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Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model
Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model that accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for...
Persistent link: https://www.econbiz.de/10005504253
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Search and Matching in Macroeconomics
Yashiv, Eran - C.E.P.R. Discussion Papers - 2006
This paper surveys the use of search and matching models in macroeconomics. It outlines the standard model, discusses …
Persistent link: https://www.econbiz.de/10005792066
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Evaluating the Performance of the Search and Matching Model
Yashiv, Eran - C.E.P.R. Discussion Papers - 2005
Does the search and matching model fit aggregate US labour market data? While the model has become an important tool of …
Persistent link: https://www.econbiz.de/10005124215
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An Incentive Theory of Matching
Brown, Alessio J G; Merkl, Christian; Snower, Dennis J. - C.E.P.R. Discussion Papers - 2009
This paper presents a theory explaining the labor market matching process through microeconomic incentives. There are … quit decisions. This approach obviates the need for a matching function. On this theoretical basis, we argue that the … matching function is vulnerable to the Lucas critique. Our calibrated model for the U.S. economy can account for important …
Persistent link: https://www.econbiz.de/10005000439
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Macroeconomic Policy Lessons of Labour Market Frictions
Yashiv, Eran - C.E.P.R. Discussion Papers - 2001
This Paper explores the consequences of macroeconomic policy for labour market outcomes in the presence of frictions. It shows how policy may be useful in overriding frictions, as well as how it might generate adverse outcomes. The analysis looks at the main tools of macroeconomic policy and...
Persistent link: https://www.econbiz.de/10005067406
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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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Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression
Ahmadi, Pooyan Amir; Ritschl, Albrecht - C.E.P.R. Discussion Papers - 2009
The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...
Persistent link: https://www.econbiz.de/10008558583
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Prior Selection for Vector Autoregressions
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012
Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....
Persistent link: https://www.econbiz.de/10011083403
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A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014
We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dynamics. When applied to quarterly U.S. GDP growth data,...
Persistent link: https://www.econbiz.de/10011083475
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Structural or Cyclical? Unemployment in Latvia Since the 2008-09 Financial Crisis
Anosova, Daria; Sonin, Konstantin; Vanags, Alf; Zasova, Anna - C.E.P.R. Discussion Papers - 2013
cyclical components and Mortensen and Pissarides’ search and matching approach, we demonstrate that the changes in unemployment …
Persistent link: https://www.econbiz.de/10011083363