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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions … real business cyclemodel. For example, restricting long run responses to identify technologyshocks has reasonable support …

Persistent link: https://www.econbiz.de/10011256713

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10011255775

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012

This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>

Persistent link: https://www.econbiz.de/10011255853

Modeling and Estimation of Synchronization in Multistate Markov-Switching Models

Cakmakli, Cem; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011

This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...

Persistent link: https://www.econbiz.de/10011257049

Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Instituut - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10011256392

Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting

Lucas, André; Zhang, Xin - Tinbergen Instituut - 2014

We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...

Persistent link: https://www.econbiz.de/10011257169

Tenure Profiles and Efficient Separation in a Stochastic Productivity Model

Buhai, Sebastian; Teulings, Coen N. - Tinbergen Instituut - 2005

in the current job follow a random walk. This setting allows the application of real option theory. We derive the …

Persistent link: https://www.econbiz.de/10011257607

Global Loss Diversification in the Insurance Sector

Sheremet, Oleg; Lucas, André - Tinbergen Instituut - 2008

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In...

Persistent link: https://www.econbiz.de/10011256770

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Instituut - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...

Persistent link: https://www.econbiz.de/10011256898

A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model

Kleijn, Richard; Dijk, Herman K. van - Tinbergen Instituut - 2001

components model and decompose theobservations on real exchange rates in long-termcomponents, which capture the time-variation of … some keyfeatures of real exchange rates. Most notably, the half-life ofdeviations from the mean, which is a measure …

Persistent link: https://www.econbiz.de/10011256984