Search Results - subject:"Second Order Approximation"

Long-Term Growth and Short-Term Volatility: The Labour Market Nexus

Annicchiarico, Barbara; Corrado, Luisa; Pelloni, Alessandra - Centre for Dynamic Macroeconomic Analysis, University … - 2008

63. Keywords: Growth; Volatility; Monetary and Real Shocks; Labour Supply Elasticity; Second-Order Approximation Methods … realizations of the shocks - through the rate of investment, as can be seen from (19). Calculating a second-order approximation of … based on accurate second-order approximation to the policy functions representing the optimum paths 15 for the control and …

Persistent link: https://www.econbiz.de/10005671092

Volatility, Growth and Labour Elasticity

Annicchiarico, Barbara; Corrado, Luisa; Pelloni, Alessandra - Rimini Centre for Economic Analysis (RCEA) - 2008

We study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by learning-by-doing. We show that this relationship may be positive or negative depending on the impulse source of fluctuations A key role is also played by the Frisch elasticity...

Persistent link: https://www.econbiz.de/10005091061

Welfare costs of shifting trend inflation

Nakata, Taisuke - In: Journal of macroeconomics 41 (2014), pp. 66-78

Persistent link: https://www.econbiz.de/10010514770

Welfare costs of shifting trend inflation

Nakata, Taisuke - In: Journal of Macroeconomics 41 (2014) C, pp. 66-78

This paper studies the welfare consequences of exogenous variations in trend inflation in a New Keynesian economy. Consumption and leisure respond asymmetrically to a rise and a decline in trend inflation. As a result, an increase in the variance of shocks to the trend inflation process...

Persistent link: https://www.econbiz.de/10010907070

A variable selection criterion for linear discriminant rule and its optimality in high dimensional and large sample data

Hyodo, Masashi; Kubokawa, Tatsuya - In: Journal of Multivariate Analysis 123 (2014) C, pp. 364-379

In this paper, we suggest the new variable selection procedure, called MEC, for linear discriminant rule in the high dimensional and large sample setup. MEC is derived as a second-order unbiased estimator of the misclassification error probability of the linear discriminant rule (LDR). It is...

Persistent link: https://www.econbiz.de/10010718981

Optimal simple and implementable monetary and fiscal rules

Schmitt-Grohé, Stephanie; Uribe, Martín - 2007

This paper computes welfare-maximizing monetary and fiscal policy rules in a real business cycle model augmented with sticky prices, a demand for money, taxation, and stochastic government consumption. We consider simple feedback rules whereby the nominal interest rate is set as a function of...

Persistent link: https://www.econbiz.de/10010292297

The measurement of social welfare

Tsuneki, Atsushi - 2007

This paper derives a basic formula for the measure of social welfare, a second order approximation to the difference of …

Persistent link: https://www.econbiz.de/10010332307

Welfare implications of Calvo vs. Rotemberg pricing assumptions

Lombardo, Giovanni; Vestin, David - 2007

This paper compares the welfare implications of two widely used pricing assumptions in the New-Keynesian literature: Calvo-pricing vs. Rotemberg-pricing. We show that despite the strong similarities between the two assumptions to a first order of approximation, in general they might entail...

Persistent link: https://www.econbiz.de/10011604816

Welfare implications of Calvo vs. Rotemberg pricing assumptions

Lombardo, Giovanni; Vestin, David - European Central Bank - 2007

Persistent link: https://www.econbiz.de/10005344821

Interest Rate Rules and Welfare in Open Economies

Senay, Ozge - Centre for Dynamic Macroeconomic Analysis, University … - 2007

, F41. Keywords: Welfare, Monetary Policy, Interest Rate Rules, Second Order Approximation. 1 Introduction Recent … open economy model is technically much more diﬃcult than in a closed economy model. In fact, the second-order approximation … second-order approximation techniques, Benigno and Woodford (2004) have shown that price stabilisation is not optimal when …

Persistent link: https://www.econbiz.de/10005807923