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Housing demand shocks and households' balance sheets

Anderes, Marc - 2021

We examine the dynamic effects of housing demand shocks on a large set of U.S. macroeconomic series and detailed household balance sheet components for four wealth percentile groups. The results show that a positive housing shock translates into a large and persistent boom of economic activity,...

Persistent link: https://www.econbiz.de/10012431593

System Priors for Econometric Time Series

Andrle, Michal - 2017

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...

Persistent link: https://www.econbiz.de/10012966549

Improving output gap estimation : a bottom-up approach

Rathke, Alexander; Streicher, Sina - 2023

We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...

Persistent link: https://www.econbiz.de/10014427292

Shock from Graying : Is the Demographic Shift Weakening Monetary Policy Effectiveness

Imam, Patrick A. - 2013

effectiveness may moderate in graying societies. It then uses Bayesian estimation techniques for the U.S., Canada, Japan, U.K., and …

Persistent link: https://www.econbiz.de/10013075540

Dissecting models' forecasting performance

Siliverstovs, Boriss - 2015

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in Welch and Goyal (2008) and the Bayesian change point...

Persistent link: https://www.econbiz.de/10011382631

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E. A. - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10013073782

Global and local components of output gaps

Eckert, Florian; Mühlebach, Nina - 2021

This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...

Persistent link: https://www.econbiz.de/10012663182

Financial Factors : Implications for Output Gaps

Rabanal, Pau - 2015

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some...

Persistent link: https://www.econbiz.de/10013016603

The Sources of Business Cycles in a Low Income Country

Houssa, Romain - 2015

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shocks. We identify the shocks with a combination of sign and recursive restrictions...

Persistent link: https://www.econbiz.de/10013025500

Financial Frictions in Data : Evidence and Impact

Taheri Sanjani, Marzie - 2015

cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Auto regression and New … risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish … counter-cyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default …

Persistent link: https://www.econbiz.de/10013028667