simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …

population distribution of the random coefficients. We show that the risk of a predictor based on a non-parametric estimate of … the Tweedie correction is asymptotically equivalent to the risk of a predictor that treats the correlated …

-VAR implies that level variables are highly persistent, which means that the COVID-19 shock generates a long-lasting reduction in …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

consumption-savings behavior. The welfare cost of idiosyncratic risk implied by the age-dependent income process is 34 percent …

-insurance, liquidity and risk-sharing. The government’s aim to redistribute resources across agents and through time in response to …, the default decision, and risk premia. Calibrated to Spanish data, the model is consistent with key cyclical co …, are preceded by surging debt and spreads, and occur with relatively low external debt. Default risk limits the sustainable …

model misspecification or structural breaks. We derive “robust” forecasts which minimize maximum risk or regret over the set … having to estimate the set of forecast distributions and develop a suitable asymptotic efficiency theory …