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Prices, Consumption, and Dividends Over the Business Cycle : A Tale of Two Regimes
Ghosh, Anisha - 2014
infer beliefs from prices. The model fits well the moments of the market return, risk free rate, and price-dividend ratio …. Consistent with the data, it implies higher mean and lower volatility of consumption and dividend growth rates, lower mean and … volatility of the market return and equity premium, and higher mean of the price-dividend ratio in the first regime compared with …
Persistent link: https://www.econbiz.de/10013043998
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Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime-Switching Approach
Benigno, Gianluca; Foerster, Andrew T.; Otrok, Chris; … - 2022
We estimate a workhorse DSGE model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between the unconstrained and constrained states is a stochastic function of the leverage level and the...
Persistent link: https://www.econbiz.de/10013306904
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2014
unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend … ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are …
Persistent link: https://www.econbiz.de/10013054039
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Long-Run Bulls and Bears
Albuquerque, Rui A. - 2015
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...
Persistent link: https://www.econbiz.de/10013030069
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The Time-Series Properties of Aggregate Consumption : Implications for the Costs of Fluctuation
Reis, Ricardo - 2021
While this is typically ignored, the properties of the stochastic process followed by aggregate consumption affect the estimates of the costs of fluctuations. This paper pursues two approaches to modelling aggregate consumption dynamics and to measuring how much society dislikes fluctuations,...
Persistent link: https://www.econbiz.de/10013227912
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On DSGE Models
Christiano, Lawrence J. - 2018
The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policy makers is how to assess the relative strength of those forces. Dynamic Stochastic General Equilibrium (DSGE) models are the leading...
Persistent link: https://www.econbiz.de/10012914719
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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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Online Estimation of DSGE Models
Cai, Michael D.; Del Negro, Marco; Herbst, Edward; … - 2022
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, document the accuracy and runtime benefits of generalized data tempering for “online” estimation...
Persistent link: https://www.econbiz.de/10013323879
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Unconventional Fiscal Policy
D'Acunto, Francesco - 2018
Unconventional fiscal policy uses announcements of future increases in consumption taxes to generate inflation expectations and accelerate consumption expenditure. It is budget neutral and time consistent. We provide preliminary evidence for the effectiveness of such policies using changes in...
Persistent link: https://www.econbiz.de/10012929012
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Non-Durable Consumption and Housing Net Worth in the Great Recession : Evidence from Easily Accessible Data
Kaplan, Greg - 2016
In an influential paper, Mian, Rao, and Sufi (2013) exploit geographic variation to measure the effect of the fall in housing net worth on household expenditures during the Great Recession. Their widely-cited estimates are based on proprietary house price and proprietary expenditure data and...
Persistent link: https://www.econbiz.de/10012992649