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Sectoral uncertainty
Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...
Persistent link: https://www.econbiz.de/10013419275
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Macroeconomic modeling when agents are imperfectly informed
De Grauwe, Paul (contributor) - 2008
Persistent link: https://www.econbiz.de/10003712532
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Top-down versus bottom-up macroeconomics
De Grauwe, Paul - 2010
I distinguish two types of macroeconomic models. The first type are top-down models in which some or all agents are capable of understanding the whole picture and use this superior information to determine their optimal plans. The second type are bottom-up models in which all agents experience...
Persistent link: https://www.econbiz.de/10003965858
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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/10003897386
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Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 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. -- stochastic dynamic general equilibrium ; linear solution methods ;...
Persistent link: https://www.econbiz.de/10003922867
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Analysis of monetary policy and financial stability : a new paradigm
Goodhart, Charles A. E.; Osorio, Carolina; Tsomocos, … - 2009
This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for a comprehensive assessment of regulatory and monetary policy, as well as welfare analysis in the different sectors of the economy. Due to liquidity and endogenous default, the...
Persistent link: https://www.econbiz.de/10003923247
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The e-correspondence principle
Evans, George W.; Honkapohja, Seppo - 2004
We introduce the E-correspondence principle for stochastic dynamic expectations models as a tool for comparative dynamics analysis. The principle is applicable to equilibria that are stable under least squares and closely related learning rules. With this technique it is possible to study,...
Persistent link: https://www.econbiz.de/10011404292
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Numerical solution of dynamic equilibrium models under Poisson uncertainty
Posch, Olaf; Trimborn, Timo - 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/10009124183
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Explaining output volatility : the case of taxation
Posch, Olaf - 2009
This paper presents empirical evidence against the popular perception that macro volatility is exogenous. We obtain tax … effects on macro volatility, explicitly modeling the unobserved variance process. We find a strong empirical link between … taxes and output volatility. Accounting for non-stationarity of taxes and output volatility, we find empirical evidence of a …
Persistent link: https://www.econbiz.de/10003872749
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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...
Persistent link: https://www.econbiz.de/10003888063