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What moves households' expectations during a crisis? : evidence from a randomized information experiment

Metiu, Norbert; Stockerl, Valentin - 2024

Using a randomized information experiment embedded in a representative survey, we study households' economic … happening in the economy shortly after the pandemic outbreak. Households that receive information on experts' views on the … holds for households that receive information on major monetary and fiscal stimulus measures announced in response to the …

Persistent link: https://www.econbiz.de/10015205429

Economic theories and macroeconomic reality

Loria, Francesca; Matthes, Christian; Wang, Mu-Chun - 2021

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...

Persistent link: https://www.econbiz.de/10012792815

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012250452

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

Siemsen, Thomas; Vilsmeier, Johannes - 2018

implied capital requirements. To mitigate the impact of uncertainty, we suggest a modeling approach which filters the model …

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

Specification testing in random coefficient models

Breunig, Christoph; Hoderlein, Stefan - 2018

In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...

Persistent link: https://www.econbiz.de/10011899244