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Solution and Estimation of RE Macromodels with Optimal Policy

Söderlind, Paul - 2013

Macro models of monetary policy typically involve forward looking behavior. Except in rare circumstances, we have to apply some numerical method to find the optimal policy and the rational expectations equilibrium. This paper summarizes a few useful methods, and shows how they can be combined...

Persistent link: https://www.econbiz.de/10013095883

Restricting Shadow Economy versus Macroeconomic Impacts. A Panel Data Analysis in EU, Japan, USA

Georgiou, Miltiades N. - 2013

It seems to be a trade-off between shadow economy restriction and macroeconomic repercussions. This view is expressed by (Era Dabla-Norris and Andrew Feltenstein, 2003) and is in agreement with the author of the present paper although approached in a different way. Author believes that present...

Persistent link: https://www.econbiz.de/10013071570

Scenario Modeling of Selective Hedging Strategies

Beltratti, Andrea - 2013

We study currency risk management in the context of scenario analysis. We develop scenario-based optimization models that jointly determine the portfolio composition and the hedging strategy within each currency. Thus the model prescribes optimal selective hedging policies. We then study...

Persistent link: https://www.econbiz.de/10013072830

Quality of PIN Estimates and the PIN-Return Relationship

Yan, Yuxing - 2014

This paper provides new evidence concerning the probability of informed trading (PIN) and the PIN-return relationship. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the average of a firm's PIN estimates in four consecutive...

Persistent link: https://www.econbiz.de/10013054880

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

Multi-Asset Portfolio Optimization and Out-of-Sample Performance : An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

Bessler, Wolfgang - 2014

The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity...

Persistent link: https://www.econbiz.de/10013065986

Measuring Market and Inflation Risk Premia in France and in Germany

Cappiello, Lorenzo; Guene, Stephane - 2021

This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal Capital Asset Pricing Model a la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our study also allows us to evaluate how the different...

Persistent link: https://www.econbiz.de/10013318789

A Life-Cycle Model of Outmigration and Economic Assimilation of Immigrants in Germany

Bellemare, Charles - 2021

This paper estimates a structural dynamic life-cycle model of outmigration where, in each period, immigrants choose … earnings and preferences which allows immigrants to revise their duration decisions throughout their migration experience. We … exclusively on earnings differentials. Estimated assimilation rates are found to be robust to selection effects. Immigrants are …

Persistent link: https://www.econbiz.de/10013319507

Economic Growth Induced by the Increases of Investment and Demand

Krouglov, Alexei - 2021

Presented here is a simplified mathematical model exploring dynamic factors of the economic growth. In particular, it examines two factors affecting the economic growth – first factor is an increase of the rates of product investment and another factor is an increase of the rates of product...

Persistent link: https://www.econbiz.de/10013323012

Environmental Productivity Growth and Convergence of European Manufacturing Industries. Are They Under Pressure?

Stergiou, Eirini; Rigas, Nikos; Kounetas, Konstantinos - 2022

European industries are under pressure regarding their environmental performance and productivity growth. The current energy crisis offsets governments efforts to achieve carbon neutrality while removing significant degrees of freedom in terms of firm's competitiveness. This paper studies...

Persistent link: https://www.econbiz.de/10013306459