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We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...
Persistent link: https://www.econbiz.de/10010884659
We look into the available macroeconomic figures and the predictions made about the recession in Greece by international organizations, Greek research centers, and the Greek government; and suggest that the predictions regarding the decline in real GDP in recent years were overly optimistic. The...
Persistent link: https://www.econbiz.de/10011071440
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...
Persistent link: https://www.econbiz.de/10010744999
This paper is motivated by the lack of any obvious relationship between aggregate poverty and unemployment in Great … Britain. We derive a framework based on individuals' risks of unemployment and poverty, and how these vary over the economic … unemployment matters for poverty - with the macro picture - that there's no strong link. We then go on to identify which household …
Persistent link: https://www.econbiz.de/10011126573
European regions have experienced a polarisation of their unemployment rates between 1986 and 1996, as regions with …
Persistent link: https://www.econbiz.de/10010884644
This paper tests whether aggregate matching is consistent with unemployment being mainly due to search frictions or due … with reference to the design of optimal unemployment insurance programs. …
Persistent link: https://www.econbiz.de/10010928750
allowing on-the-job search. We obtain that the elasticity of unemployment with respect to growth shrinks from 1.63 to 0 … search process than the unemployed. Thus, we show that, rather than contributing to unemployment, creative destruction …
Persistent link: https://www.econbiz.de/10010744813
. The Beveridge curve depicts the steady state of the model, whereby inflows into unemployment are equal to the outflows …
Persistent link: https://www.econbiz.de/10010744873
We study the response of domestic unemployment rates to shocks in total factor productivity for economies with high … by developed nations in the last twenty years, substantially amplify the impact on the domestic unemployment rate of …
Persistent link: https://www.econbiz.de/10010744954
I develop a New Keynesian model in which a type of government multiplier doubles when unemployment rises from 5 percent … unemployment is high, the increase in tightness and resulting crowding-out are small. …
Persistent link: https://www.econbiz.de/10010745284