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Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008

general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that our …

Persistent link: https://www.econbiz.de/10010292348

Detecting Imbalances in House Prices: What Goes up Must Come Down?

Anundsen, André K. - 2016

With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....

Persistent link: https://www.econbiz.de/10012143889

Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman; Urbach, Richard - 2013

importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …

Persistent link: https://www.econbiz.de/10010334249

A dynamical systems approach to modeling human development

Ranganathan, Shyam; Swain, Ranjula Bali; Sumpter, David … - 2014

A key aim of economics is to set goals and investigate the relationship between various socio-economic indicators. By fitting time series data using a Bayesian dynamical systems approach we identify non-linear interactions between GDP, child mortality, fertility rate and female education. We...

Persistent link: https://www.econbiz.de/10011396729

Analysing mechanisms for meeting global emissions target: A dynamical systems approach

Ranganathan, Shyam; Swain, Ranjula Bali - 2014

Global emissions beyond 44 gigatonnes of carbondioxide equivalent (GtCO2e) in 2020 can potentially lead the world to an irreversible climate change. Employing a novel dynamical system modeling approach, we predict that in a business-asusual scenario, it will reach 61 GtCO2e by 2020. Testing...

Persistent link: https://www.econbiz.de/10011396730

An Embarrassment of Riches: Forecasting Using Large Panels

Eklund, Jana; Karlsson, Sune - 2007

The increasing availability of data and potential predictor variables poses new challenges to forecasters. The task of formulating a single forecasting model that can extract all the relevant information is becoming increasingly difficult in the face of this abundance of data. The two leading...

Persistent link: https://www.econbiz.de/10012654322

Monetary Policy and Asset Prices: To Respond or Not?

Akram, Q. Farooq; Bårdsen, Gunnar; Eitrheim, Øyvind - 2005

We investigate whether there is a case for asset prices in interest rates rules within a small econometric model of the Norwegian economy, modeling the interdependence of the real economy, credit and three classes of assets prices: housing prices, equity prices and the nominal exchange rate. We...

Persistent link: https://www.econbiz.de/10012143645

Flexible Inflation Targeting and Financial Stability: Is It Enough to Stabilise Inflation and Output?

Akram, Q. Farooq; Eitrheim, Øyvind - 2006

We investigate empirically whether a central bank can promote financial stability by stabilizing inflation and output, and whether additional stabilization of asset prices and credit growth would enhance financial stability in particular. We employ an econometric model of the Norwegian economy...

Persistent link: https://www.econbiz.de/10012143659

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

Measuring and Predicting Heterogeneous Recessions

Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...

Persistent link: https://www.econbiz.de/10010500207

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