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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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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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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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Monetary policy regimes and the volatility of long-term interest rates
Queijo von Heideken, Virginia (contributor) - 2008
This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...
Persistent link: https://www.econbiz.de/10003651439
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Time-varying yield curve dynamics and monetary policy
Mumtaz, Haroon (contributor); Surico, Paolo (contributor) - 2008
The dynamics of the US economy are modelled using a time-varying structural vector autoregression that incorporates information from the yield curve. We find important changes in the dynamics of macroeconomic variables such as inflation and the federal funds rate. In addition our results suggest...
Persistent link: https://www.econbiz.de/10003674660
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …
Persistent link: https://www.econbiz.de/10011389786
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Time-varying structural vector autoregressions and monetary policy : a corrigendum
Del Negro, Marco; Primiceri, Giorgio E. - 2013
the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm …
Persistent link: https://www.econbiz.de/10009744671
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Credit shocks and macroeconomic fluctuations in emerging markets
Houssa, Romain; Mohimont, Jolan; Otrok, Christopher M. - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10009754529
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What do VARs tell us about the impact of a credit supply shock? : an empirical analysis
Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2014
This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a … SVARs to try and recover the impulse responses to these shocks. The experiment suggests that a proxy VAR that uses an … error in the instrument. A structural VAR with sign restrictions also performs well under some circumstances. In contrast …
Persistent link: https://www.econbiz.de/10010339749
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What do VARs tell us about the impact of a credit supply shock?
Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2015
This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply … heteroscedasticity suffer from a number of biases. When applied to US data, the estimates from the best performing VAR models indicate …
Persistent link: https://www.econbiz.de/10010484833