Showing 1 - 10 of 686
This paper illustrates how to handle a sequence of extreme observations-such as those recorded during the COVID-19 pandemic-when estimating a Vector Autoregression, which is the most popular time-series model in macroeconomics. Our results show that the ad-hoc strategy of dropping these...
Persistent link: https://www.econbiz.de/10012422123
This paper revisits Canada's pioneering experience with floating exchange rate over the period 19501962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy. The model is...
Persistent link: https://www.econbiz.de/10003560550
The assumption of asymmetric and incomplete information in a standard New Keynesian model creates strong incentives for monetary policy transparency. We assume that the central bank has better information about its objectives than the private sector, and that the private sector has better...
Persistent link: https://www.econbiz.de/10003963766
We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and...
Persistent link: https://www.econbiz.de/10011563170
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are...
Persistent link: https://www.econbiz.de/10013118186
We construct a multi-agent system (MAS) model of cyclical growth in which aggregate fluctuations result from variations in activity at firm level. The latter, in turn, result from changes in the state of long run expectations (SOLE) or “animal spirits” and their effect on firms' investment...
Persistent link: https://www.econbiz.de/10013084314
This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is...
Persistent link: https://www.econbiz.de/10013038211
This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a mathematical extension of the previously proposed skew lognormal cascade distribution. In particular, the second order distribution is studied in details, which incorporates the fat...
Persistent link: https://www.econbiz.de/10013159227
This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...
Persistent link: https://www.econbiz.de/10013003975
This study investigates the trade openness and exchange rate fluctuations Nexus in Nigeria using time series data covering from1984 to 2013. The rational for this study is the realization that a viable exchange rate regime that is stable and predictable presents rich vista for economic growth...
Persistent link: https://www.econbiz.de/10012987579