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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011155372

The Consumption-Based Determinants of the Term Structure of Discount Rates

Gollier, Christian - CESifo - 2005

The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...

Persistent link: https://www.econbiz.de/10005094448

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans; Iania, Leonardo - CESifo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10008572472

Monetary Policy with Diverse Private Expectations

Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - CESifo - 2015

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

Persistent link: https://www.econbiz.de/10011205380

Asset Pricing Implications of a New Keynesian Model: A Note

Heer, Burkhard; Klarl, Torben; Maussner, Alfred - CESifo - 2012

De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...

Persistent link: https://www.econbiz.de/10010599728

Macroeconomic Modeling when Agents are Imperfectly Informed

Grauwe, Paul De - CESifo - 2008

DSGE-models have become important tools of analysis not only in academia but increasingly in the board rooms of central banks. The success of these models has much to do with the coherence of the intellectual framework it provides. The limitations of these models come from the fact that they...

Persistent link: https://www.econbiz.de/10005405712

Consumption, Wealth and Business Cycles in Germany

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - CESifo - 2005

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies — mostly for the Anglo-Saxon economies — have generally documented that departures of these three variables from their common trend...

Persistent link: https://www.econbiz.de/10005765943

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - CESifo - 2012

-run output equation with a coefficient equal to the share of capital (á). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …

Persistent link: https://www.econbiz.de/10010540249

Oil Exports and the Iranian Economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - CESifo - 2009

output equation with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data … long run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation …

Persistent link: https://www.econbiz.de/10008583685

Generalized Stochastic Gradient Learning

Evans, George W.; Honkapohja, Seppo; Williams, Noah - CESifo - 2005

We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG...

Persistent link: https://www.econbiz.de/10005406017