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Estimating Nonlinear Dynamic Equilibrium Economies : A Likelihood Approach

Fernández-Villaverde, Jesús; Rubio-Ramirez, Juan Francisco - 2014

authors develop a sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using … simulation methods. This likelihood can be used for parameter estimation and for model comparison. The algorithm can deal both … and its good performance in finite simulations. This new algorithm is important because the existing empirical literature …

Persistent link: https://www.econbiz.de/10014048588

Cyclical asset returns in the consumption and investment goods sector : conference paper

Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10010482490

On the Modeling of the Income Distribution Business Cycle Dynamics

Heer, Burkhard - 2007

Empirically, the income share is procyclical for the low-income groups and acyclical for the top 5%. We find that business cycle models should consider overlapping generations and elastic labor supply in order to replicate this finding

Persistent link: https://www.econbiz.de/10012777297

Cyclical asset returns in the consumption and investment goods sector

Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10009786095

A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635

We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...

Persistent link: https://www.econbiz.de/10011757753

A Hodrick-Prescott filter with automatically selected jumps

Maranzano, Paolo; Pelagatti, Matteo - 2024

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...

Persistent link: https://www.econbiz.de/10014578421

Sources and Propagation of International Cycles : Common Shocks or Transmission?

Marrinan, Jane; Canova, Fabio - 2014

This paper studies the generation and transmission of international cycles in a multi-country model with production and consumption interdependencies. Two sources of disturbance are considered, and three channels of propagation are compared. In the short run the contemporaneous correlation of...

Persistent link: https://www.econbiz.de/10014089398

Development, Growth and Volatility

Moro, Alessio - 2010

Does GDP composition affect GDP growth and volatility? Typically, economies at advanced stages of development grow slower, are less volatile and have a larger share of services in GDP with respect to economies at middle stages. I propose a theory of development consistent with these three facts....

Persistent link: https://www.econbiz.de/10013141336

Aßmuth, Pascal - 2015 - Reviewed Version: June 18, 2015

The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterward. This paper focuses on...

Persistent link: https://www.econbiz.de/10010510621

US business cycle dynamics at the zero lower bound

Böhl, Gregor; Strobel, Felix - 2020

Using a nonlinear Bayesian likelihood approach that fully accounts for the lower bound on nominal interest rates, we analyze US post-crisis macroeconomic dynamics and provide reference parameter estimates. We find that despite the attention received in the literature, neither the inclusion of...

Persistent link: https://www.econbiz.de/10012406022

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