounting for arbitrary censorship and the inclusion of nonparametric effects. We leverage the computational efficiency to simplify effect interpretation for...

Persistent link: https://www.econbiz.de/10012227057

Regional composition of national house price cycles in the US

Prüser, Jan; Schmidt, Torsten - 2020

House price cycles may have considerable macroeconomic effects even if they evolve heterogeneous across local markets. In this paper we use a panel Markov switching model allowing for time-varying volatility to analyze national and state level house price regimes for the US jointly. Our approach...

Persistent link: https://www.econbiz.de/10012234813

Monetary policy uncertainty and inflation expectations

Arce-Alfaro, Gabriel; Blagov, Boris - 2021

Do inflation expectations react to changes in the volatility of monetary policy? Yes, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects...

Persistent link: https://www.econbiz.de/10012490469