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Prior elicitation in multiple change-point models
Koop, Gary M. (contributor); Potter, Simon M. (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002623546
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Forecasting in large macroeconomic panels using Bayesian model averaging
Koop, Gary (contributor); Potter, Simon M. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752001
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Recent changes in the US business cycle
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...
Persistent link: https://www.econbiz.de/10001591424
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Estimating probabilities of default
Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]
"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...
Persistent link: https://www.econbiz.de/10002521762
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One reason countries pay their debts : renegotiation and international trade
Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001629624
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Forecasting and estimating multiple change-point models with an unknown number of change points
Koop, Gary M. (contributor); Potter, Simon M. (contributor) - 2004 - [Elektronische Ressource]
"This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...
Persistent link: https://www.econbiz.de/10002521761
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How stable is the predictive power of the yield curve? : Evidence from Germany and the United States
Estrella, Arturo (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001512206
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Insolvency after the 2005 bankruptcy reform
Albanesi, Stefania; Nosal, Jaromir B. - Federal Reserve Bank of New York - 2015
, especially, the financial cost of filing for bankruptcy. We study the effects of the reform on bankruptcy, insolvency, and …. We find that the decline in bankruptcy filings resulted in a rise in the rate and persistence of insolvency as well as an … that insolvency is associated with worse financial outcomes than bankruptcy, as insolvent individuals have less access to …
Persistent link: https://www.econbiz.de/10011254936
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Dealer financial conditions and lender-of-last resort facilities
Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren; … - Federal Reserve Bank of New York - 2014
We examine the financial conditions of dealers that participated in two of the Federal Reserve’s lender-of-last-resort (LOLR) facilities--the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF)--that provided liquidity against a range of assets during 2008-09....
Persistent link: https://www.econbiz.de/10010774312