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News-driven uncertainty fluctuations
Song, Dongho; Tang, Jenny - 2018 - This version: January 2018
We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that arrives during a prolonged economic boom can trigger a...
Persistent link: https://www.econbiz.de/10011894302
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Uncertainty shocks, monetary policy and long-term interest rates
Amisano, Gianni; Tristani, Oreste - 2019
We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...
Persistent link: https://www.econbiz.de/10012009116
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...
Persistent link: https://www.econbiz.de/10015084442
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Model Uncertainty in Panel Vector Autoregressive Models
Koop, Gary - 2014
We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities...
Persistent link: https://www.econbiz.de/10013048434
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...
Persistent link: https://www.econbiz.de/10014314068
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Uncertainty and employment dynamics in the euro area and the US
Netšunajev, Aleksei; Glass, Katharina - 2016
In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector...
Persistent link: https://www.econbiz.de/10011437769
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The Impact of Parameter Uncertainty in Insurance Pricing and Reserve with the Temperature-Related Mortality Model
Seklecka, Malgorzata - 2019
Changes in mortality rates have an impact on the life insurance industry, the financial sector (as a significant … related to the accuracy of central mortality rates is of key importance. Recently, a temperature-related mortality (TRM) model …) model and several other of its extensions, when mortality-experience data from the United Kingdom is used. There is a need …
Persistent link: https://www.econbiz.de/10012902135
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Sharing Longevity Risk : Why Governments Should Issue Longevity Bonds
Blake, David P. - 2020
Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their systematic longevity risk. Longevity bonds will...
Persistent link: https://www.econbiz.de/10012832830
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Tail Index-Linked Annuity : A Longevity Risk Sharing Retirement Plan
Chen, An - 2020
, particularly for advanced retirement ages. Using real-world mortality data and stochastic multi-population mortality model, we find …
Persistent link: https://www.econbiz.de/10012826839
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …
Persistent link: https://www.econbiz.de/10013363078