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We analyze financial risk premiums and real economic dynamics in a DSGE model with three types of agents - shareholders …, bondholders and workers - that differ in participation in the capital market and in attitude towards risk and intertemporal sub … for the shareholders, which are two important ingredients for generating high and counter- cyclical risk premiums. These …
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A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...
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Policymakers often use the output gap, a noisy signal of economic activity, as a guide for setting monetary policy. Noise in the data argues for policy caution. At the same time, the zero bound on nominal interest rates constrains the central bank's ability to stimulate the economy during...
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