Showing 1 - 10 of 13
This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is first shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...
Persistent link: https://www.econbiz.de/10002433218
This paper estimates and compares the full participation and the segmented markets monetary frameworks. In both models, the real sector and monetary policy determine exogenously the joint process for the aggregate endowment and the short-term nominal interest rate, while the money growth rate...
Persistent link: https://www.econbiz.de/10002432364
Several papers have recently adopted the segmented markets model as a framework for monetary analysis. The characteristic assumption is that some households never participate in financial markets. This paper proves the existence of an equilibrium for segmented markets models where monetary...
Persistent link: https://www.econbiz.de/10002101874
In the data, after a contractionary monetary policy shock aggregate output decreases over time, with a trough after four to eight quarters. This paper replicates the `hump-shaped' response of output with a segmented markets model where part of the households are excluded from financial markets....
Persistent link: https://www.econbiz.de/10002101882
Persistent link: https://www.econbiz.de/10001629585
This paper assesses the contribution of monetary policy to the dynamics of bond real returns. We assume that the monetary authority controls the short-term nominal interest rate. We then model exogenously the joint dynamics of the aggregate endowment and the monetary policy variable, and...
Persistent link: https://www.econbiz.de/10001889186
Following a contractionary monetary policy shock, the aggregate output decreases over time for six to eight quarters, while the real interest rate increases immediately and remains high for three quarters. Full participation models can hardly replicate the joint response of the aggregate output...
Persistent link: https://www.econbiz.de/10001889365
This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10002432791
This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...
Persistent link: https://www.econbiz.de/10002432934
Persistent link: https://www.econbiz.de/10001848647