Institute for Advanced Studies

Displaying 1-10 of 10 results

  • White Papers // Jun 2011

    Intertemporal Budget Policies And Macroeconomic Adjustment In Indebted Open Economies

    The authors analyze the role of government intertemporal budget policies in a growing open economy including nominal assets in the presence of an upward sloping supply of debt. This introduces transitional dynamics that influence the effects of government policy instruments on the long term fiscal liability. In particular, shifts in...

    Provided By Institute for Advanced Studies

  • White Papers // May 2011

    Life-Cycle Unemployment, Retirement, And Parametric Pension Reform

    This paper investigates the consequences of pension reform for life-cycle unemployment and retirement. The authors find that improving actuarial fairness in pension assessment not only boosts old age participation but also reduces unemployment among prime age workers and raises welfare; strengthening the tax benefit link boosts life-cycle labor supply on...

    Provided By Institute for Advanced Studies

  • White Papers // Oct 2010

    Bureaucracy Norms And Market Size

    This paper proposes a new model of market structure determination. It demonstrates that market structure need not be the result of ideology, political power, collusion among producers or the nature of the technology. In authors' setting, it is determined by bureaucrats who maximize their share of the industry profits. The...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2010

    Risk Shocks And Housing Markets

    This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. The authors include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for...

    Provided By Institute for Advanced Studies

  • White Papers // Mar 2009

    Panel VAR Models With Spatial Dependence

    The author considers a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. The author proposes a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation. In the second step, the estimated disturbances are used in a...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2009

    Consistent Estimation Of Global VAR Models

    In this paper, the author proposes an Instrumental Variable (IV) estimation procedure to estimate Global VAR (GVAR) models and shows that it leads to consistent and asymptotically normal estimates of the parameters. The author also provides computationally simple conditions that guarantee that the GVAR model is stable. Vector AutoRegressions (VAR)...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2009

    Competitiveness And Specialisation Of The Austrian Export Sector: A Constant-Market-Shares Analysis

    This Constant-Market-Shares (CMS) analysis shows the development of competitiveness, market and product structure of the Austrian merchandise exports from 1990 to 2006. The traditional CMS application was transformed to a dynamic model, such that the static indicators have been replaced by time series. This dynamic consideration of the CMS analysis...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Indexed Bonds And Revisions Of Inflation Expectations

    This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and conventional government bonds with a Vector AutoRegressive (VAR) model. Downwards revisions of inflation expectations are associated with unexpected increases in the prices of conventional bonds, but the prices of indexed bonds are not...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Growth And The Ageing Joneses

    The authors incorporate Keeping-Up-with-the-Joneses (KUJ) preferences into the Blanchard-Yaari (BY) framework and develop, using an AK technology, a model of balanced growth. In this paper, they investigate status preference, demographic, and pension policy shocks. They find that a higher degree of KUJ lowers economic growth, while, in contrast, a decrease...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Optimizing Time-series Forecasts For Inflation And Interest Rates Using Simulation And Model Averaging

    Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - the authors consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes Vector AutoRegressions (VAR) in levels and...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2009

    Consistent Estimation Of Global VAR Models

    In this paper, the author proposes an Instrumental Variable (IV) estimation procedure to estimate Global VAR (GVAR) models and shows that it leads to consistent and asymptotically normal estimates of the parameters. The author also provides computationally simple conditions that guarantee that the GVAR model is stable. Vector AutoRegressions (VAR)...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Indexed Bonds And Revisions Of Inflation Expectations

    This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and conventional government bonds with a Vector AutoRegressive (VAR) model. Downwards revisions of inflation expectations are associated with unexpected increases in the prices of conventional bonds, but the prices of indexed bonds are not...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Growth And The Ageing Joneses

    The authors incorporate Keeping-Up-with-the-Joneses (KUJ) preferences into the Blanchard-Yaari (BY) framework and develop, using an AK technology, a model of balanced growth. In this paper, they investigate status preference, demographic, and pension policy shocks. They find that a higher degree of KUJ lowers economic growth, while, in contrast, a decrease...

    Provided By Institute for Advanced Studies

  • White Papers // Jun 2011

    Intertemporal Budget Policies And Macroeconomic Adjustment In Indebted Open Economies

    The authors analyze the role of government intertemporal budget policies in a growing open economy including nominal assets in the presence of an upward sloping supply of debt. This introduces transitional dynamics that influence the effects of government policy instruments on the long term fiscal liability. In particular, shifts in...

    Provided By Institute for Advanced Studies

  • White Papers // May 2011

    Life-Cycle Unemployment, Retirement, And Parametric Pension Reform

    This paper investigates the consequences of pension reform for life-cycle unemployment and retirement. The authors find that improving actuarial fairness in pension assessment not only boosts old age participation but also reduces unemployment among prime age workers and raises welfare; strengthening the tax benefit link boosts life-cycle labor supply on...

    Provided By Institute for Advanced Studies

  • White Papers // Oct 2010

    Bureaucracy Norms And Market Size

    This paper proposes a new model of market structure determination. It demonstrates that market structure need not be the result of ideology, political power, collusion among producers or the nature of the technology. In authors' setting, it is determined by bureaucrats who maximize their share of the industry profits. The...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2010

    Risk Shocks And Housing Markets

    This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. The authors include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for...

    Provided By Institute for Advanced Studies

  • White Papers // Mar 2009

    Panel VAR Models With Spatial Dependence

    The author considers a panel vector-autoregressive model with cross-sectional dependence of the disturbances characterized by a spatial autoregressive process. The author proposes a three-step estimation procedure. Its first step is an instrumental variable estimation that ignores the spatial correlation. In the second step, the estimated disturbances are used in a...

    Provided By Institute for Advanced Studies

  • White Papers // Feb 2009

    Competitiveness And Specialisation Of The Austrian Export Sector: A Constant-Market-Shares Analysis

    This Constant-Market-Shares (CMS) analysis shows the development of competitiveness, market and product structure of the Austrian merchandise exports from 1990 to 2006. The traditional CMS application was transformed to a dynamic model, such that the static indicators have been replaced by time series. This dynamic consideration of the CMS analysis...

    Provided By Institute for Advanced Studies

  • White Papers // Nov 2008

    Optimizing Time-series Forecasts For Inflation And Interest Rates Using Simulation And Model Averaging

    Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - the authors consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes Vector AutoRegressions (VAR) in levels and...

    Provided By Institute for Advanced Studies