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Restrictions on risk prices in dynamic term structure models

Bauer, Michael D. - 2015

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …

Persistent link: https://www.econbiz.de/10010491726

Agreed and disagreed uncertainty

Gambetti, Luca; Korobilis, Dimitris; Tsoukalas, John D.; … - 2023

When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information dispersion. The former driver increases uncertainty and...

Persistent link: https://www.econbiz.de/10014286777

Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle

Chatterjee, Pratiti; Milani, Fabio - 2020

What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...

Persistent link: https://www.econbiz.de/10012294890

Does U.S. monetary policy respond to macroeconomic uncertainty?

Gomez, Thomas; Piccillo, Giulia - 2023

We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a real-time, Bayesian estimation of a small monetary VAR...

Persistent link: https://www.econbiz.de/10014265941

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, James R.; Woitek, Ulrich - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10003833344

Productivity shocks and aggregate cycles in an estimated endogenous growth model

Malley, James R.; Woitek, Ulrich - 2009

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

Persistent link: https://www.econbiz.de/10003850283

Third-party intervention in conflicts and the indirect samaritan's dilemma

Amegashie, J. Atsu - 2009

I study a two-period model of conflict with two combatants and a third party who is an ally of one of the combatants. The third party is fully informed about the type of her ally but not about the type of her ally's enemy. There is a signaling game between the third party and her ally's enemy...

Persistent link: https://www.econbiz.de/10003854485

Core-stable rings in auctions with independent private values

Biran, Omer; Forges, Françoise - 2010

We propose a semi-cooperative game theoretic approach to check whether a given coalition is stable in a Bayesian game with independent private values. The ex ante expected utilities of coalitions, at an incentive compatible (noncooperative) coalitional equilibrium, describe a (cooperative)...

Persistent link: https://www.econbiz.de/10003974150

Jointness of growth determinants

Doppelhofer, Gernot (contributor); Weeks, Melvyn (contributor) - 2007

Persistent link: https://www.econbiz.de/10003497528

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003300967

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