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Asset Pricing under Rational Learning about Rare Disasters
Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10009201120
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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Dumas, Bernard J; Kurshev, Alexander; Uppal, Raman - C.E.P.R. Discussion Papers - 2007
Our objective is to identify the trading strategy that would allow an investor to take advantage of ''excessive'' stock price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are...
Persistent link: https://www.econbiz.de/10005666713
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Young Australians in Unemployment : Despair by any Other Name.
Hardin, A; Kapuscinski, C - Research School of Economics, College of Business and … - 1997
emphasis on youth unemployment, relative to the circumstances of the population as a whole. The evidence since the seventies … indicates that the changes in the youth labour market have been far more dramatic that for other sections of the community and …
Persistent link: https://www.econbiz.de/10005032866
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Juvenile Unemployment in Interwar Britain: The Emergence of a Problem
Eichengreen, Barry - C.E.P.R. Discussion Papers - 1987
During the 1980s youth unemployment rates have persistently exceeded unemployment rates for adults, in Britain as in … other OECD countries. In the interwar period, youth unemployment rates in Britain were dramatically lower than those for … industrial composition of employment, and economy-wide changes in the share of juveniles employed (due to changes in youth …
Persistent link: https://www.econbiz.de/10005656425
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Heterogeneity in Wage Setting Behavior in a New-Keynesian Model
Eijffinger, Sylvester C W; Grajales, Anderson; Uras, … - C.E.P.R. Discussion Papers - 2015
In this paper we estimate a New-Keynesian DSGE model with heterogeneity in price and wage setting behavior. In a recent study, Coibion and Gorodnichenko (2011) develop a DSGE model, in which firms follow four different types of price setting schemes: sticky prices, sticky information, rule of...
Persistent link: https://www.econbiz.de/10011249376
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Fiscal Volatility Shocks and Economic Activity
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2011
We study the effects of changes in uncertainty about future fiscal policy on aggregate economic activity. Fiscal deficits and public debt have risen sharply in the wake of the financial crisis. While these developments make fiscal consolidation inevitable, there is considerable uncertainty about...
Persistent link: https://www.econbiz.de/10009246602
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Reading the Recent Monetary History of the U.S., 1959-2007
Fernández-Villaverde, Jesús; Guerron-Quintana, Pablo A.; … - C.E.P.R. Discussion Papers - 2010
In this paper we report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. We use the results of this estimation to examine the recent monetary history of the...
Persistent link: https://www.econbiz.de/10008468509
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Forecasting Government Bond Yields with Large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...
Persistent link: https://www.econbiz.de/10008468530
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Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - C.E.P.R. Discussion Papers - 2010
In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian...
Persistent link: https://www.econbiz.de/10008468558
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Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010
This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...
Persistent link: https://www.econbiz.de/10008468657