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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …
Persistent link: https://www.econbiz.de/10012948093
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Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?
Clarida, Richard; Galí, Jordi - 2021
This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...
Persistent link: https://www.econbiz.de/10013237263
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Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K. - 2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10013131235
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Some Simple Bitcoin Economics
Schilling, Linda - 2018
In a novel model of an endowment economy, we analyze coexistence and competition between traditional fiat money (Dollar) and another intrinsically worthless medium of exchange, not controlled by a central bank, such as Bitcoin. Agents can trade consumption goods in either currency or hold on to...
Persistent link: https://www.econbiz.de/10012922218
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Tokenomics : Dynamic Adoption and Valuation
Cong, Lin William; Li, Ye; Wang, Neng - 2021
We develop a dynamic asset-pricing model of cryptocurrencies/tokens that allow users to conduct peer … intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility …
Persistent link: https://www.econbiz.de/10013314305
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Real Keynesian Models and Sticky Prices
Beaudry, Paul - 2018
In this paper we present a generalized sticky price model which allows, depending on the parameterization, for demand shocks to maintain strong expansionary effects even in the presence of perfectly flexible prices. The model is constructed to incorporate the standard three-equation New...
Persistent link: https://www.econbiz.de/10012929558
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Structural Interpretation of Vector Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks
Baumeister, Christiane - 2018
Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...
Persistent link: https://www.econbiz.de/10012931213
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Exploiting Mit Shocks in Heterogeneous-Agent Economies : The Impulse Response as a Numerical Derivative
Boppart, Timo - 2018
deterministic transition path: we study the equilibrium response to a single, small "MIT shock'' carefully. We then regard this …
Persistent link: https://www.econbiz.de/10012931439
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Business Cycle Anatomy
Angeletos, George-Marios - 2018
We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale variety. Our findings support the...
Persistent link: https://www.econbiz.de/10012913777
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Money and Output : Friedman and Schwartz Revisited
Belongia, Michael T. - 2015
More than fifty years ago, Friedman and Schwartz examined historical data for the United States and found evidence of pro-cyclical movements in the money stock, which led corresponding movements in output. We find similar correlations in more recent data; these appear most clearly when Divisia...
Persistent link: https://www.econbiz.de/10013010288