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Risk and Rationality : Uncovering Heterogeneity in Probability Distortion

Bruhin, Adrian; Fehr-Duda, Helga; Epper, Thomas - 2009

It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...

Persistent link: https://www.econbiz.de/10014207351

Estimation of the term structure of interest rates - A parametric approach

Geyer, Alois; Mader, Richard - 1999

Readily available information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. Interest rate curves can be used for inflation and output forecasts, they may give useful indications about...

Persistent link: https://www.econbiz.de/10013369954

Mixed Frequency Structural Models: Estimation, and Policy Analysis

Foroni, Claudia; Marcellino, Massimiliano - 2013

scale of a DSGE model and that of the time series data used for its estimation generally creates identfication problems …, introduces estimation bias and distorts the results of policy analysis. On the constructive side, we prove that the use of mixed … frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …

Persistent link: https://www.econbiz.de/10012143827

Mixed Frequency Structural VARs

Foroni, Claudia; Marcellino, Massimiliano - 2014

estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions …. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation …

Persistent link: https://www.econbiz.de/10012143839

Dynamic Capital Structure under ManagerialEntrenchment:Evidence from a Structural Estimation

Morellec, Erwan; Nikolov, Boris; Schürhoff, Norman - National Centre of Competence in ResearchFinancial … - 2008

This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...

Persistent link: https://www.econbiz.de/10005868708

Estimation Procedure of a Factor Model for theConstruction of Hedge Funds Indices

Victoria-Feser, Maria-Pia; Huber, Philippe - National Centre of Competence in ResearchFinancial … - 2008

estimation of factor modelsto unveil the five latent (unobservable) "strategies" that underlie theperformance of the hedge fund …

Persistent link: https://www.econbiz.de/10005868980

A Global Macro Model for Emerging Europe

Feldkircher, Martin - 2013

This paper puts forward a global macro model comprising 43 countries and covering the period from Q1 1995 to Q4 2011. Our regional focus is on countries in Central, Eastern and Southeastern Europe (CESEE) and the Commonwealth of Independent States (CIS). Applying a global VAR (GVAR) model, we...

Persistent link: https://www.econbiz.de/10013370102

The Role of Card Acceptance in the Transaction Demand for Money

Huynh, Kim P.; Schmidt-Dengler, Philipp; Stix, Helmut - 2014

The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant. We hypothesize that the lack of card acceptance at the point of sale is a key reason why cash continues to play an important role. We...

Persistent link: https://www.econbiz.de/10013370113

Productivity shocks, long-term contracts and earnings dynamics

Balke, Neele; Lamadon, Thibaut - 2021

This paper examines how employer- and worker-specific productivity shocks transmit to earnings and employment in an economy with search frictions and firm commitment. We develop an equilibrium search model with worker and firm shocks and characterize the optimal contract offered by competing...

Persistent link: https://www.econbiz.de/10013394333

Dynamic factor models with common (drifting) stochastic trends

Kaufmann, Sylvia; Strachan, Rodney W. - 2024

It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...

Persistent link: https://www.econbiz.de/10014476233