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Fiscal news and macroeconomic volatility
Born, Benjamin; Peter, Alexandra; Pfeifer, Johannes - 2011
This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an …
Persistent link: https://www.econbiz.de/10009748254
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Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility
Chan, Joshua C. C. - 2015
marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators … with stochastic volatility compared to a conventional constant coefficients VAR with homoscedastic innovations. Most of the … gains, however, appear to have come from allowing for stochastic volatility rather than time variation in the VAR …
Persistent link: https://www.econbiz.de/10013017876
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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Global and local components of output gaps
Eckert, Florian; Mühlebach, Nina - 2021
This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...
Persistent link: https://www.econbiz.de/10012663182
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Bayesian Estimation of Macro-Finance DSGE Models with Stochastic Volatility
Rapach, David - 2020
equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that … makes estimation of large-scale DSGE models computationally feasible. We use our algorithm to estimate the US equity risk … premium in a DSGE model that includes time-preference, technology, investment, and volatility shocks. Time-preference and …
Persistent link: https://www.econbiz.de/10012847324
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Endogenous firm entry in an estimated model of the U.S. business cycle : conference paper
Offick, Sven; Winkler, Roland - 2013 - Preliminary and incomplete
This paper explores and quantifies the role of endogenous firm entry in amplifying and propagating shocks to the economy. To this end, we estimate two DSGE models on US data with Bayesian methods: one model with endogenous firm entry and translog preferences and one model without. Both models...
Persistent link: https://www.econbiz.de/10010341104
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The competition effect in business cycles
Lewis, Vivien; Stevens, Arnoud - 2012
How do changes in market structure affect the US business cycle? We estimate a monetary DSGE model with endogenous firm/product entry and a translog expenditure function by Bayesian methods. The dynamics of net business formation allow us to identify the "competition effect", by which desired...
Persistent link: https://www.econbiz.de/10010391305
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Duration Dependent Markov-Switching Vector Autoregression : Properties, Bayesian Inference, Software and Application
Pelagatti, Matteo M. - 2013
Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...
Persistent link: https://www.econbiz.de/10014059391
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …
Persistent link: https://www.econbiz.de/10014314068