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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

This paper considers two alternative formulations of the linear factor model (LFM) with nontraded factors. The first formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross-sectional regression of average returns on betas. The second...

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

Housing, portfolio choice, and the macroeconomcy

Silos, Pedro; Silos, Pedro - 2005

Much of the macroeconomics literature dealing with wealth distribution has become abstracted from modeling housing explicitly. This paper investigates the properties of the wealth distribution and the portfolio composition regarding housing and equity holdings and their relationship to...

Persistent link: https://www.econbiz.de/10010397707

Inference based on SVARs identified with sign and zero restrictions: Theory and applications

Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, … - 2014

of these techniques does not respect the agnosticism of the theory. These algorithms impose additional sign restrictions … agnosticism of the theory. Without the additional restrictions, it is hard to support the claim that either optimism shocks are an …

Persistent link: https://www.econbiz.de/10010397712

Trade, gravity, and sudden stops: On how commercial trade can increase the stability of capital flows

Cavallo, Eduardo A.; Cavallo, Eduardo A. - 2005

Financial stability is an important policy objective since crises are associated with big economic, social, and political costs. Promoting stability requires preventing 'sudden stops' in capital flows, which are events in which foreign financing abruptly disappears. This paper contributes to the...

Persistent link: https://www.econbiz.de/10010397715

A Monte Carlo procedure for checking identification in DSGE models

Le, Vo Phuong Mai; Minford, Patrick; Wickens, Michael - 2013

We propose a numerical method, based on indirect inference, for checking the identification of a DSGE model. Monte Carlo samples are generated from the model's true structural parameters and a VAR approximation to the reduced form estimated for each sample. We then search for a different set of...

Persistent link: https://www.econbiz.de/10010397720

Estimating production functions with robustness against errors in the proxy variables

Huang, Guofang; Hu, Yingyao - 2011

This paper proposes a new semi-nonparametric maximum likelihood estimation method for estimating production functions. The method extends the literature on structural estimation of production functions, started by the seminal work of Olley and Pakes (1996), by relaxing the scalar-unobservable...

Persistent link: https://www.econbiz.de/10010397791

Optimal representative taxation, information and tax reform

Winer, Stanley L.; Hettich, Walter - 1993

This paper moves toward the formulation of a normative theory of taxation that incorporates collective choice as an … essential element. Such a theory has many interesting parallels to optimal taxation, including large information requirements …In diesem Papier wird versucht, eine normative Theorie der Besteuerung auf der Theorie der kollektiven Entscheidung …

Persistent link: https://www.econbiz.de/10010397881

Raising rivals' costs with environmental regulation: An intertemporal lobbying approach

Körber, Achim - 1995

This paper addresses the question why a lot of firms demand stricter environmental regulation. With non-identical producers within the same industry, lobbying for tighter environmental rules turns out to be an important strategy of raising rivals' costs. Furthermore, the paper explains when the...

Persistent link: https://www.econbiz.de/10010397882