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Indeterminacy in a Forward Looking Regime Switching Model
Farmer, Roger E A; Waggoner, Daniel F; Zha, Tao - C.E.P.R. Discussion Papers - 2006
This paper is about the properties of Markov switching rational expectations (MSRE) models. We present a simple monetary policy model that switches between two regimes with known transition probabilities. The first regime, treated in isolation, has a unique determinate rational expectations...
Persistent link: https://www.econbiz.de/10005792224
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Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data
Boivin, Jean; Giannoni, Marc; Mihov, Ilian - C.E.P.R. Discussion Papers - 2007
This paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor-augmented vector autoregression estimated on a large data set. On the basis of this estimation, we establish eight facts: (1) Macroeconomic shocks explain only about 15% of...
Persistent link: https://www.econbiz.de/10005497865
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Private Insurance Against Systemic Crises?
Gersbach, Hans - C.E.P.R. Discussion Papers - 2009
Insurance contracts contingent on macroeconomic shocks or on average bank capital could be a way of insuring against … even bank insolvency. In a simple model we illustrate the working of these contracts and how insurance could be achieved … crises, and managerial restrictions on a rising bank equity capital limit insurance. Finally we discuss some complementary …
Persistent link: https://www.econbiz.de/10005034755
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Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System
Cukierman, Alex; Izhakian, Yehuda - C.E.P.R. Discussion Papers - 2011
This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...
Persistent link: https://www.econbiz.de/10009144737
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How Do Credit Supply Shocks Propagate Internationally? A GVAR approach
Eickmeier, Sandra; Ng, Tim - C.E.P.R. Discussion Papers - 2011
We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...
Persistent link: https://www.econbiz.de/10009399715
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When are Supply and Demand Determined Recursively Rather than Simultaneously? Another look at the Fulton Fish Market Data
Graddy, Kathryn; Kennedy, Peter E - C.E.P.R. Discussion Papers - 2007
When a supply and demand model is recursive, with errors uncorrelated across the two equations, ordinary least squares (OLS) is the recommended estimation procedure. Supply to a daily fish market is determined by the previous night’s catch, so this would appear to be a good example of a...
Persistent link: https://www.econbiz.de/10005504667
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The Discrete Choice Analytically Flexible (DCAF) Model of Demand for Differentiated Products
Davis, Peter - C.E.P.R. Discussion Papers - 2006
In this paper I develop the Discrete Choice Analytically Flexible (DCAF) model of demand for differentiated products. DCAF relaxes the constraints imposed on the matrix of own- and cross-price elasticities of demand by popular analytic discrete choice models such as the Multinomial Logit (MNL)...
Persistent link: https://www.econbiz.de/10005656174
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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...
Persistent link: https://www.econbiz.de/10008921778
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The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We study the changing international transmission of US financial shocks over the period 1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to...
Persistent link: https://www.econbiz.de/10009003376
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Business Cycle Fluctuations and the Distribution of Consumption
De Giorgi, Giacomo; Gambetti, Luca - C.E.P.R. Discussion Papers - 2014
This paper sheds new light on the interactions between business cycles and the consumption distribution. We use CEX consumption data and a factor model to characterize the cyclical dynamics of the consumption distribution. We first establish that our approach is able to closely match business...
Persistent link: https://www.econbiz.de/10011145411