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Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...

Persistent link: https://www.econbiz.de/10012705391

Expected money growth, Markov trends and the instability of money demand in the euro area

Kaufmann, Sylvia; Kugler, Peter - 2007 - This version: December 2007

This paper analyzes the recently documented instability of money demand in the euro area in the framework of a Markov switching trend model. First, we consider a standard flexible price model with stable money demand, rational expectations, and an exogenous income-money ratio which follows a...

Persistent link: https://www.econbiz.de/10011570250

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

Persistent link: https://www.econbiz.de/10012425011

Modelling the effects of climate change on economic growth : a Bayesian Structural Global Vector Autoregressive approach

Ahmadi, Maryam; Casoli, Chiara; Manera, Matteo; … - 2022

The identification of the effects of climate shocks on economic growth is central to design effective policies aiming at managing the future global climate change challenge. In this study, we investigate the effects of temperature and precipitation shocks on economic growth across different...

Persistent link: https://www.econbiz.de/10014264956

Evidence on a real business cycle model with neutral and investment-specific technology shocks using Bayesian model averaging

Strachan, Rodney W.; Dijk, Herman K. van - 2010 - Version 17 May 2010

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...

Persistent link: https://www.econbiz.de/10011380727

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

Bayesian Inference in a Time Varying Cointegration Model

Koop, Gary - 2011

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegrations. This is despite the fact that cointegration...

Persistent link: https://www.econbiz.de/10013121913

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W. - 2009

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10012720260

Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated conditional on the lag order, the current paper also...

Persistent link: https://www.econbiz.de/10013317369