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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household data from the United States. We find countercyclical...
Persistent link: https://www.econbiz.de/10012182809
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household data from the United States. We find countercyclical...
Persistent link: https://www.econbiz.de/10012215285
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Measuring uncertainty and its effects in a small open economy
Cabello, Miguel; Nivin, Rafael - 2022
In the aftermath of the 2008 Global Financial Crisis (GFC), scholars and policymakers turned their attention to the role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature has focused on addressing this question. Most works find...
Persistent link: https://www.econbiz.de/10013540621
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Cyclical consumption
Berger, Tino; Pozzi, Lorenzo - 2023
Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...
Persistent link: https://www.econbiz.de/10014380708
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Business-cycle consumption risk and asset prices
Bandi, Federico M. - 2020
We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...
Persistent link: https://www.econbiz.de/10012856904
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Output Gap Estimation Uncertainty : Extracting the TFP Cycle Using an Aggregated PMI Series
Clancy, Daragh - 2019
methods applied for their estimation are as accurate as possible. A bivariate Kalman Filter (KF) model using capacity … the first-best approach for future TFP cycle estimation. This paper compares the existing method to an approach which uses …, and that this new approach leads to a reduction in the total estimation error variance and revisions required to TFP cycle …
Persistent link: https://www.econbiz.de/10012866790
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Variable selection and functional form uncertainty in cross-country growth regressions
Salimans, Tim - 2011
suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …
Persistent link: https://www.econbiz.de/10011382708
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Does Risk Matter? A Semiparametric Model for Educational Choices in the Presence of Uncertainty
Mazza, Jacopo - 2012
Standard human capital theory suggests that individuals select into education in order to maximize their utility. If …
Persistent link: https://www.econbiz.de/10013109739
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Estimating Portfolio Risk for Tail Risk Protection Strategies
Happersberger, David - 2020
We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory …
Persistent link: https://www.econbiz.de/10012854211
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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance
Mykland, Per A. - 2016
The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...
Persistent link: https://www.econbiz.de/10013006101