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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Numerical Solution of Dynamic Equilibrium Models Under Poisson Uncertainty
Posch, Olaf - 2011
We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic equilibrium models with rare events. In this paper we transform the dynamic system of stochastic differential equations into a system of functional differential equations of the...
Persistent link: https://www.econbiz.de/10013125693
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What We Can Learn About the Behavior of Firms from the Average Monthly Frequency of Price-Changes : An Application to the UK CPI Data
Dixon, Huw David - 2013
In this paper, we see how much the average monthly frequency of price changes ties down the behavior of firms in steady-state in terms of the average length of price-spells across firms. We use the UK CPI data at the aggregate and sectoral level and find that the actual mean is about twice the...
Persistent link: https://www.econbiz.de/10013082341
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Multi-Factor Gegenbauer Processes and European Inflation Rates
Caporale, Guglielmo Maria - 2014
In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...
Persistent link: https://www.econbiz.de/10013071161
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Computation of Business-Cycle Models with the Generalized Schur Method
Heer, Burkhard - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example
Persistent link: https://www.econbiz.de/10013153227
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Production Technologies in Stochastic Continuous Time Models
Wälde, Klaus - 2009
Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a...
Persistent link: https://www.econbiz.de/10013155278
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The Role of the Log Transformation in Forecasting Economic Variables
Luetkepohl, Helmut - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10012764276
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Jump Processes in Natural Gas Markets
Mason, Charles F. - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10013058515
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Electoral Competition with Rationally Inattentive Voters
Matějka, Filip - 2016
How do voters allocate costly attention to alternative political issues? And how does selective ignorance of voters interact with policy design by politicians? We address these questions by developing a model of electoral competition with rationally inattentive voters. Rational inattention...
Persistent link: https://www.econbiz.de/10012993102
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Matching and Saving in Continuous Time : Proofs
Bayer, Christian - 2010
This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations
Persistent link: https://www.econbiz.de/10013144211