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Bayesian demographic modeling and forecasting : an application to U.S. mortality
Sarferaz, Samad (contributor) - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
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Modeling and forecasting age-specific mortality : a Bayesian approach
Sarferaz, Samad (contributor) - 2008
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770768
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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...
Persistent link: https://www.econbiz.de/10003963819
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A large Bayesian VAR of the United States Economy
Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://www.econbiz.de/10012613922
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Bayesian demographic modeling and forecasting: an application to U.S. mortality
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10010276366
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Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
Malley, James R.; Woitek, Ulrich - 2009
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...
Persistent link: https://www.econbiz.de/10003833344
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
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Modeling and forecasting age-specific mortality: a Bayesian approach
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10010276367
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Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models
Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of … mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of … mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on …
Persistent link: https://www.econbiz.de/10013368640
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Essays on business cycle analysis and demography
Sarferaz, Samad - 2009
Persistent link: https://www.econbiz.de/10008811071