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Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...
Persistent link: https://www.econbiz.de/10010192763
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Causal and stochastic elements in business cycles : an essential extension of macroeconomics leading to improved predictions of data
Aulin, Arvid; Ahmavaara, Yrjö - 1996
Persistent link: https://www.econbiz.de/10012939283
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Dynamic economics : quantitative methods and applications
Adda, Jérôme; Cooper, Russell W. - 2003
Persistent link: https://www.econbiz.de/10013481503
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Three essays in computational methods and macro financial modeling
Werner, Maximilian Ulrich - 2017
Persistent link: https://www.econbiz.de/10011715834
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Econometric inference into the macroeconomic dynamics of East European economies : 2. 1995/96
In: Economics of planning : an international journal … 30,2/3 : Special issue (1997)
Persistent link: https://www.econbiz.de/10004260812
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Methods for Applied Macroeconomic Research
Canova, Fabio - 2007
and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and … macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of … such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of …
Persistent link: https://www.econbiz.de/10014487837
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Methods for applied macroeconomic research
Canova, Fabio - 2007
and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and … macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of … such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of …
Persistent link: https://www.econbiz.de/10013503246
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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598
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Die Messung von Risiken in makroökonomischen Variablen
Seppelfricke, Peter - 1995
Persistent link: https://www.econbiz.de/10000549303