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Using data on developing economies, we estimate a flexible semiparametric panel data model that incorporates potentially nonlinear effects of inflation on economic growth. We find that inflation is associated with significantly lower growth only after it reaches about 12 percent, which is...
Persistent link: https://www.econbiz.de/10010886222
Persistent link: https://www.econbiz.de/10005512649
We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. …
Persistent link: https://www.econbiz.de/10005514167
-off at the heart of the story. I modify the model to account for data uncertainty and find that doing so ameliorates the … existing problems. This suggests that the Fed's model uncertainty is largely overestimated by ignoring data uncertainty …
Persistent link: https://www.econbiz.de/10005498733
uncertainty surrounding the outlook. To this end, FOMC participants will now provide qualitative assessments of how they view the … degree of current uncertainty relative to that which prevailed on average in the past. This paper discusses a method for … gauging the average magnitude of historical uncertainty using information on the predictive accuracy of a number of private …
Persistent link: https://www.econbiz.de/10005393679
since the onset of this period of Great Moderation can be attributed to changes in macroeconomic uncertainty and … from a fixed parameter autoregressive model overstates the decline in macroeconomic uncertainty by between 20-40 percent. I … point forecast data, these probability forecasts indicate that the decline in macroeconomic uncertainty as measured from an …
Persistent link: https://www.econbiz.de/10005393759
.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences … and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model … characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We …
Persistent link: https://www.econbiz.de/10005393827
compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the … rules are robust to model uncertainty may be an overly sanguine conclusion. …
Persistent link: https://www.econbiz.de/10005393838
incorporate contemporaneous uncertainty. …
Persistent link: https://www.econbiz.de/10005394065
We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the … effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived … for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are …
Persistent link: https://www.econbiz.de/10005394186