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Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

Persistent link: https://www.econbiz.de/10013310474

Global Uncertainty and the Global Economy : Decomposing the Impact of Uncertainty Shocks

Kang, Wensheng - 2016

We constructed a new index of global uncertainty using the first principal component of the stock market volatility for the largest 15 economies. We evaluate the impact of global uncertainty on the global economy using the new global database from Global Economic Indicators (DGEI), Federal...

Persistent link: https://www.econbiz.de/10012988088

International Transmissions of Aggregate Macroeconomic Uncertainty in Small Open Economies : An Empirical Approach

Cross, Jamie - 2018

We estimate the effects of domestic and international sources of macroeconomic uncertainty in three commonly studied small open economies (SOEs): Australia, Canada and New Zealand. To this end, we propose a common stochastic volatility in mean panel VAR (CSVM-PVAR), and develop an efficient...

Persistent link: https://www.econbiz.de/10012922010

Stochastic Volatility Models with ARMA Innovations : An Application to G7 Inflation Forecasts

Zhang, Bo - 2018

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...

Persistent link: https://www.econbiz.de/10012915821

Reconciling Output Gaps : Unobserved Components Model and Hodrick-Prescott Filter

Chan, Joshua - 2016

This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick-Prescott (HP) filter generates large and persistent cycles. By embedding...

Persistent link: https://www.econbiz.de/10012986610

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Chan, Joshua - 2017

Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well-anchored the inflation expectations are. We construct a model-based measure of inflation expectations uncertainty by augmenting a standard unobserved...

Persistent link: https://www.econbiz.de/10012945524

Uncertainty Shocks and Inflation Dynamics in the US

Haque, Qazi; Magnusson, Leandro M. - 2020

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using post- WWII U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid-to-late 1990s and negative thereafter. Our findings...

Persistent link: https://www.econbiz.de/10014090743

Identifying high-frequency shocks with Bayesian mixed-frequency VARs

Paccagnini, Alessia; Parla, Fabio - 2021

“high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US … estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock …

Persistent link: https://www.econbiz.de/10013244964

Financial Frictions and the Role of Investment Specific Technology Shocks in the Business Cycle

Kamber, Güneş - 2012

co-moves with GDP and the response of investment to a positive investment shock is attenuated. In the model with … collateral constraints, the role of risk premium shocks in the business cycle increases markedly, whereas investment shocks have …

Persistent link: https://www.econbiz.de/10013105098

Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Strachan, Rodney W. - 2012

The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...

Persistent link: https://www.econbiz.de/10013110953