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Risk shocks and housing markets
Dorofeenko, Viktor; Lee, Gabriel S.; Salyer, Kevin D. - 2010
This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a...
Persistent link: https://www.econbiz.de/10010294012
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Calibration of normalised CES production functions in dynamic models
Klump, Rainer; Saam, Marianne - 2006
Normalising CES production functions in the calibration of basic dynamic models allows to choose technology parameters …
Persistent link: https://www.econbiz.de/10010297849
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Accelerating the calibration of stochastic volatility models
Kilin, Fiodar - 2007
comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the … direct integration method at least seven times faster than the calibration with the fractional FFT method. …
Persistent link: https://www.econbiz.de/10010301715
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On the calibration of the Cheyette interest rate model
Beyna, Ingo; Wystup, Uwe - 2010
. Therefore, we apply derivative-free techniques and find that they stabilize the calibration. Furthermore, we identify auspicious … volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …
Persistent link: https://www.econbiz.de/10010303800
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The mechanics of a reasonably fitted quarterly New Keynesian macro model
Mayer, Eric - 2003
The last years have witnessed a sharp increase of interest in monetary policy rules (see Taylor [1999]). This normative branch of monetary policy tries to evaluate the performance of alternative monetary policy rules in terms of associated monetary policy outcomes. Nevertheless this exercise is...
Persistent link: https://www.econbiz.de/10010305753
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Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P
Krämer, Walter; Güttler, André - 2003
We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show that it is unlikely that both agencies are well...
Persistent link: https://www.econbiz.de/10010306287
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Agglomeration, urban growth and infrastructure in global climate policy: A dynamic CGE approach
Grazi, Fabio; Waisman, Henri - 2015
interdependence of cities and the world economy in a climate policy context. Based on calibration data for 74 major OECD …
Persistent link: https://www.econbiz.de/10011307302
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What does monetary policy reveal about central bank's preferences?
Castelnuovo, Efrem; Surico, Paolo - 2002
, we develop a novel calibration method to identify central bank's preferences from the estimates of an optimal Taylor …
Persistent link: https://www.econbiz.de/10011335670
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Eu enlargement and the gains from trade
Calin-Vlad, Demian - 2013
In this paper I quantify the welfare gains of the 2004 EU enlargement as a result of the abolition of border controls, both for incumbents and for new members. I build a multi-sector Ricardian model, allowing for linkages across sectors, similar to the one in Caliendro and Parro (2011). As with...
Persistent link: https://www.econbiz.de/10011345505
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...
Persistent link: https://www.econbiz.de/10011380826