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Chen, Siyan; Desiderio, Saul - 2019

As suggested by recent empirical evidence, one of the causes behind the widespread rise of inequality experienced by OECD countries in the last few decades may have been the increased flexibility of labor markets. The authors explore this hypothesis through the analysis of a stock-flow...

Persistent link: https://www.econbiz.de/10012030461

Quantum Monte Carlo for economics : stress testing and macroeconomic deep learning

Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; … - 2022 - Last updated: June 28, 2022

Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....

Persistent link: https://www.econbiz.de/10013264908

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and … to 2008. The marginal likelihoods of the TVP-VAR model and other VAR models are also estimated. The estimated marginal … likelihoods indicate that the TVP-VAR model best fits the Japanese economic data. …

Persistent link: https://www.econbiz.de/10004972461

Règle de Taylor et politique monétaire dans la zone euro

Mésonnier, J-S.; Renne, J-P. - Banque de France - 2004

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...

Persistent link: https://www.econbiz.de/10005056522

Working Paper 17-05 - Monetary Policy, Asset Prices and Economic Growth in the World Economy over the 1995-2004 Period : A counterfactual simulation with the NIME Model

Meyermans, Eric; Brusselen, Patrick Van - Federal Planning Bureau, Government of Belgium - 2005

Over the 1995-2004 period, the evolution of stock market indices in the United States and Europe exhibited a distinct boom-and-bust pattern, rising dramatically during the second half of the 1990s and falling sharply at the turn of the century. These changes in asset prices affected household...

Persistent link: https://www.econbiz.de/10005766931

Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests

Welz, Peter; Österholm, Pär - Nationalekonomiska Institutionen, Uppsala Universitet - 2005

This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...

Persistent link: https://www.econbiz.de/10005642511

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This paper applies the time-varying parameter vector autoregressive model to the Japanese economy. The both parameters and volatilities, which are assumed to follow a random-walk process, are estimated using a Bayesian method with MCMC. The recursive structure is assumed for identification and...

Persistent link: https://www.econbiz.de/10009209767

Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications

Nakajima, Jouchi - In: Monetary and Economic Studies 29 (2011) November, pp. 107-142

structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR … is employed for the estimation of the TVP-VAR models with stochastic volatility. As an example of empirical application …, the TVP-VAR model with stochastic volatility is estimated using the Japanese data with significant structural changes in …

Persistent link: https://www.econbiz.de/10009364154

Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach

Nakajima, Jouchi - Institute for Monetary and Economic Studies, Bank of Japan - 2011

with stochastic volatility (TVP- VAR-ZLB). Nominal interest rates are modeled as a censored variable with Tobit-type non …-linearity and incorporated into the TVP-VAR framework. For estimation, an efficient Markov chain Monte Carlo (MCMC) method is …

Persistent link: https://www.econbiz.de/10008863932

Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications

Nakajima, Jouchi - Institute for Monetary and Economic Studies, Bank of Japan - 2011

structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR …) method is employed for the estimation of the TVP-VAR models with stochastic volatility. As an example of empirical … application, the TVP-VAR model with stochastic volatility is estimated using the Japanese data with significant structural changes …

Persistent link: https://www.econbiz.de/10008863933