Showing 1 - 10 of 109
augmenting shock for business cycles fluctuations. In rolling sub-samples, we document that the transmission of technology shocks …
Persistent link: https://www.econbiz.de/10009371433
I study whether US Tax Policies affected economic volatility during the post World War II period. I employ a Real Business Cycle model with distorting taxation on household income and tax rules, and assume that taxes respond to the cyclical conditions of the economy. I estimate the deep...
Persistent link: https://www.econbiz.de/10008682874
In this paper, we attempt to analyse the relationship between house price developments and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...
Persistent link: https://www.econbiz.de/10008765722
In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...
Persistent link: https://www.econbiz.de/10008854101
This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of ‘consumption equivalent’ units, these costs correspond to...
Persistent link: https://www.econbiz.de/10008854100
Designing an investment strategy in transition economies is a difficult task, because stock markets opened through time, time series are short, and there is little guidance how to obtain expected returns and covariance matrices necessary for mean-variance asset allocation. Moments of market...
Persistent link: https://www.econbiz.de/10005056532
When supervisors have imperfect information about the soundness of banks, they may be unaware of insolvency problems that develop in the interval between on-site examinations. Supervising banks more often will alleviate this problem but will increase the costs of supervision. This paper analyzes...
Persistent link: https://www.econbiz.de/10005056536
This article addresses the existence of a wide range of estimated government spending multipliers in a dynamic stochastic general equilibrium model of the euro area. Our estimation results and counterfactual exercises provide evidence that omitting the interactions of key ingredients at the...
Persistent link: https://www.econbiz.de/10011166880
This paper examines issues related to the estimation of the government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context. We stress a potential source of bias in the GSM arising from the combination of Edgeworth complementarity/substitutability between private...
Persistent link: https://www.econbiz.de/10010544322
This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one...
Persistent link: https://www.econbiz.de/10004998816