Similar Search Results

Hirata, Hideaki; Kose, M. Ayhan; Otrok, Christopher - Crawford School of Public Policy, Australian National … - 2013

dynamic factor model to analyze the implications of these linkages for the evolution of global and regional business cycles … business cycles in a large sample of countries and regions over the period 1960-2010. We find that, since the mid-1980s, the … importance of regional factors has increased markedly in explaining business cycles especially in regions that experienced a …

Persistent link: https://www.econbiz.de/10011185996

Zero Lower Bound and Parameter Bias in an Estimated DSGE Model

Hirose, Yasuo; Inoue, Atsushi - Crawford School of Public Policy, Australian National … - 2013

This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE...

Persistent link: https://www.econbiz.de/10010904229

Identifying News Shocks with Forecast Data

Hirose, Yasuo; Kurozumi, Takushi - Crawford School of Public Policy, Australian National … - 2012

future technology shocks are the most important driving force of U.S. business cycles. The use of the forecast data makes the …

Persistent link: https://www.econbiz.de/10011201616

Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua C C; Eisenstat, Eric - Crawford School of Public Policy, Australian National … - 2012

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

Persistent link: https://www.econbiz.de/10011201593

Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; Dijk, Herman K. van - Crawford School of Public Policy, Australian National … - 2012

The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...

Persistent link: https://www.econbiz.de/10011201625

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

Mertens, Elmar; Nason, James M - Crawford School of Public Policy, Australian National … - 2015

This paper studies the joint dynamics of U.S. inflation and the average inflation predictions of the Survey of Professional Forecasters (SPF) on a sample running from 1968Q4 to 2014Q2. The joint data generating process (DGP) of these data consists of the unobserved components (UC) model of Stock...

Persistent link: https://www.econbiz.de/10011203192

Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean

Chan, Joshua C.C.; Grant, Angelia L. - Crawford School of Public Policy, Australian National … - 2015

The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK...

Persistent link: https://www.econbiz.de/10011203193

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - Crawford School of Public Policy, Australian National … - 2010

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

Persistent link: https://www.econbiz.de/10010607781

Modelling Inflation Volatility

Eisenstat, Eric; Strachan, Rodney W. - Crawford School of Public Policy, Australian National … - 2014

This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with...

Persistent link: https://www.econbiz.de/10010904219

Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation

Lubik, Thomas A.; Matthes, Christian - Crawford School of Public Policy, Australian National … - 2014

We argue in this paper that the Great Inflation of the 1970s can be understood as the result of equilibrium indeterminacy in which loose monetary policy engendered excess volatility in macroeconomic aggregates and prices. We show, however, that the Federal Reserve inadvertently pursued policies...

Persistent link: https://www.econbiz.de/10010904252

1
2
3
4
5
6
7
8
9
10
Next
Last