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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when …), and large BVARs, which differ in the way information is condensed and shrinkage is implemented. We find that: (a) large … shows the opposite pattern; (c) BFAVARs perform well under both evaluation criteria; (d) choosing the degree of shrinkage …
Persistent link: https://www.econbiz.de/10010877728
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Restrictions on Risk Prices in Dynamic Term Structure Models
Bauer, Michael D. - CESifo - 2015
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...
Persistent link: https://www.econbiz.de/10011200050
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Productivity Shocks and Aggregate Fluctuations in an Estimated Endogenous Growth Model with Human Capital
Malley, Jim; Woitek, Ulrich - CESifo - 2011
Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...
Persistent link: https://www.econbiz.de/10009293484
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Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model
Malley, Jim; Woitek, Ulrich - CESifo - 2009
Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...
Persistent link: https://www.econbiz.de/10004979395
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Technology Shocks and Aggregate Fluctuations in an Estimated Hybrid RBC Model
Malley, Jim; Woitek, Ulrich - CESifo - 2009
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model’s posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...
Persistent link: https://www.econbiz.de/10005000367
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Jointness of Growth Determinants
Doppelhofer, Gernot; Weeks, Melvyn - CESifo - 2007
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...
Persistent link: https://www.econbiz.de/10005094441
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Robust Growth Determinants
Doppelhofer, Gernot; Weeks, Melvyn - CESifo - 2011
This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...
Persistent link: https://www.econbiz.de/10008853850
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Price Dispersion in the Euro Area: The Case of a Symmetric Oil Price Shock
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2009
This paper studies the causes of price dispersion in the euro area emerging in response to a shock that hits all member countries symmetrically. We use a panel VAR model which is estimated over the period 1996–2007 to generate impulse responses of a range of price and wage variables to an oil...
Persistent link: https://www.econbiz.de/10005013058
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Monetary Policy Transmission and House Prices: European Cross-country Evidence
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2009
This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995–2006 to generate impulse responses of key macroeconomic variables to a monetary...
Persistent link: https://www.econbiz.de/10005010145
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Testing for Convergence in Stock Markets: A Non-Linear Factor Approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - CESifo - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10008572486