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Social Distancing and Supply Disruptions in a Pandemic
Bodenstein, Martin; Corsetti, Giancarlo; Guerrieri, Luca - 2020
Drastic public health measures such as social distancing or lockdowns can reduce the loss of human life by keeping the number of infected individuals from exceeding the capacity of the health care system but are often criticized because of the social and the economic cost they entail. We...
Persistent link: https://www.econbiz.de/10014097668
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Sequential Monte Carlo Sampling for DSGE Models
Herbst, Edward - 2013
's (2012) news shock model -- we show that the SMC algorithm is better suited for multimodal and irregular posterior … Wouters (2007) model improves its marginal data density and that a slight modification of the prior for the news shock model … leads to important changes in the posterior inference about the importance of news shocks for fluctuations in hours worked …
Persistent link: https://www.econbiz.de/10013074664
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Documentation of the Research and Statistics Divisions Estimated DSGE Model of the U.S. Economy : 2006 Version
Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe - 2007
This paper provides documentation for the large-scale estimated DSGE model of the U.S. economy used in Edge, Kiley, and Laforte (2007). The model represents part of an ongoing research project (the Federal Reserve Board's Estimated, Dynamic, Optimization-based - FRB/EDO - model project) in the...
Persistent link: https://www.econbiz.de/10014222384
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Online Estimation of DSGE Models
Cai, Michael D.; Del Negro, Marco; Herbst, Edward; … - 2020
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits o fgeneralized data tempering for “online” estimation...
Persistent link: https://www.econbiz.de/10014097669
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General-Equilibrium Effects of Investment Tax Incentives
Edge, Rochelle M. - 2011
This paper develops a new-Keynesian model with nominal depreciation allowances to consider the effects of temporary tax-based investment incentives on capital spending and real activity. In particular, we investigate the effects of a temporary expensing allowance on investment in partial and...
Persistent link: https://www.econbiz.de/10013128646
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Tempered Particle Filtering
Herbst, Edward - 2016
The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While...
Persistent link: https://www.econbiz.de/10013210445
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Expectations Formation and the Effectiveness of Strategies for Limiting the Consequences of the Zero Bound on Interest Rates
Reifschneider, David; Roberts, John M. - 2006
We use simulations of the Federal Reserve's FRB/US model to examine the efficacy of a number of proposals for reducing the consequences of the zero bound on nominal interest rates. Among the proposals are: a more aggressive monetary policy; promises to make up any shortfall in monetary ease...
Persistent link: https://www.econbiz.de/10014060193
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Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations
Ajello, Andrea - 2014
I use micro data to quantify key features of U.S. firm financing. In particular, I establish that a substantial 35% of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using...
Persistent link: https://www.econbiz.de/10013064818
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Precautionary Volatility and Asset Prices
Chen, Andrew Y. - 2014
bad times, next period's consumption should be very sensitive to news. This time-varying sensitivity results in time …
Persistent link: https://www.econbiz.de/10013048255
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Small Price Responses to Large Demand Shocks
Gagnon, Etienne - 2014
We study the pricing response of U.S. supermarkets to large demand shocks triggered by labor conflicts, mass population relocation, and shopping sprees around major snowstorms and hurricanes. Our focus on demand shocks is novel in the empirical literature that uses large datasets of individual...
Persistent link: https://www.econbiz.de/10013057614