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Tracking down the business cycle : a dynamic factor model for Germany 1820-1913
Sarferaz, Samad (contributor); Uebele, Martin (contributor) - 2007
We use a Bayesian dynamic factor model to measure Germany's pre World War I economic activity. The procedure makes better use of existing time series data than historical national accounting. To investigate industrialization we propose to look at comovement between sectors. We find that...
Persistent link: https://www.econbiz.de/10003633999
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The influence of the business cycle on mortality
Reichmuth, Wolfgang H. (contributor);  … - 2008
We analyze the impact of short-run economic fluctuations on age-specific mortality using Bayesian time series econometrics and contribute to the debate on the procyclicality of mortality. For the first time, we examine the differing consequences of economic changes for all individual age...
Persistent link: https://www.econbiz.de/10003770803
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Do tax cuts Increase consumption? : an experimental test of Ricardian Equivalence
Meissner, Thomas; Rostam-Afschar, Davud - 2014
This paper tests whether the Ricardian Equivalence proposition holds in a life cycle consumption laboratory experiment … not hold in general. Our results suggest that taxation has a significant and strong impact on consumption choice. Over the … life cycle, a tax relief increases consumption on average by about 22% of the tax rebate. A tax increase causes consumption …
Persistent link: https://www.econbiz.de/10010418875
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Competitive risk sharing contracts with one-sided commitment
Uhlig, Harald (contributor); Krueger, Dirk (contributor) - 2005
. We then show that our contract economy is equivalent to a consumption-savings economy with one-period Arrow securities …
Persistent link: https://www.econbiz.de/10003035794
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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10003636133
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JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10003727355
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Bayesian demographic modeling and forecasting : an application to U.S. mortality
Reichmuth, Wolfgang H. (contributor);  … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...
Persistent link: https://www.econbiz.de/10003770767
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Modeling and forecasting age-specific mortality : a Bayesian approach
Reichmuth, Wolfgang H. (contributor);  … - 2008
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the United States, building on the LeeCarter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables...
Persistent link: https://www.econbiz.de/10003770768
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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...
Persistent link: https://www.econbiz.de/10003952795
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...
Persistent link: https://www.econbiz.de/10003952817