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Asset Pricing under Rational Learning about Rare Disasters
Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10009201120
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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Dumas, Bernard J; Kurshev, Alexander; Uppal, Raman - C.E.P.R. Discussion Papers - 2007
Our objective is to identify the trading strategy that would allow an investor to take advantage of ''excessive'' stock price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are...
Persistent link: https://www.econbiz.de/10005666713
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Juvenile Unemployment in Interwar Britain: The Emergence of a Problem
Eichengreen, Barry - C.E.P.R. Discussion Papers - 1987
During the 1980s youth unemployment rates have persistently exceeded unemployment rates for adults, in Britain as in … other OECD countries. In the interwar period, youth unemployment rates in Britain were dramatically lower than those for … industrial composition of employment, and economy-wide changes in the share of juveniles employed (due to changes in youth …
Persistent link: https://www.econbiz.de/10005656425
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Heterogeneity in Wage Setting Behavior in a New-Keynesian Model
Eijffinger, Sylvester C W; Grajales, Anderson; Uras, … - C.E.P.R. Discussion Papers - 2015
In this paper we estimate a New-Keynesian DSGE model with heterogeneity in price and wage setting behavior. In a recent study, Coibion and Gorodnichenko (2011) develop a DSGE model, in which firms follow four different types of price setting schemes: sticky prices, sticky information, rule of...
Persistent link: https://www.econbiz.de/10011249376
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Fiscal Volatility Shocks and Economic Activity
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2011
We study the effects of changes in uncertainty about future fiscal policy on aggregate economic activity. Fiscal deficits and public debt have risen sharply in the wake of the financial crisis. While these developments make fiscal consolidation inevitable, there is considerable uncertainty about...
Persistent link: https://www.econbiz.de/10009246602
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The Structural Dynamics of US Output and Inflation: What Explains the Changes?
Canova, Fabio; Gambetti, Luca; Pappa, Evi - C.E.P.R. Discussion Papers - 2006
We examine the dynamics of US output and inflation using a structural time varying coefficient VAR. We show that there are changes in the volatility of both variables and in the persistence of inflation. Technology shocks explain changes in output volatility, while a combination of technology,...
Persistent link: https://www.econbiz.de/10005666833
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Bayesian VARs with Large Panels
Banbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2007
This paper assesses the performance of Bayesian Vector Autoregression (BVAR) for models of different size. We consider standard specifications in the macroeconomic literature based on, respectively, three and eight variables and compare results with those obtained by larger models containing...
Persistent link: https://www.econbiz.de/10005666834
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On the Statistical Identification of DSGE Models
Consolo, Agostino; Favero, Carlo A.; Paccagnini, Alessia - C.E.P.R. Discussion Papers - 2009
Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and...
Persistent link: https://www.econbiz.de/10005666961
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Forecasting Exchange Rates with a Large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...
Persistent link: https://www.econbiz.de/10005789104
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Has the Transmission Mechanism of European Monetary Policy Changed in the Run-Up to EMU?
Ciccarelli, Matteo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2004
This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we find that (i) the long-run cumulative...
Persistent link: https://www.econbiz.de/10005791192