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International Evidence on Output Fluctuation and Shock Persistence

Levy, Daniel; Dezhbakhsh, Hashem - EconWPA - 2004

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the...

Persistent link: https://www.econbiz.de/10005126132

Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality

Winschel, Viktor - EconWPA - 2005

A welfare analysis of a risky policy is impossible within a linear or linearized model and its certainty equivalence property. The presented algorithms are designed as a toolbox for a general model class. The computational challenges are considerable and I concentrate on the numerics and...

Persistent link: https://www.econbiz.de/10005556708

Estimation of Some Omani Macroeconomic Parameters - A Discussion

Rao, Ananth - EconWPA - 2003

The captioned article was earlier published in “Economic Horizons” volume 18, #72 – AH 1418 – 1997 (4) Pages (65-78). I had some concerns about the article regarding the methodology adopted for analysis in deriving the macroeconomic parameters and the derivation and interpretation of...

Persistent link: https://www.econbiz.de/10005561154

Le taux de chômage et d'équilibre : Discussion empirique et évaluation empirique

Chagny, Odile; Reynès, Frédéric; Sterdyniak, Henri - EconWPA - 2004

English Titel :The equilibrium rate of unemployment : a theorical discussion and an empirical evaluation for six OECD countries This paper examines the notion of 'equilibrium rate of unemployment' (ERU). An 'assymetric' wage-price setting based on a a wage Philips curve and on a price equation...

Persistent link: https://www.econbiz.de/10005126175

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...

Persistent link: https://www.econbiz.de/10005134650

Calibration of Interest Rate Models - Transition Market Case

Vojtek, Martin - EconWPA - 2004

A methodology to calibrate multifactor interest rate model for transition countries is proposed. The usual methodology of calibration with implied volatility cannot be used as there are no markets for regularly traded derivatives. The existence of such a markets is essential for this...

Persistent link: https://www.econbiz.de/10005413130

Business cycle and sector cycles

Pelagatti, Matteo M. - EconWPA - 2005

A methodology based on the multivariate generalized Butterwoth filter for extracting the business cycles of the whole economy and of its productive sectors is developed. The method is then illustrated through an application to the Italian gross value added time series of the main economic sectors.

Persistent link: https://www.econbiz.de/10005119122

An information-theoretic extension to structural VAR modelling

Siegfried, Nikolaus A. - EconWPA - 2002

This paper discusses techniques for estimating structural vector autoregressions. Especially when monetary policy shocks are estimated, VAR residuals turn out to be leptokurtic. It is argued that this is no coincidence but follows directly from the properties of monetary policy decisions. The...

Persistent link: https://www.econbiz.de/10005119183

Towards Building A New Consensus About New Zealand’s Productivity

Razzak, W A - EconWPA - 2004

There is a wide consensus that New Zealand’s productivity has been poor despite the comprehensive market …-oriented reforms of the 1980’s. This consensus is based on estimates of New Zealand’s productivity growth measured either in terms of … GDP per capita or total factor productivity (TFP). TFP is typically computed using growth accounting (i.e., calibrating a …

Persistent link: https://www.econbiz.de/10005556741

Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming

Druska, Viliam; Horrace, William C. - EconWPA - 2002

to a panel of Indonesian rice farms where spatial correlations represent productivity shock spillovers, based on …

Persistent link: https://www.econbiz.de/10005062574

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