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Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567

Sectoral uncertainty

Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...

Persistent link: https://www.econbiz.de/10013419275

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767006

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720703

Stochastic Volatility of Volatility and Variance Risk Premia

Barndorff-Nielsen, Ole E. - 2011

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility … (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of … of the variance risk premium (VRP). Moreover, provided the physical and the risk -- neutral probability measures are …

Persistent link: https://www.econbiz.de/10013117444

Estimation of DSGE models : maximum likelihood vs. Bayesian methods

Mickelsson, Glenn - 2015

DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter...

Persistent link: https://www.econbiz.de/10011407664

A small open economy as a limit case of a two-country new Keynesian DSGE model : a Bayesian estimation with Brazilian data

Silveira, Marcos Antonio Coutinho da - 2015

We build a two-country version of the DSGE model in Gali & Monacelli (2005), which extends for a small open economy the new Keynesain model used as tool for monetary policy analysis in closed economies. A distinctive feature of the model is that the terms of trade enters directly into the new...

Persistent link: https://www.econbiz.de/10012053264

Online estimation of DSGE models

Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019

generalized tempering for "online" estimation, and provide examples of multimodal posteriors that are well captured by SMC methods …. We then use the online estimation of the DSGE model to compute pseudo-out-of-sample density forecasts of DSGE models with …

Persistent link: https://www.econbiz.de/10012038824

How the baby boomers' retirement wave distorts model-based output gap estimates

Wolters, Maik H. - 2018

The paper illustrates based on an example the importance of consistency between the empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, the authors proposes adjusting...

Persistent link: https://www.econbiz.de/10011816344

Multiple filtering devices for the estimation of cyclical DSGE model

Canova, Fabio; Ferroni, Filippo - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 73-98

We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...

Persistent link: https://www.econbiz.de/10011755937