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Four essays in econometrics and macroeconomics
Born, Benjamin - 2011
Persistent link: https://www.econbiz.de/10009422848
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Dynamic stochastic general equilibrium models under a liquidity trap and self-organizing state space modeling
Yano, Koiti (contributor) - 2009
Persistent link: https://www.econbiz.de/10003816309
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
Persistent link: https://www.econbiz.de/10012612441
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
Persistent link: https://www.econbiz.de/10012204513
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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 … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …
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 … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …
Persistent link: https://www.econbiz.de/10012215285
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Seasonality, forecast extensions and business cycle uncertainty
Proietti, Tommaso - In: Journal of economic surveys 26 (2012) 4, pp. 555-569
Persistent link: https://www.econbiz.de/10009711928
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A fresh look at the risk-return tradeoff
Wang, Cindy S. H.; Chen, Yi-Chi; Lo, Hsin-Yu - In: Pacific-Basin finance journal 68 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013332809
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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