Narrow search
Showing 1 - 10 of 9,371
Cover Image
Implications of Dynamic Factor Models for VAR Analysis
Stock, James H.; Watson, Mark W. - 2022
econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions …
Persistent link: https://www.econbiz.de/10013322868
Cover Image
On the Relationship between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Kang, Qiang - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a...
Persistent link: https://www.econbiz.de/10012787157
Cover Image
Rare Disasters, Asset Prices, and Welfare Costs
Barro, Robert J. - 2007
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with key asset-pricing observations. If the coefficient of relative risk aversion equals 3-4, the model accords with observed equity premia and risk-free real interest rates. If...
Persistent link: https://www.econbiz.de/10012775474
Cover Image
Monetary Policy in a Data-Rich Environment
Bernanke, Ben; Boivin, Jean - 2021
Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...
Persistent link: https://www.econbiz.de/10013226548
Cover Image
Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates
Eichenbaum, Martin; Evans, Charles L. - 2021
rates. The temporal pattern of the depreciation in U.S. nominal exchange rates following a positive monetary policy shock is …
Persistent link: https://www.econbiz.de/10013243942
Cover Image
When is Nonfundamentalness in Vars a Real Problem? an Application to News Shocks
Beaudry, Paul - 2015
When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However,...
Persistent link: https://www.econbiz.de/10013017491
Cover Image
Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence
Dimmock, Stephen G. - 2013
.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …
Persistent link: https://www.econbiz.de/10013087877
Cover Image
Letting Different Views About Business Cycles Compete
Beaudry, Paul - 2010
preference or more generally a demand shock. More recently two other explanations have been advocated: surprise changes in …
Persistent link: https://www.econbiz.de/10013152795
Cover Image
Sign Restrictions in Bayesian Favars with an Application to Monetary Policy Shocks
Amir-Ahmadi, Pooyan - 2015
We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...
Persistent link: https://www.econbiz.de/10013011456
Cover Image
Trade Linkages and Output-Multiplier Effects : A Structural VAR Approach with a Focus on Asia
Abeysinghe, Tilak; Forbes, Kristin J. - 2022
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …
Persistent link: https://www.econbiz.de/10013292459