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A probabilistic solution to high-dimensional continuous-time macro and finance models

Ji, Huang - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014331249

Structural reforms and the enlargement of monetary union

Hefeker, Carsten - 2003

The paper addresses the question what effects the enlargement of a monetary union will have on necessary structural reforms in the (low distortion) member countries and the (high distortion) candidate countries. While monetary union lowers reforms in the candidate countries, members of the...

Persistent link: https://www.econbiz.de/10011509539

A vicious cycle of manias, crashes and asymmetric policy responses : an overinvestment view

Hoffmann, Andreas; Schnabl, Gunther - 2009

The business cycles theories of Wicksell (1898), Schumpeter (1912), Mises (1912), Hayek (1929, 1935) and Minsky (1986, 1992) explain business cycles by distorted prices on capital markets, buoyant credit expansion and overinvestment. The exuberance during the boom endogenously causes the...

Persistent link: https://www.econbiz.de/10003910416

Smells like fiscal policy? : assessing the potential effectiveness of the ECB's OMT program

Hristov, Nikolay; Hülsewig, Oliver; Siemsen, Thomas; … - 2014

This paper explores the potential effectiveness of the ECBś Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable...

Persistent link: https://www.econbiz.de/10010246072

Financial contagion and the European debt crisis

Missio, Sebastian; Watzka, Sebastian - 2011

Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are...

Persistent link: https://www.econbiz.de/10009272289

The fiscal theory of the price level with a bubble

Brunnermeier, Markus Konrad; Merkel, Sebastian; … - 2020

primary surpluses can have a positively valued currency and low inﬂation. It also provides an example with closed …

Persistent link: https://www.econbiz.de/10012213139

Taxation, corruption and the exchange rate regime

Hefeker, Carsten - 2009

. It is shown that a credibly fixed exchange rate to a low inflation country, like a currency board, can reduce corruption …

Persistent link: https://www.econbiz.de/10003808666

Cold progression and its effects on income distribution

Heer, Burkhard; Süssmuth, Bernd - 2003

We present new empirical evidence for the US economy that inflation reduces the inequality of the earnings distribution … higher inflation on income distribution is shown to be rather small. However, we find that a longer duration between two …

Persistent link: https://www.econbiz.de/10011507921

Inflation and wealth distribution

Heer, Burkhard; Süssmuth, Bernd - 2003

The effect of a permanent change of inflation on the distribution of wealth is analyzed in a general equilibrium OLG … of inflation results in a lower stock market participation rate; in addition, the distribution of wealth becomes more … anticipated inflation are considerably lower than in Imrohoroglu (1992). …

Persistent link: https://www.econbiz.de/10011514109

Long-term interest rates and public debt maturity

Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013

is stronger for countries with higher average inflation or debt. …

Persistent link: https://www.econbiz.de/10010189835

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