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Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003

measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …

Persistent link: https://www.econbiz.de/10011333266

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10010532582

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10011376640

Cyclical consumption

Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Heterogeneity in manufacturing growth risk

Opschoor, Daan; Dijk, Dick van; Franses, Philip Hans - 2021

We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable...

Persistent link: https://www.econbiz.de/10012510760

Interest rate rules and macroeconomic stability under heterogeneous expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars H.; … - 2009

The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...

Persistent link: https://www.econbiz.de/10011378358

The interest rate and capital durability, and the importance of methodological pluralism

Arkel, Roder van; Vermeylen, Koen - 2013

Champions of sustainable growth often call for more durable production technologies with less capital depreciation. As investment in more durable capital is encouraged by lower interest rates, we investigate whether policy makers can steer the economy towards a path with low interest rates in...

Persistent link: https://www.econbiz.de/10010227382

Behavioral learning equilibria

Hommes, Cars H.; Zhu, Mei - 2013

Persistent link: https://www.econbiz.de/10010191433

An analytically tractable interest rate model with humped volatility

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

Persistent link: https://www.econbiz.de/10000939515

Pricing American interest rate claims with humped volatility models

Moraleda Novo, Juan Manuel; Vorst, Ton - 1996

Persistent link: https://www.econbiz.de/10000939517

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