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Full- and part-time wage differentials and female labor supply : discontinuous budget constraint and endogenous wages

Yun, Myeong-Su - 2000

We introduce a structural model which jointly estimates the full-time wage premium and female labor supply, using the piecewise-linear budget constraint method. Our model incorporates a discontinuous budget line at cut-off hours (35 hours a week), caused by the coexistence of both full- and...

Persistent link: https://www.econbiz.de/10011576568

Dynamic factor models with common (drifting) stochastic trends

Kaufmann, Sylvia; Strachan, Rodney W. - 2024

It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...

Persistent link: https://www.econbiz.de/10014464829

Changing dynamics at the zero lower bound

Bäurle, Gregor; Kaufmann, Daniel; Kaufmann, Sylvia; … - 2016

The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...

Persistent link: https://www.econbiz.de/10011440078

Factor augmented VAR revisited : a sparse dynamic factor model approach

Beyeler, Simon; Kaufmann, Sylvia - 2016

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...

Persistent link: https://www.econbiz.de/10011558192

K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?

Kaufmann, Sylvia - 2014

Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility...

Persistent link: https://www.econbiz.de/10010493611

Bank lending in Switzerland: capturing crosssectional heterogeneity and asymmetry over time

Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - 2020

We study the bank lending channel in Switzerland over three decades using unbalanced quarterly bank-individual data spanning 1987 to 2016. In contrast to the usual empirical approach, we take an agnostic stance on which bank characteristic drives the heterogenous lending response to interest...

Persistent link: https://www.econbiz.de/10012264674

Factor augmented VAR revisited : a sparse dynamic factor model approach

Beyeler, Simon; Kaufmann, Sylvia - 2018

Persistent link: https://www.econbiz.de/10012039045

Poverty's deconstruction : beyond the visible

Bhaumik, Sumon Kumar; Gang, Ira N.; Yun, Myeong-Su - 2017

In contrast to his contribution to other areas, Shubhashis Gangopadhyay’s contributions to our understanding of poverty are often thought of as indirect consequences of the main themes of his work. Yet in more than 15 published papers Gangopadhyay directly takes on poverty, including its...

Persistent link: https://www.econbiz.de/10011771455

Bayesian estimation of sparse dynamic factor models with order-independent identification

Kaufmann, Sylvia; Schumacher, Christian - 2013

information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k … variables which do not add much information to the inference. The contribution includes a new way of identification which is …

Persistent link: https://www.econbiz.de/10010221685

Incomplete information processing : a solution to the forward discount puzzle

Bacchetta, Philippe; Van Wincoop, Eric - 2005

managed, we investigate to what extent incomplete information processing can explain this puzzle. Two types of incompleteness … are considered: infrequent and partial information processing. We calibrate a two-country general equilibrium model to the … data and show that incomplete information processing can fully match the empirical evidence. It can also account for …

Persistent link: https://www.econbiz.de/10011397256