This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using "fan charts." These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result of uncertain economic conditions and policies. We propose a simulation algorithm...

We explore in this paper cubature formulas over the space of functions having a first continuous derivative, i.e., C^1. We show that known cubature formulas are not optimal in this case and explain what is the origin of the loss of optimality and how to construct optimal ones; to illustrate we...

Potential adjustments in U.S. commodity program for rice are evaluated in this paper using stochastic analysis in a global modeling framework. Corresponding threshold and loss-compensatory increases in target price and loan rates are determined with assumed outright and gradual elimination of...

We explore in this paper cubature formulas over the space of functions having a first continuous derivative, i.e., C^1. We show that known cubature formulas are not optimal in this case and explain what is the origin of the loss of optimality and how to construct optimal ones; to illustrate we...

In this paper, I analyze the business cycle properties of remittances and output series for three pairs of countries: United States-Mexico, United States-El Salvador, and Germany-Turkey. Using an unobserved components state-space model (via the Beveridge-Nelson decomposition), I decompose the...

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, the authors first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models....

Replaced with revised version of paper 04/13/11.

We develop a multi-sector sticky-price DSGE (dynamic stochastic general equilibrium) model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow...

The effects of asset purchase programs on macroeconomic variables are likely to be moderate. We reach this conclusion after simulating the impact of the Federal Reserve’s second large-scale asset purchase program (LSAP II) in a DSGE model enriched with a preferred habitat framework and...

Many central banks have come to rely on dynamic stochastic general equilibrium, or DSGE, models to inform their economic outlook and to help formulate their policy strategies. But while their use is familiar to policymakers and academics, these models are typically not well known outside these...