Showing 41 - 50 of 84
This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...
Persistent link: https://www.econbiz.de/10005721244
This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...
Persistent link: https://www.econbiz.de/10005726585
Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores...
Persistent link: https://www.econbiz.de/10005726592
Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in U.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach these conclusions by estimating a dynamic stochastic...
Persistent link: https://www.econbiz.de/10005726641
We explore in this paper cubature formulas over the space of functions having a first continuous derivative, i.e., C^1. We show that known cubature formulas are not optimal in this case and explain what is the origin of the loss of optimality and how to construct optimal ones; to illustrate we...
Persistent link: https://www.econbiz.de/10009418572
Potential adjustments in U.S. commodity program for rice are evaluated in this paper using stochastic analysis in a global modeling framework. Corresponding threshold and loss-compensatory increases in target price and loan rates are determined with assumed outright and gradual elimination of...
Persistent link: https://www.econbiz.de/10009421113
Potential adjustments in U.S. commodity program for rice are evaluated in this paper using stochastic analysis in a global modeling framework. Corresponding threshold and loss-compensatory increases in target price and loan rates are determined with assumed outright and gradual elimination of...
Persistent link: https://www.econbiz.de/10009645963
We consider minimizing the probability of falling below a target growth rate of the wealth process up to a time horizon T in an incomplete market model under partial information and then study the asymptotic behavior of the minimizing probability as T → ∞. This problem is closely related to...
Persistent link: https://www.econbiz.de/10009208376
Intuitively, we expect that players who are allowed to engage in costless communication before playing a game would be foolish to agree on an inefficient equilibrium. At the same time, however, such preplay communication has been suggested as a rationale for expecting Nash equilibrium in...
Persistent link: https://www.econbiz.de/10010551290
The empirical DSGE (dynamic stochastic general equilibrium) literature pays surprisingly little attention to the behavior of the monetary authority. Alternative policy rule specifications abound, but their relative merit is rarely discussed. We contribute to filling this gap by comparing the fit...
Persistent link: https://www.econbiz.de/10009292979