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The Influence of the Business Cycle on Mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We analyze the impact of short-run economic fluctuations on age-specific mortality usingBayesian time series econometrics and contribute to the debate on the procyclicality ofmortality. For the first time, we examine the differing consequences of economic changesfor all individual age classes....

Persistent link: https://www.econbiz.de/10005862544

Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913

Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We use a Bayesian dynamic factor model to measure Germanys pre WorldWar I economic activity. The procedure makes better use of existing time seriesdata than historical national accounting. To investigate industrializationwe propose to look at comovement between sectors. We find that...

Persistent link: https://www.econbiz.de/10005861003

Global business cycles:convergence or decoupling?

Kose, M. Ayhan; Otrok, Christopher; Prasad, Eswar - Deutsche Bundesbank <Frankfurt, Main> / …

This paper analyzes the evolution of the degree of global cyclicalinterdependence over the period 1960-2005. We categorize the 106 countries in oursample into three groups—industrial countries, emerging markets, and other developingeconomies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10005866173

Expected Money Growth, Markov Trends and theInstability of Money Demand in the Euro Area

Kaufmann, Sylvia; Kugler, Peter - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

This paper analyzes the recently documented instability of money demand in theeuro area in the framework of a Markov switching trend model. First, we consider astandard flexible price model with stable money demand, rational expectations, andan exogenous income-money ratio which follows a Markov...

Persistent link: https://www.econbiz.de/10005867935

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 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 extendingit in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

Persistent link: https://www.econbiz.de/10005860485

JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

and we use it for the integrals arising in rational expectations and in nonlinear state space filters. The estimation step …

Persistent link: https://www.econbiz.de/10005860533

Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality

Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …

Persistent link: https://www.econbiz.de/10005860578

Portfolio Allocation for European Markets withPredictability and Parameter Uncertainty

Jondeau, Eric; Rockinger, Michael - National Centre of Competence in Research - Financial … - 2010

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

Persistent link: https://www.econbiz.de/10009487000

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

Explaining the US Bond Yield Conundrum

Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - Hochschule für Angewandte Wissenschaften <Amberg - 2007

wie Kerninflation, Geldpolitik und Konjunktur,berücksichtigen wir auch die ausländische Nachfrage nach US …

Persistent link: https://www.econbiz.de/10005866095