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Heterogeneity and Aggregate Fluctuations
Chang, Minsu; Chen, Xiaohong; Schorfheide, Frank - National Bureau of Economic Research - 2021
We develop a state-space model with a state-transition equation that takes the form of a functional vector autoregression and stacks macroeconomic aggregates and a cross-sectional density. The measurement equation captures the error in estimating log densities from repeated cross-sectional...
Persistent link: https://www.econbiz.de/10012533402
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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012480669
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10012458363
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10012459679
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Cointegration and Tests of Present Value Models
Campbell, John Y. - 1986
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...
Persistent link: https://www.econbiz.de/10012477190
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Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
Cheung, Yin-Wong - 1999
We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...
Persistent link: https://www.econbiz.de/10012471881
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The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles - 1996
We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as...
Persistent link: https://www.econbiz.de/10012473057
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Inequality and Growth : What Can the Data Say?
Banerjee, Abhijit V. - 2000
in control variables and estimation methods. This inverted U-curve is consistent with a simple political economy model …
Persistent link: https://www.econbiz.de/10012470957
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Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (BACE) Approach
Doppelhofer, Gernot - 2000
This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...
Persistent link: https://www.econbiz.de/10012471000
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The Growth Costs of Malaria
McCarthy, Desmond - 2000
Malaria ranks among the foremost health issues facing tropical countries. In this paper, we explore the determinants of cross-country differences in malaria morbidity, and examine the linkage between malaria and economic growth. Using a classification rule analysis, we confirm the dominant role...
Persistent link: https://www.econbiz.de/10012471234