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Decomposing risk in dynamic stochastic general equilibrium : conference paper

Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013

We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …

Persistent link: https://www.econbiz.de/10010487749

Asset management in volatile markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10011705329

Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a …This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

Persistent link: https://www.econbiz.de/10010341118

Evaluating misspecification in DSGE models using tests for overidentifying restrictions : conference paper

Reicher, Christopher Phillip - 2013 - This version: February 1, 2013

In this paper I discuss the estimation of the process governing the structural shocks (or wedges) to a DSGE model, arguing that a well-specified model would satisfy certain sets of moment conditions. Based on tests for overidentifying restrictions, I compare three specifications of the Taylor...

Persistent link: https://www.econbiz.de/10010339402

Do large recessions reduce output permanently? : conference paper

Hosseinkouchack, Mehdi; Wolters, Maik H. - 2013

The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...

Persistent link: https://www.econbiz.de/10010340611

Unraveling the relationship between presidential approval and the economy : a multi-dimensional semi-parametric approach ; conference paper

Berlemann, Michael; Enkelmann, Soeren; Kuhlenkasper, Torben - 2013

Empirical studies analyzing the determinants of U.S. presidential popularity have delivered quite inconclusive results concerning the role of economic variables by assuming linear relationships. We employ penalized spline smoothing in the context of semi-parametric additive mixed models and...

Persistent link: https://www.econbiz.de/10010341089

Forecasting aggregates with disaggregate variables : does boosting help to select the most informative predictors? ; conference paper

Zeng, Jing - 2014

Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting model for an eco- nomic aggregate may improve the forecasting accuracy. In this paper we suggest to use boosting as a method to select the disaggregate variables which are most...

Persistent link: https://www.econbiz.de/10010482520

How large is the stress from the common monetary policy in the Euro area? : conference paper

Quint, Dominic - 2014

The ECB's one size monetary policy is unlikely to fit all euro area members, which raises a discussion about how much monetary policy stress this causes at the national level. We measure monetary policy stress as the difference between actual ECB interest rates and Taylor-rule implied optimal...

Persistent link: https://www.econbiz.de/10010483271

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Persistent link: https://www.econbiz.de/10010484411

Evaluating heterogeneous effects of housing-sector-specific macroprudential policy tools on Belgian house price growth

Coulier, Lara; De Schryder, Selien - International Research Conference on Household … - 2022

This paper analyzes whether housing-related macroprudential policy has heterogeneous effects on house price growth in local housing markets. More specifically, we employ an extensive dataset of Belgian municipalities containing a multitude of drivers of local house price dynamics and examine the...

Persistent link: https://www.econbiz.de/10013443724