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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...
Persistent link: https://www.econbiz.de/10012458090
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The Impact of Milton Friedman on Modern Monetary Economics : Setting the Record Straight on Paul Krugman's "Who Was Milton Friedman?"
Nelson, Edward - 2007
Paul Krugman's essay "Who Was Milton Friedman?" seriously mischaracterizes Friedman's economics and his legacy. In this …-contained guide to Milton Friedman's impact on modern monetary economics and on today's central banks. We also refute the conclusions …
Persistent link: https://www.econbiz.de/10012465100
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The New Comparative Economics
Djankov, Simeon - 2003
In recent years, comparative economics experienced a revival, with a new focus on comparing capitalist economies. The …
Persistent link: https://www.econbiz.de/10012469090
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Ricardo's Theory of Comparative Advantage : Old Idea, New Evidence
Costinot, Arnaud - 2012
replied: 'Ricardo's theory of comparative advantage'. Truth, however, in Samuelson's reply refers to the fact that Ricardo …'s theory of comparative advantage is mathematically correct, not that it is empirically valid. The goal of this paper is to … output predicted by Ricardo's theory of comparative advantage. Despite all of the real-world considerations from which this …
Persistent link: https://www.econbiz.de/10012460690
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The Robustness of Tests for Consumer Choice Inconsistencies
Abaluck, Jason - 2015
We explore the in- and out- of sample robustness of tests for consumer choice inconsistencies based on parameter restrictions in parametric models, with a focus on tests proposed by Ketcham, Kuminoff and Powers (2015). We start by arguing that non-parametric alternatives are inherently...
Persistent link: https://www.econbiz.de/10012457052
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The great contraction, 1929 - 1933
Friedman, Milton; Schwartz, Anna Jacobson - 2008 - [New ed.]
Persistent link: https://www.econbiz.de/10003681770
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Predictable Financial Crises
Greenwood, Robin - 2020
Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40%...
Persistent link: https://www.econbiz.de/10012481591
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Answering the Queen : Machine Learning and Financial Crises
Fouliard, Jeremy - 2020
Financial crises cause economic, social and political havoc. Macroprudential policies are gaining traction but are still severely under-researched compared to monetary policy and fiscal policy. We use the general framework of sequential predictions also called online machine learning to forecast...
Persistent link: https://www.econbiz.de/10012482520
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Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
Ng, Serena - 2013
This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...
Persistent link: https://www.econbiz.de/10012459193
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Evaporating Liquidity
Nagel, Stefan - 2011
The returns of short-term reversal strategies in equity markets can be interpreted as a proxy for the returns from liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time-varying and highly predictable with the VIX index....
Persistent link: https://www.econbiz.de/10012461005