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Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate...
Persistent link: https://www.econbiz.de/10005551022
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of...
Persistent link: https://www.econbiz.de/10009249370
The main objective of this paper is to propose a novel setup that allows estimating sepa- rately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two types of shocks associated with them (respectively,transitory and...
Persistent link: https://www.econbiz.de/10011129033
It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on cointegration,namelyon long-run co-movements, has been so prevalent that it is...
Persistent link: https://www.econbiz.de/10011126755
Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from...
Persistent link: https://www.econbiz.de/10011126762
Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from...
Persistent link: https://www.econbiz.de/10010852114
The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle fluctuations and from economic-growth variation, when the two types of shocks associated with them (respectively, transitory and...
Persistent link: https://www.econbiz.de/10010744174
Persistent link: https://www.econbiz.de/10005009155
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a...
Persistent link: https://www.econbiz.de/10005009174
Persistent link: https://www.econbiz.de/10005009184