Showing 1 - 10 of 18
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements …
Persistent link: https://www.econbiz.de/10009526804
We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...
Persistent link: https://www.econbiz.de/10010404520
This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end, a global vector autoregressive (GVAR) model previously estimated over the 1979:Q1–2003:Q4 period by Dees, de Mauro, Pesaran, and...
Persistent link: https://www.econbiz.de/10003781456
Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges …
Persistent link: https://www.econbiz.de/10003781475
The financial crisis has prompted macroeconomists to think of new policy instruments that could help ensure financial stability. Policymakers are interested in understanding how these should be set in conjunction with monetary policy. We contribute to this debate by analyzing how monetary and...
Persistent link: https://www.econbiz.de/10010202642
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://www.econbiz.de/10012613922
, inflation, and long-term survey expectations, and a medium-scale dynamic stochastic general equilibrium (DSGE) model. We discuss …
Persistent link: https://www.econbiz.de/10011647660
This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...
Persistent link: https://www.econbiz.de/10012000041
I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...
Persistent link: https://www.econbiz.de/10012022250
Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances of multiple shocks change close to proportionally....
Persistent link: https://www.econbiz.de/10011952161