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What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence
Amisano, Gianni; Serati, Massimiliano - Tinbergen Instituut - 2002
We analyse the determinants of unemployment persistence in four OECDcountries byestimating a structural Bayesian VAR … with an informative priorbased on an insiders/outsiders model. We explicitly insert unemployment ben-efits and labour taxes … so that our identification is not affected by the Faust andLeeper (1997) critique. We find widespread hysteresis: demand …
Persistent link: https://www.econbiz.de/10011256062
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What goes up sometimes stays up: Shocks and Institutions as Determinants of Unemployment Persistence
Amisano, Gianni; Serati, Massimiliano - Tinbergen Institute - 2002
We analyse the determinants of unemployment persistence in four OECD countries byestimating a structural Bayesian VAR … with an informative prior based on an insiders/outsiders model. We explicitly insert unemployment ben- efits and labour … taxes so that our identification is not affected by the Faust and Leeper (1997) critique. We find widespread hysteresis …
Persistent link: https://www.econbiz.de/10005137103
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011272592
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011255775
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>
Persistent link: https://www.econbiz.de/10011255853
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10005450792
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of
Persistent link: https://www.econbiz.de/10008838546
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010
) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …
Persistent link: https://www.econbiz.de/10011256713
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An Experimental Investigation of Wage Taxation and Unemployment in Closed and Open Economies
Riedl, Arno; Winden, Frans van - Tinbergen Instituut
We investigate experimentally the economic effects of wage taxation to finance unemployment benefits for a closed … the dynamic interaction between the wage tax and unemployment. (ii) Employment is boosted by budget deficits but …
Persistent link: https://www.econbiz.de/10011255591
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An Experimental Investigation of Wage Taxation and Unemployment in Closed and Open Economies
Riedl, Arno; Winden, Frans van - Tinbergen Institute
We investigate experimentally the economic effects of wage taxation to finance unemployment benefits for a closed … the dynamic interaction between the wage tax and unemployment. (ii) Employment is boosted by budget deficits but …
Persistent link: https://www.econbiz.de/10005209471