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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization …
Persistent link: https://www.econbiz.de/10005860533
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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 grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10005860578
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A Discrete Sine Transform for Multi-Scales Realized Volatility Measures
Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …
Persistent link: https://www.econbiz.de/10005859008
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A Discrete Sine Transform for Multi-Scales Realized Volatility Measures
Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …
Persistent link: https://www.econbiz.de/10005859009
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The bank lending channel revisited
Disyatat, Piti - Bank für Internationalen Zahlungsausgleich <Basel> - 2010
A central proposition in research on the role that banks play in the transmission mechanism is that monetary policy imparts a direct impact on deposits and that deposits, insofar as they constitute the supply of loanable funds, act as the driving force of bank lending. This paper argues that the...
Persistent link: https://www.econbiz.de/10005871023
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Unconventional monetary policies: an appraisal
Borio, Claudio E. V.; Disyatat, Piti - Bank for International Settlements / Monetary and … - 2009
The recent global financial crisis has led central banks to rely heavily on "unconventional" monetary policies. This alternative approach to policy has generated much discussion and a heated and at times confusing debate. The debate has been complicated by the use of different definitions and...
Persistent link: https://www.econbiz.de/10009138460
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Money and monetary policy transmissionin the euro area:evidence from FAVAR- and VAR approaches
Blaes, Barno - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
monetaryaggregates to a one-off monetary policy shock. We find that – as theory suggests –money growth is dampened by a restrictive …
Persistent link: https://www.econbiz.de/10005866209
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Survey of Professional Forecasters
Federal Reserve Bank <Philadelphia, Pa.>
The Survey of Professional Forecasters is the oldest quarterly survey of macroeconomic forecasts in the United States. The survey began in 1968 and was conducted by the American Statistical Association and the National Bureau of Economic Research. The Federal Reserve Bank of Philadelphia took...
Persistent link: https://www.econbiz.de/10005842838
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The Dependence Structure of Macroeconomic Variables in the US
Chollete, Loran; Ning, Cathy Q. - Universitetet <Stavanger> / School of Business … - 2009
A central role for economic policy involves reducing the incidence of systemic downturns,when key economic variables experience joint extreme events. In this paper,we empirically analyze such asymmetric dependence using two approaches, correlationsand copulas. We document four findings. First,...
Persistent link: https://www.econbiz.de/10009305199
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De copulis non estdisputandum Copulae: An Overview
Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...
Persistent link: https://www.econbiz.de/10005865416