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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

Fear of model misspecification and the robustness premium

Angelopoulos, Konstantinos; Malley, James R. - 2010

from the robust decision maker's ability to reduce the effects of model misspecification through allocating time and … that while increasing the fear of model misspecification leads to a net increase in precautionary behavior, investment and … output can fall. -- robustness premium ; model misspecification ; precautionary behavior …

Persistent link: https://www.econbiz.de/10008697052

EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are assigned lower ratings, ceteris paribus, than "old" ones. We...

Persistent link: https://www.econbiz.de/10003974520

Generalized Taylor and generalized calvo price and wage-setting : micro evidence with macro implications

Dixon, Huw; Le Bihan, Hervé - 2010

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counter-parts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we...

Persistent link: https://www.econbiz.de/10003984363

Robust growth determinants

Doppelhofer, Gernot; Weeks, Melvyn - 2011

This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsimonious mixture modeling that allows for fat-tailed errors...

Persistent link: https://www.econbiz.de/10009010519

Modeling uncertainty in climate change : a multi-model comparison

Gillingham, Kenneth; Nordhaus, William D.; Anthoff, David; … - 2015

The economics of climate change involves a vast array of uncertainties, complicating both the analysis and development of climate policy. This study presents the results of the first comprehensive study of uncertainty in climate change using multiple integrated assessment models. The study looks...

Persistent link: https://www.econbiz.de/10011344715

What do the Fama-French Factors add to C-CAPM?

Pongrapeeporn Abhakorn; Smith, Peter N.; Wickens, Michael R. - 2013 - Revised March 2013

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book-to-market value ratio (HML) the Fama-French factors. CCAPM is least able to price firms with low book-to-market ratios. The explanation of these returns, as well as the returns on the SMB...

Persistent link: https://www.econbiz.de/10009731215

Robust implementation of a parsimonious dynamic factor model to nowcast GDP

Duarte, Pablo; Süssmuth, Bernd - 2014

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

Persistent link: https://www.econbiz.de/10010229863

On the finite sample properties of pre-test estimators of spatial models

Piras, Gianfranco; Prucha, Ingmar R. - 2014

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...

Persistent link: https://www.econbiz.de/10010337595