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Independence and Heterogeneity in Games of Incomplete Information
Mason, Robin; Valentinyi, Akos - C.E.P.R. Discussion Papers - 2004
This Paper provides a sufficient condition for the existence and uniqueness of equilibrium in monotone pure strategies … response correspondence is a contraction mapping. This ensures equilibrium existence and uniqueness. Our approach allows us to … establish these results in a wide range of applications, including cases where there are no existing existence results. …
Persistent link: https://www.econbiz.de/10005114177
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Robust Portfolio Optimisation with Multiple Experts
Lutgens, Frank; Schotman, Peter C - C.E.P.R. Discussion Papers - 2007
We consider mean-variance portfolio choice of a robust investor. The investor receives advice from J experts, each with a different prior for the distribution of returns. Confronted with these multiple priors the investor follows a min-max portfolio strategy. We study the structure of the robust...
Persistent link: https://www.econbiz.de/10005497881
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Robust Monetary Policy in the New-Keynesian Framework
Leitemo, Kai; Söderström, Ulf - C.E.P.R. Discussion Papers - 2004
We study the effects of model uncertainty in a simple New-Keynesian model using robust control techniques. Due to the simple model structure, we are able to find closed-form solutions for the robust control problem, analysing both instrument rules and targeting rules under different timing...
Persistent link: https://www.econbiz.de/10005498037
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Parameter Instability, Model Uncertainty and the Choice of Monetary Policy
Favero, Carlo A.; Milani, Fabio - C.E.P.R. Discussion Papers - 2005
This paper starts from the observation that parameter instability and model uncertainty are relevant problems for the analysis of monetary policy in small macroeconomic models. We propose to deal with these two problems by implementing a novel ‘thick recursive modelling’ approach. At each...
Persistent link: https://www.econbiz.de/10005498117
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Bond Return Predictability: Economic Value and Links to the Macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2014
expectations hypothesis. Importantly, we find that such gains in predictive accuracy translate into higher risk-adjusted portfolio …
Persistent link: https://www.econbiz.de/10011083511
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A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …
Persistent link: https://www.econbiz.de/10011083547
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A New Comparative Approach to Macroeconomic Modeling and Policy Analysis
Cwik, Tobias; Mueller, Gernot; Schmidt, Sebastian; … - C.E.P.R. Discussion Papers - 2012
In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of...
Persistent link: https://www.econbiz.de/10011083870
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Complexity and Monetary Policy
Orphanides, Athanasios; Wieland, Volker - C.E.P.R. Discussion Papers - 2012
The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in...
Persistent link: https://www.econbiz.de/10011084255
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New Keynesian versus old Keynesian government spending multipliers
Cogan, John F.; Cwik, Tobias; Taylor, John B.; Wieland, … - C.E.P.R. Discussion Papers - 2009
Renewed interest in fiscal policy has increased the use of quantitative models to evaluate policy. Because of modeling uncertainty, it is essential that policy evaluations be robust to alternative assumptions. We find that models currently being used in practice to evaluate fiscal policy...
Persistent link: https://www.econbiz.de/10004961429
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International Policy Cooperation and Model Uncertainty
Holtham, Gerald; Hughes Hallett, Andrew - C.E.P.R. Discussion Papers - 1987
The main obstacles to coordinating policies in practice are uncertainty about the correct model to use for policy design, and uncertainty about external variables. This paper examines the former problem. Numerical calculations using ten models from the recent Brookings Multicountry comparison...
Persistent link: https://www.econbiz.de/10005662409