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Emerging market business cycles revisited: learning about the trend
Boz, Emine; Daude, Christian; Durdu, C. Bora - 2011
We build an equilibrium business cycle model in which agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks and learn about those components using the Kalman filter. Calibrated to Mexico, the model predicts a higher variability of consumption relative...
Persistent link: https://www.econbiz.de/10010273643
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Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Bos, Charles S.; Koopman, Siem Jan - 2010
Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...
Persistent link: https://www.econbiz.de/10010326058
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Models as Measuring Instruments
Rodenburg, Peter - 2004
in models by analysing the measurement of duration dependence of unemployment. Since search theory can’t be made … - provided the models is calibrated - this suffice for measurement. This paper explores this construction of a measuring device … measurement to take place by modelling behaviour according to some assumptions, which operate as constraints. While this Weibull …
Persistent link: https://www.econbiz.de/10010325381
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The measurement of social welfare
Tsuneki, Atsushi - 2007
the present suboptimal economy. We discuss pros and cons of our approach for the measurement of welfare compared with … other approaches to applied welfare economics, especially the measurement of deadweight loss. …
Persistent link: https://www.econbiz.de/10010332307
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A sociological perspective on measuring social norms by means of strategy method experiments
Rauhut, Heiko; Winter, Fabian - 2009
The measurement of social norms plays a pivotal role in many social sciences. While economists predominantly conduct …, on the one hand, often fall short in the measurement of more complex elements, such as the conditionality or the level of …
Persistent link: https://www.econbiz.de/10010267089
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Are emerging market currency crises predictable? A test
Peltonen, Tuomas A. - 2006
This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...
Persistent link: https://www.econbiz.de/10011604617
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External shocks, US monetary policy and macroeconomic fluctuations in merging markets
Maćkowiak, Bartosz - 2006
Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. The price level and real output in...
Persistent link: https://www.econbiz.de/10010275790
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Gauging risk with higher moments: Handrails in measuring and optimising conditional value at risk
Bugár, Gyöngyi; Maurer, Raimond H.; Vo, Huy Thanh - 2009
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...
Persistent link: https://www.econbiz.de/10010275840
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Labor Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing
Kabaca, Serdar - 2011
This paper contributes to the literature by documenting labor income share fluctuations in emerging economies and proposing an explanation for them. We show that emerging markets differ from developed markets in terms of changes in the labor share over the business cycle. Labor share is more...
Persistent link: https://www.econbiz.de/10010500184
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Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis
Brauning, Falk; Koopman, Siem Jan - 2012
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...
Persistent link: https://www.econbiz.de/10010326452