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Job duration and inequality
Chen, Siyan; Desiderio, Saul - 2019
As suggested by recent empirical evidence, one of the causes behind the widespread rise of inequality experienced by OECD countries in the last few decades may have been the increased flexibility of labor markets. The authors explore this hypothesis through the analysis of a stock-flow...
Persistent link: https://www.econbiz.de/10012030461
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Quantum Monte Carlo for economics : stress testing and macroeconomic deep learning
Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; … - 2022 - Last updated: June 28, 2022
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....
Persistent link: https://www.econbiz.de/10013264908
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Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
Nakajima, Jouchi - Institute for Monetary and Economic Studies, Bank of Japan - 2011
with stochastic volatility (TVP- VAR-ZLB). Nominal interest rates are modeled as a censored variable with Tobit-type non …-linearity and incorporated into the TVP-VAR framework. For estimation, an efficient Markov chain Monte Carlo (MCMC) method is …
Persistent link: https://www.econbiz.de/10008863932
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Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
Nakajima, Jouchi - Institute for Monetary and Economic Studies, Bank of Japan - 2011
structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR …) method is employed for the estimation of the TVP-VAR models with stochastic volatility. As an example of empirical … application, the TVP-VAR model with stochastic volatility is estimated using the Japanese data with significant structural changes …
Persistent link: https://www.econbiz.de/10008863933
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Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy
Nakajima, Jouchi; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011
This paper applies the time-varying parameter vector autoregressive model to the Japanese economy. The both parameters and volatilities, which are assumed to follow a random-walk process, are estimated using a Bayesian method with MCMC. The recursive structure is assumed for identification and...
Persistent link: https://www.econbiz.de/10009209767
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Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
Nakajima, Jouchi - In: Monetary and Economic Studies 29 (2011) November, pp. 107-142
structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR … is employed for the estimation of the TVP-VAR models with stochastic volatility. As an example of empirical application …, the TVP-VAR model with stochastic volatility is estimated using the Japanese data with significant structural changes in …
Persistent link: https://www.econbiz.de/10009364154
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MONETARY POLICY TRANSMISSION MECHANISM AND TVP-VAR MODEL
ROSOIU, Andreea A. - In: Network Intelligence Studies (2013) 2, pp. 119-126
The transmission of monetary policy to the economy is a subject of major importance for central banks because, by using these measures, central banks can achieve their purpose of ensuring price stability without neglecting the objective of sustainable economic growth. In order to analyze the...
Persistent link: https://www.econbiz.de/10010700626
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Dynamic Simultaneous Equations and Panel Data: Small Sample Properties and Regional Factor Demand Modelling for Policy Analysis
Mitze, Timo - 2010
The superiority of full information approaches when estimating a system of equation is well known for large samples. However, less is known about the small sample properties of these estimators relative to limited information approachs. This is especially true for the context of Panel data...
Persistent link: https://www.econbiz.de/10010270271
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Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests
Welz, Peter; Österholm, Pär - 2005
This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...
Persistent link: https://www.econbiz.de/10010321535
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Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and … to 2008. The marginal likelihoods of the TVP-VAR model and other VAR models are also estimated. The estimated marginal … likelihoods indicate that the TVP-VAR model best fits the Japanese economic data. …
Persistent link: https://www.econbiz.de/10004972461