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Political Uncertainty and Risk Premia
Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2011
We study the pricing of political uncertainty in a general equilibrium model of government policy choice. We find that political uncertainty commands a risk premium whose magnitude is larger in poorer economic conditions. Political uncertainty reduces the value of the implicit put protection...
Persistent link: https://www.econbiz.de/10009320399
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Predicting Turning Points in the UK Inflation Cycle
Artis, Michael J - C.E.P.R. Discussion Papers - 1994
We set out a reference chronology for annual UK inflation, identifying nine complete cycles between 1958 and 1990. Inflation over this period is asymmetric, falling more quickly than it rises. Leading indicators are also proposed, with composite shorter and longer leading indicators constructed....
Persistent link: https://www.econbiz.de/10005789113
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Investment Shocks and Business Cycles
Justiniano, Alejandro; Primiceri, Giorgio E; … - C.E.P.R. Discussion Papers - 2008
these conclusions by estimating a DSGE model with several shocks and frictions. We also find that neutral technology shocks …
Persistent link: https://www.econbiz.de/10005791592
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Learning in Financial Markets
Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2009
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...
Persistent link: https://www.econbiz.de/10005661697
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The 'Puzzles' Methodology: en route to Indirect Inference?
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments with data …
Persistent link: https://www.econbiz.de/10008496453
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How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2009
We evaluate the Smets-Wouters model of the US using indirect inference with a VAR representation of the main US data series. We find that the original New Keynesian SW model is on the margin of acceptance when SW's own estimates of the variances and time-series behaviour of the structural errors...
Persistent link: https://www.econbiz.de/10008496457
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Correlated Disturbances and U.S. Business Cycles
Cúrdia, Vasco; Reis, Ricardo - C.E.P.R. Discussion Papers - 2010
Bayesian econometric method that uses conjugate conditionals to make the estimation of DSGE models with correlated disturbances …The dynamic stochastic general equilibrium (DSGE) models that are used to study business cycles typically assume that … disturbances resolves some conflicts between estimates from DSGE models and those from vector autoregressions, and that a key …
Persistent link: https://www.econbiz.de/10008468649
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Some Problems in the Testing of DSGE Models
Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2010
We review the methods used in many papers to evaluate DSGE models by comparing their simulated moments and other …
Persistent link: https://www.econbiz.de/10008468675
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Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference
Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2009
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...
Persistent link: https://www.econbiz.de/10004973965
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The Elusive Welfare Economics of Price Stability As A Monetary Policy Objective: Should New Keynesian Central Bankers Persue Price Stability
Buiter, Willem H. - C.E.P.R. Discussion Papers - 2004
The Paper studies the inflation rate associated with optimal monetary policy in a standard suite of DSGE models, when …
Persistent link: https://www.econbiz.de/10005067586