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Along the New Keynesian Phillips curve with nominal and real rigidities

Nason, James M.; Slotsve, George A. - 2004

The new Keynesian Phillips curve (NKPC) has become central to monetary theory and policy. A seemingly benign NKPC …

Persistent link: https://www.econbiz.de/10010397623

Jeske, Karsten; Kitao, Sagiri - 2005

The U.S. tax policy on health insurance favors only those offered a group insurance through their employers. This policy is highly regressive since the subsidy takes the form of deductions from the progressive tax system. The paper investigates alternatives to the current policy. We find that...

Persistent link: https://www.econbiz.de/10010397632

Markov-switching structural vector autoregressions: theory and application

Rubio-Ramírez, Juan Francisco; Waggoner, Daniel; Zha, Tao - 2005

This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We...

Persistent link: https://www.econbiz.de/10010397645

Credit and identity theft

Kahn, Charles M.; Roberds, William - 2005

The quintessential crime of the information age is identity theft, the malicious use of personal identifying data. In this paper we model "identity" and its use in credit transactions. Various types of identity theft occur in equilibrium, including "new account fraud," "existing account fraud,"...

Persistent link: https://www.econbiz.de/10010397651

Housing tenure and wealth distribution in life-cycle economies

Silos, Pedro - 2005

Common practice in the housing and wealth distribution literature has proceeded as if the modeling of housing rental markets was unnecessary due to renters’ relative low levels of wealth and the small fraction they represent in the total population. This paper shows, however, that their...

Persistent link: https://www.econbiz.de/10010397658

Convergence properties of the likelihood of computed dynamic models

Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2004

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

Persistent link: https://www.econbiz.de/10010397660

Human capital and economic development

Tamura, Robert - 2004

theory. …

Persistent link: https://www.econbiz.de/10010397669

Land prices and unemployment

Liu, Zheng; Miao, Jianjun; Zha, Tao - 2013

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...

Persistent link: https://www.econbiz.de/10010397671

Mimicking portfolios, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross … excess returns. This formulation requires only time-series regressions for the estimation of risk premia and alphas. We … statistics. Our results show that when estimating risk premia and testing multi-beta models, the LFM* formulation should be …

Persistent link: https://www.econbiz.de/10010397678

Perturbation methods for Markov-switching DSGE models

Foerster, Andrew; Rubio-Ramírez, Juan; Waggoner, Daniel F. - 2013

any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in …

Persistent link: https://www.econbiz.de/10010397689