Similar Search Results

Numerical solution of boundary value problems for stochastic differential equations on the basis of the Gibbs sampler

Prigarin, Sergej M.; Winkler, Gerhard - 2003

To solve boundary value problems for linear systems of stochastic differential equations we propose and justify a numerical method based on the Gibbs sampler. In contrast to the technique which yields for linear systems an "exact" numerical solution, the proposed method is simpler to generalize...

Persistent link: https://www.econbiz.de/10010277237

An Elementary Rigorous Introduction to Exact Sampling

Friedrich, Felix; Winkler, Gerhard; Wittich, Olaf; … - 2003

probability theory. This should fill an obvious gap between innumerable intuitive and incomplete reviews, and few precise …

Persistent link: https://www.econbiz.de/10010277238

Catching-up, inflation differentials and credit booms in a heterogeneous monetary union: some implications for EMU and new EU member states

MacDonald, Ronald; Wójcik, Cezary - 2006

In this paper we propose an alternative explanation for the nature, sources and consequences of inflation rate differentials in a monetary union, such as EMU. To achieve this, we build on the new neoclassical synthesis (NNS) framework, recently advanced by Goodfriend (2002) and Goodfriend and...

Persistent link: https://www.econbiz.de/10010277240

On the non-optimality of information: an analysis of the welfare effects of anticipated shocks in the New Keynesian model

Wohltmann, Hans-Werner; Winkler, Roland C. - 2009

This paper compares the welfare effects of anticipated and unanticipated cost-push shocks within the canonical New Keynesian model with optimal monetary policy. We find that, for empirically plausible degrees of nominal rigidity, the anticipation of a future cost-push shock leads to a higher...

Persistent link: https://www.econbiz.de/10010277242

Rational expectations models with anticipated shocks and optimal policy: a general solution method and a New Keynesian example

Wohltmann, Hans-Werner; Winkler, Roland C. - 2009

The purpose of this paper is to show how to solve linear dynamic rational expectations models with anticipated shocks by using the generalized Schur decomposition method. Furthermore, we determine the optimal unrestricted and restricted policy responses to anticipated shocks. We demonstrate our...

Persistent link: https://www.econbiz.de/10010277244

Fiscal calculus in a New Keynesian model with matching frictions

Campolmi, Alessia; Faia, Ester; Winkler, Roland C. - 2010

The endorsement of expansionary fiscal packages has often been based on the idea that large multipliers can contrast rising unemployment. Is that really the case? We explore those issues in a New Keynesian model in which unemployment arises because of matching frictions. We compare fiscal...

Persistent link: https://www.econbiz.de/10010277245

Vertical integration and dis-integration of computer firms: a history friendly model of the co-evolution of the computer and semiconductor industries

Malerba, Franco; Nelson, Richard; Orsenigo, Luigi; … - 2006

In this paper we present a history-friendly model of the changing vertical scope of computer firms during the evolution of the computer and semiconductor industries. The model is history friendly, in that it attempts at replicating some basic, stylized qualitative features of the evolution of...

Persistent link: https://www.econbiz.de/10010277248

Producer protection legislation and termination damages in the presence of contracting frictions

Wu, Steven Y. - 2009

This study models producer protection legislation that would grant growers the right to claim damages (PPLD) if their contracts are prematurely terminated. In the absence of contracting frictions that prevent contractors from redesigning contracts to accommodate exogenous policy changes, PPLD...

Persistent link: https://www.econbiz.de/10010277255

The intertemporal relation between expected return and risk on currency

Bali, Turan G.; Yilmaz, Kamil - 2009

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets … risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by … using high-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter …

Persistent link: https://www.econbiz.de/10010277261

Exit strategies

Angeloni, Ignazio; Faia, Ester; Winkler, Roland C. - 2011

We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using the model of Angeloni and Faia (2010), that combines a standard DSGE framework with a fragile banking sector, suitably modified and calibrated for the euro area. Credibly announced and fast fiscal...

Persistent link: https://www.econbiz.de/10010277270