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Components of Uncertainty
Larsen, Vegard Høghaug - 2017
Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques...
Persistent link: https://www.econbiz.de/10012143904
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Overborrowing and systemic externalities in the business cycle
Bianchi, Javier - 2009
Credit constraints that link a private agent’s debt to market-determined prices embody a credit externality that drives a wedge between competitive and constrained socially optimal equilibria, inducing private agents to overborrow. The externality arises because agents fail to internalize the...
Persistent link: https://www.econbiz.de/10010292300
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When credit bites back: Leverage, business cycles and crises
Jordà, Òscar; Schularick, Moritz; Taylor, Alan - 2012
This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...
Persistent link: https://www.econbiz.de/10010318835
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Financial Crises and Monetary Expansion
Grytten, Ola Honningdal - 2011
On the basis of data from the Historical Monetary Statistics-project by Norges Bank, the present paper serves a threefold purpose. In the first place it gives an overview of financial crisis in Norway from her independence from Denmark in 1814 till present times. Secondly, historical business...
Persistent link: https://www.econbiz.de/10012143786
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Why Do Banking Crises Occur? the American Subprime Crisis Compared with the Norwegian Banking Crisis 1987-92
Knutsen, Sverre - 2012
This paper analyses the causes of banking crises by the way of a historical comparative case study. Moreover, the analysis draws on theories elaborated by the economist Hyman Minsky. The evidence presented suggests that the fundamental causes of the compared crises are found in the macroeconomic...
Persistent link: https://www.econbiz.de/10012143791
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Simulation-based valuation of project finance: does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10010305715
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Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives
Corradi, Valentina; Swanson, Norman R. - 2003
forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …
Persistent link: https://www.econbiz.de/10010263216
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The Chicago Fed DSGE model: Version 2
Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M. - 2023
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10014480569
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Cointegrated VARMA models and forecasting US interest rates
Kascha, Christian; Trenkler, Carsten - 2011
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10010316827
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Econometric studies of business cycles in the history of econometrics
Qin, Duo - 2010
This study examines the evolution of econometric research in business cycle analysis during the 1960-90 period. It shows how the research was dominated by an assimilation of the tradition of NBER business cycle analysis by the Haavelmo-Cowles Commission approach, catalysed by time-series...
Persistent link: https://www.econbiz.de/10010280775