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Empirical evidence on the dynamics of investment under uncertainty in the U.S.

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012208719

The impact of uncertainty and certainty shocks

Schüler, Yves S. - 2020

real economic activity growth, in line with a risk shock. Conversely, a certainty shock (a shock strongly decreasing …

Persistent link: https://www.econbiz.de/10012180723

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

Persistent link: https://www.econbiz.de/10011897976

Estimating growth at risk with skewed stochastic volatility models

Wolf, Elias - 2022

to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth …

Persistent link: https://www.econbiz.de/10012807854

Accounting for stock-based compensation : an extended clean surplus relation

Hess, Dieter - 2001

Residual income valuation is based on the assumption that the clean surplus relation holds. As pointed out by Ohlson (2000), among others, the standard clean surplus relation is frequently violated. Moreover, standard residual income valuation models rest on the implicit assumption that future...

Persistent link: https://www.econbiz.de/10013428422

Vector autoregression analysis and the great moderation

Benati, Luca (contributor); Surico, Paolo (contributor) - 2007

Most analyses of the U.S. Great Moderation have been based on VAR methods, and have consistently pointed toward good luck as the main explanation for the greater macroeconomic stability of recent years. Using data generated by a New-Keynesian model in which the only source of change is the move...

Persistent link: https://www.econbiz.de/10003563240

Belief updating: does the 'good-news, bad-news' asymmetry extend to purely financial domains?

Barron, Kai - 2016

Bayes' statistical rule remains the status quo for modeling belief updating in both normative and descriptive models of behavior under uncertainty. Recent research has questioned the use of Bayes' rule in descriptive models of behavior, presenting evidence that people overweight 'good news'...

Persistent link: https://www.econbiz.de/10011542204

Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10009674269

Addressing COVID-19 outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...

Persistent link: https://www.econbiz.de/10013184356

Persuasion against self-control problems

Wangenheim, Jonas von - 2018

I derive a social planner's optimal information design in an environment with quasi-hyperbolic discounting consumers without commitment. Consumption induces instantaneous utility, but unknown delayed cost. Consumers may or may not acquire additional costless information on the cost parameter....

Persistent link: https://www.econbiz.de/10011902726

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