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McKay, Alisdair - 2016

Should the generosity of unemployment benefits and the progressivity of income taxes depend on the presence of business cycles? This paper proposes a tractable model where there is a role for social insurance against uninsurable shocks to income and unemployment, as well as inefficient business...

Persistent link: https://www.econbiz.de/10012988499

A Spatial Approach to Energy Economics

Moreno Cruz, Juan Bernardo - 2014

We develop a spatial model of energy exploitation where energy sources are differentiated by their geographic location and energy density. The spatial setting creates a scaling law that magnifies the importance of differences across energy sources. As a result, renewable sources twice as dense,...

Persistent link: https://www.econbiz.de/10013064302

Indeterminacy in a Forward Looking Regime Switching Model

Farmer, Roger E. A. - 2006

This paper is about the properties of Markov switching rational expectations (MSRE) models. We present a simple monetary policy model that switches between two regimes with known transition probabilities. The first regime, treated in isolation, has a unique determinate rational expectations...

Persistent link: https://www.econbiz.de/10012779321

What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation

Barberis, Nicholas - 2006

explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …

Persistent link: https://www.econbiz.de/10012779644

Evaluating Welfare with Nonlinear Prices

Reiss, Peter C. - 2006

This paper examines how to evaluate consumer welfare when consumers face nonlinear prices. This problem arises in many settings, such as devising optimal pricing strategies for firms, assessing how price discrimination affects consumers, and evaluating the efficiency costs of many transfer...

Persistent link: https://www.econbiz.de/10012779746

Environmental Investment and Policy with Distortionary Taxes and Endogenous Growth

Fullerton, Don; Kim, Seung-Rae - 2021

Recent studies consider public R&D spending that affects abatement knowledge and endogenous growth, distortionary taxes that affect physical and human capital formation, pollution taxes that affect environmental degradation, and regeneration that restores natural capital. Our model combines all...

Persistent link: https://www.econbiz.de/10013222070

A Maximum Likelihood Method for the Incidental Parameter Problem

Moreira, Marcelo J. - 2010

This paper uses the invariance principle to solve the incidental parameter problem. We seek group actions that preserve the structural parameter and yield a maximal invariant in the parameter space with fixed dimension. M-estimation from the likelihood of the maximal invariant statistic yields...

Persistent link: https://www.econbiz.de/10012759543

Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

Del Negro, Marco - 2010

The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...

Persistent link: https://www.econbiz.de/10012759604

Vector Multiplicative Error Models : Representation and Inference

Cipollini, Fabrizio - 2010

The Multiplicative Error Model introduced by Engle (2002) for positive valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multi-variate extension of such a model, by taking into...

Persistent link: https://www.econbiz.de/10012760542

How to Solve Dynamic Stochastic Models Computing Expectations Just Once

Judd, Kenneth L. - 2011

We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in...

Persistent link: https://www.econbiz.de/10013119813

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