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simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …
Persistent link: https://www.econbiz.de/10012956589
The difficulties in properly anticipating key economic variables may encourage decision makers to rely on experts' forecasts. Professional forecasters, however, may not be reliable and so their forecasts must be empirically tested. This may induce experts to forecast strategically in order to...
Persistent link: https://www.econbiz.de/10012724354
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 …
Persistent link: https://www.econbiz.de/10014034574
-VAR implies that level variables are highly persistent, which means that the COVID-19 shock generates a long-lasting reduction in …
Persistent link: https://www.econbiz.de/10014090506
. 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 …
Persistent link: https://www.econbiz.de/10012956330
consumption-savings behavior. The welfare cost of idiosyncratic risk implied by the age-dependent income process is 34 percent …
Persistent link: https://www.econbiz.de/10013120267
-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 …
Persistent link: https://www.econbiz.de/10014124263
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 …
Persistent link: https://www.econbiz.de/10014090507
This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great moderation of business cycle fluctuations that the U.S. economy...
Persistent link: https://www.econbiz.de/10013144730
We study a decision maker who faces a dynamic decision problem in which the process of information arrival is subjective. By studying preferences over menus of acts, we derive a sequence of utility representations that captures the decision maker’s uncertainty about the beliefs he will hold...
Persistent link: https://www.econbiz.de/10014175006