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Income uncertainty and aggregate consumption

Pozzi, Lorenzo - 2005

the US over the period 1952-2001. Theoretically, the effect of income risk on consumption changes is decomposed into an … aggregate and into a consumer-specific part. Empirically, aggregate risk is modelled through a GARCH process on aggregate income … shocks and individual risk is modelled as an unobserved component and obtained through Kalman filtering. Our results suggest …

Persistent link: https://www.econbiz.de/10011625544

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

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

Imam, Patrick - 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

Endogenous forward guidance

Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2018

We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the...

Persistent link: https://www.econbiz.de/10011920684

Is euro area lowflation here to stay? : insights from a time-varying parameter model with survey data

Stevens, Arnoud; Wauters, Joris - 2018 - Preliminary draft

Inﬂation has been persistently weak in the euro area despite the economic recovery since 2013. We investigate the sources behind this protracted low inﬂation by building a time-varying parameter model that jointly explains the dynamics of inﬂation and inﬂation expectations from the ECB's...

Persistent link: https://www.econbiz.de/10011920688

Information in the yield curve : a macro-finance approach

Dewachter, Hans; Iania, Leonardo; Lyrio, Marco - 2014

bond risk premiums. Furthermore, the model-implied risk premiums account for up to 40% of the variability of one- and two …

Persistent link: https://www.econbiz.de/10011590215

Endogenous forward guidance

Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2019

Persistent link: https://www.econbiz.de/10012304687

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

BEMGIE : Belgian Economy in a Macro General and International Equilibrium model

De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023

This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...

Persistent link: https://www.econbiz.de/10014233574

A model for international spillovers to emerging markets

Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2019

This paper develops a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model that helps to explain business cycle synchronization between an emerging market and advanced economies. The model captures the speciﬁcities of both economies (e.g. primary commodity,...

Persistent link: https://www.econbiz.de/10011995390