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DSGE Model-Based Forecasting of Non-modelled Variables

Schorfheide, Frank - 2009

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...

Persistent link: https://www.econbiz.de/10012463776

Bayesian Averaging, Prediction and Nonnested Model Selection

Hong, Han - 2008

This paper studies the asymptotic relationship between Bayesian model averaging and post-selection frequentist predictors in both nested and nonnested models. We derive conditions under which their difference is of a smaller order of magnitude than the inverse of the square root of the sample...

Persistent link: https://www.econbiz.de/10012464362

Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach

Schorfheide, Frank - 2014

We develop a nonlinear state-space model that captures the joint dynamics of consumption, dividend growth, and asset returns. Our model consists of an economy containing a common predictable component for consumption and dividend growth and multiple stochastic volatility processes. The...

Persistent link: https://www.econbiz.de/10012458363

Bayesian Variable Selection for Nowcasting Economic Time Series

Scott, Steven L. - 2013

We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than …

Persistent link: https://www.econbiz.de/10012459094

Misfortune and Mistake : The Financial Conditions and Decision-making Ability of High-cost Loan Borrowers

Carvalho, Leandro - 2019

("misfortunes") or imperfect decisions ("mistakes"). Bank records from Iceland show borrowers are especially illiquid just before …

Persistent link: https://www.econbiz.de/10012480273

The Effect of the Economic Collapse in Iceland on the Probability of Cardiovascular Events

Birgisdóttir, Kristín H. - 2018

We explore whether the 2008 economic collapse in Iceland and subsequent economic crisis affected the probability of …

Persistent link: https://www.econbiz.de/10012480952

Identification and Estimation of Undetected COVID-19 Cases Using Testing Data from Iceland

Aspelund, Karl M. - 2020

In the early stages of the COVID-19 pandemic, international testing efforts tended to target individuals whose symptoms and/or jobs placed them at a high presumed risk of infection. Testing regimes of this sort potentially result in a high proportion of cases going undetected. Quantifying this...

Persistent link: https://www.econbiz.de/10012481383

Peer Effects in European Primary Schools : Evidence from PIRLS

Ammermueller, Andreas - 2006

We estimate peer effects for fourth graders in six European countries. The identification relies on variation across classes within schools. We argue that classes within primary schools are formed roughly randomly with respect to family background. Similar to previous studies, we find sizeable...

Persistent link: https://www.econbiz.de/10012466488

Exchange Rate Pass-Through, Monetary Policy, and Real Exchange Rates : Iceland and the 2008 Crisis

Edwards, Sebastian; Cabezas, Luis - National Bureau of Economic Research - 2021

We use detailed data for Iceland to examine two often-neglected aspects of the "exchange rate pass-through" problem … price indexes in Iceland for 2003-2019, a period that includes Iceland's banking and currency crisis of 2008. We find that … the pass-through declined around the time Iceland reformed its "flexible inflation targeting," and that the coefficients …

Persistent link: https://www.econbiz.de/10012496073

The gift of moving : intergenerational consequences of a mobility shock

Nakamura, Emi; Jósef Sigurdsson; Jón Steinsson - 2016

We exploit a volcanic “experiment" to study the costs and benefits of geographic mobility. We show that moving costs (broadly defined) are very large and labor therefore does not flow to locations where it earns the highest returns. In our experiment, a third of the houses in a town were...

Persistent link: https://www.econbiz.de/10011889287

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