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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G. - 2012
vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible … estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between … the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the …
Persistent link: https://www.econbiz.de/10013107009
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Level and Volatility Factors in Macroeconomic Data
Gorodnichenko, Yuriy - 2017
The conventional wisdom in macroeconomic modeling is to attribute business cycle fluctuations to innovations in the … understood partly because modeling the latent volatilities can be quite demanding. This paper suggests a simply methodology that … interaction between the level and second-moment dynamics …
Persistent link: https://www.econbiz.de/10012949929
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Estimation and Evaluation of DSGE Models : Progress and Challenges
Schorfheide, Frank - 2011
Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models,...
Persistent link: https://www.econbiz.de/10013130259
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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Robust Inference for Misspecified Models Conditional on Covariates
Abadie, Alberto - 2011
Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between...
Persistent link: https://www.econbiz.de/10013120210
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On the Need for a New Approach to Analyzing Monetary Policy
Atkeson, Andrew - 2012
We present a pricing kernel that summarizes well the main features of the dynamics of interest rates and risk in …
Persistent link: https://www.econbiz.de/10013104844
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Confronting Model Misspecification in Macroeconomics
Waggoner, Daniel F. - 2014
We estimate a Markov-switching mixture of two familiar macroeconomic models: a richly parameterized DSGE model and a corresponding BVAR model. We show that the Markov-switching mixture model dominates both individual models and improves the fit considerably. Our estimation indicates that the...
Persistent link: https://www.econbiz.de/10013066762
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Starting Small : Endogenous Stakes and Rational Cooperation
Andreoni, James - 2016
We report experimental results for a twice-played prisoners' dilemma in which the players can choose the allocation of the stakes across the two periods. Our point of departure is the assumption that some (but not all) people are principled to “do the right thing,” or cooperate, as long as...
Persistent link: https://www.econbiz.de/10012999993
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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/10013075856
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The 2008 Financial Crisis and the Lack of Retaliatory Trade Intervention
Li, Chunding - 2016
The 2008 financial crisis did not precipitate global retaliatory trade intervention, in seeming contrast to the Great Depression in 1930s. This paper discusses the influence of model structure in optimal tariff (OT) calculations in explaining this puzzle. We emphasize how earlier literature...
Persistent link: https://www.econbiz.de/10013001775