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Forecasting Stock Returns under Economic Constraints

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2013

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...

Persistent link: https://www.econbiz.de/10011083895

Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)

Del Negro, Marco; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2007

In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of...

Persistent link: https://www.econbiz.de/10005792164

On the Fit and Forecasting Performance of New Keynesian Models

Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...

Persistent link: https://www.econbiz.de/10005124071

Bayesian Analysis of DSGE Models

An, Sungbae; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2005

This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons,...

Persistent link: https://www.econbiz.de/10005498080

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

Demand learning and firm dynamics: evidence from exporters

Berman, Nicolas; Rebeyrol, Vincent; Vicard, Vincent - C.E.P.R. Discussion Papers - 2015

This paper provides evidence that learning about demand is an important driver of firms' dynamics. We present a simple … model with Bayesian learning in which firms are uncertain about their idiosyncratic demand parameter in each of the markets … their beliefs following a new demand shock, the younger they are. To test this learning mechanism, we make use of a specific …

Persistent link: https://www.econbiz.de/10011213311

Does quality affect patients’ choice of doctor? Evidence from the UK

Gravelle, Hugh S; Propper, Carol; Santos, Rita - C.E.P.R. Discussion Papers - 2013

improve quality is that providers will face higher demand if they improve their quality. We test this crucial assumption in an …

Persistent link: https://www.econbiz.de/10011084725

Oil Price Shocks: Causes and Consequences

Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

do not occur ceteris paribus. This makes it necessary to explicitly account for the demand and supply shocks underlying …

Persistent link: https://www.econbiz.de/10011083294

Do Prices and Attributes Explain International Differences in Food Purchases?

Dubois, Pierre; Griffith, Rachel; Nevo, Aviv - C.E.P.R. Discussion Papers - 2013

UK to (i) document these differences; (ii) estimate a demand system for food and nutrients, and (iii) simulate …

Persistent link: https://www.econbiz.de/10011083438

The Role of Inventories and Speculative Trading in the Global Market for Crude Oil

Kilian, Lutz; Murphy, Daniel P - C.E.P.R. Discussion Papers - 2010

to the speculative demand for oil as well as shocks to the flow demand and flow supply. The forward-looking element of … find that this surge was caused by fluctuations in the flow demand for oil driven by the global business cycle. There is … evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including …

Persistent link: https://www.econbiz.de/10008530341