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On identification of Bayesian DSGE models

Koop, Gary; Pesaran, M. Hashem; Smith, Ron - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...

Persistent link: https://www.econbiz.de/10009238657

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - 2014

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...

Persistent link: https://www.econbiz.de/10010386488

Google econometrics and unemployment forecasting

Askitas, Nikolaos; Zimmermann, Klaus F. - 2009

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

Persistent link: https://www.econbiz.de/10003859346

Job durations with worker and firm specific effects : MCMC estimation with longitudinal employer-employee data

Horny, Guillaume; Mendes, Rute; Berg, Gerard J. van den - 2009

We study job durations using a multivariate hazard model allowing for worker-specific and firm-specific unobserved determinants. The latter are captured by unobserved heterogeneity terms or random effects, one at the firm level and another at the worker level. This enables us to decompose the...

Persistent link: https://www.econbiz.de/10003808931

Envy, guilt, and the Phillips curve

Ahrens, Steffen; Snower, Dennis J. - 2012

We incorporate inequity aversion into an otherwise standard New Keynesian dynamic equilibrium model with Calvo wage contracts and positive inflation. Workers with relatively low incomes experience envy, whereas those with relatively high incomes experience guilt. The former seek to raise their...

Persistent link: https://www.econbiz.de/10009530187

Assessing forecast uncertainties in a VECX model for Switzerland : an exercise in forecast combination across models and observation windows

Assenmacher-Wesche, Katrin (contributor); … - 2007

We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....

Persistent link: https://www.econbiz.de/10003561644

The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics

Christoffel, Kai (contributor); Linzert, Tobias (contributor) - 2005

cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation …

Persistent link: https://www.econbiz.de/10003227218

Monetary persistence, imperfect competition, and staggering complementarities

Merkl, Christian (contributor); … - 2007

This paper explores the influence of wage and price staggering on monetary persistence. We show that, for plausible parameter values, wage and price staggering are complementary in generating monetary persistence. We do so by proposing the new measure of "quantitative inertia," after discussing...

Persistent link: https://www.econbiz.de/10003557342

Monetary persistence and the labor market : a new perspective

Lechthaler, Wolfgang (contributor); … - 2008

that the employment rate is slow to converge to its steady state value after a monetary shock. The after-effects of a shock … continue to exert an effect on the labor market even long after the shock is over. The sluggishness of the labor market … translates to the product market and thus the output effects of the monetary shock become more persistent. Under reasonable …

Persistent link: https://www.econbiz.de/10003719627

The quantity and quality of children : a semi-parametric Bayesian IV approach

Frühwirth-Schnatter, Sylvia; Halla, Martin; Posekany, … - 2014

Prior empirical research on the theoretically proposed interaction between the quantity and the quality of children builds on exogenous variation in family size due to twin births and focuses on human capital outcomes. The typical finding can be described as a statistically nonsignificant...

Persistent link: https://www.econbiz.de/10010257598

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