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A generalized approach to indeterminacy in linear rational expectations models

Bianchi, Francesco; Nicolò, Giovanni - 2019

We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The … number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always … and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown …

Persistent link: https://www.econbiz.de/10012181061

Modeling the consumption response to the CARES Act

Carroll, Chris; Crawley, Edmund; Slacalek, Jirka; … - 2020

To predict the effects of the 2020 U.S. CARES act on consumption, we extend a model that matches responses of households to past consumption stimulus packages. The extension allows us to account for two novel features of the coronavirus crisis. First, during the lockdown, many types of spending...

Persistent link: https://www.econbiz.de/10012389446

The Role of Learning for Asset Prices and Business Cycles

Winkler, Fabian - 2017

I examine the implications of learning-based asset pricing in a model in which firms face credit constraints that depend partly on their market value. Agents learn about stock prices, but have conditionally model-consistent expectations otherwise. The model jointly matches key asset price and...

Persistent link: https://www.econbiz.de/10012969719

Equilibrium Yield Curves with Imperfect Information

Tanaka, Hiroatsu - 2023

I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...

Persistent link: https://www.econbiz.de/10014254949

Solving Asset Pricing Models with Stochastic Volatility

De Groot, Oliver - 2017

This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form

Persistent link: https://www.econbiz.de/10014121046

Reliably computing nonlinear dynamic stochastic model solutions : an algorithm with error formulas

Anderson, Gary S. - 2018

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

Persistent link: https://www.econbiz.de/10012016372

Solving Asset Pricing Models with Stochastic Volatility

De Groot, Oliver - 2014

Persistent link: https://www.econbiz.de/10013046488

Solving Linear Rational Expectations Models : A Horse Race

Anderson, Gary A. - 2006

This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998),...

Persistent link: https://www.econbiz.de/10014054699

The Properties of Income Risk in Privately Held Businesses

DeBacker, Jason - 2013

Our paper represents the first attempt in the literature to estimate the properties of business income risk from privately held businesses in the US. Using a new, large, and confidential panel of US income tax returns for the period 1987-2009, we extensively document the empirical stylized facts...

Persistent link: https://www.econbiz.de/10013089179

The Interplay between Student Loans and Credit Card Debt : Implications for Default in the Great Recession

Ionescu, Anamaria Felicia - 2014

We analyze the interactions between two different forms of unsecured credit and their implications for default behavior of young U.S. households. One type of credit mimics credit cards in the United States and the default option resembles a bankruptcy filing under Chapter 7; the other type of...

Persistent link: https://www.econbiz.de/10013058379