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modeling
(565 results)-
White Papers
Control Of The False Discovery Rate Under Dependence Using The Bootstrap And Subsampling
Dec 2008
This paper considers the problem of testing s null hypotheses simultaneously while controlling the False Discovery rate (FDR). Benjamini and Hochberg (1995) provide a method for controlling the...
Provided by University of Zurich
-
White Papers
Harmonic Regression Models: A Comparative Review With Applications
Sep 2007
Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper the five major...
Provided by University of Zurich
-
White Papers
The ECBs New Multi-country Model For The Euro Area: NMCM - Simulated With Rational Expectations
Apr 2011
The model presented here is a New estimated medium-scale Multi-Country Model (NMCM) which covers the five largest euro area countries and is used for forecasting and scenarios analysis at the...
Provided by European Central Bank
-
White Papers
Bayesian Prior Elicitation In DSGE Models: Macro- Vs Micro-Priors
Jan 2011
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either be information concerning deep parameters' values...
Provided by European Central Bank
-
White Papers
Exploring Innovation Networks: Two Simulations, Two Perspectives And The Mechanisms That Drive Innovation Performance
Aug 2008
Business networks are complex systems, made up of interdependent organisations whose managers are each trying to accomplish their own goals whilst simultaneously responding to the actions of...
Provided by University of Western Australia
-
White Papers
On Variable Discounting In Dynamic Programming: Applications To Resource Extraction And Other Economic Models
May 2011
The discounted utility with a constant discount rate was introduced by Samuelson (1937). Twenty years later Koopmans (1960) characterized axiomatically a class of recursive utilities, which also...
Provided by Munich Personal Repec Archive
-
White Papers
Firm-Heterogeneity, Persistent And Transient Technical Inefficiency
May 2011
This paper provides a new model that disentangles firm effects from persistent (time-invariant/ long-term) and transient (time-varying/short-term) technical inefficiency. In recent years there...
Provided by Munich Personal Repec Archive
-
White Papers
Interest Rate Effects Of Demographic Changes In A New-Keynesian Life-Cycle Framework
Dec 2010
This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. The authors extend the tractable, though non-monetary overlapping-generations...
Provided by European Central Bank
-
White Papers
On Approximating DSGE Models By Series Expansions
Nov 2010
The authors show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature they propose a method consisting of series...
Provided by European Central Bank
-
White Papers
Supply, Demand And Monetary Policy Shocks In A Multi-Country New Keynesian Model
Sep 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve...
Provided by European Central Bank
-
White Papers
Is The New Keynesian Is Curve Structural?
Aug 2010
There is already a small literature emphasising the empirical failure of the New Keynesian IS curve, but it is not yet known if this failure reflects empirical problems associated with small...
Provided by European Central Bank
-
White Papers
A Note On Identification Patterns In DSGE Models
Aug 2010
This paper comments on selected aspects of identification issues of DSGE models. It suggests the Singular Value Decomposition (SVD) as a useful tool for detecting local weak and...
Provided by European Central Bank
-
White Papers
Maximum Likelihood Estimation Of Factor Models On Data Sets With Arbitrary Pattern Of Missing Data
May 2010
In this paper the authors propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. They modify the Expectation Maximisation (EM) algorithm...
Provided by European Central Bank
-
White Papers
Beyond Identities: Support For Decentralisation Across Regions In Spain
Apr 2011
After thirty years of the Spanish territorial model being implemented, an important number of citizens in different regions are supporting higher levels of self-government. This paper analyses the...
Provided by Munich Personal Repec Archive
-
White Papers
GDP Modelling With Factor Model: An Impact Of Nested Data On Forecasting Accuracy
Apr 2011
Uncertainty associated with an optimal number of macroeconomic variables to be used in factor model is challenging since there is no criteria which states what kind of data should be used, how...
Provided by Munich Personal Repec Archive
-
White Papers
Input-Output In Europe: Trends In Research And Application
Apr 2011
Input-output analysis is definitely one of the main social technologies of the 20th century; it could belong to the mythologies of the last century - in the features of Roland Barthes'...
Provided by Munich Personal Repec Archive
-
White Papers
Matching Models Of Equilibrium Unemployment: An Overview
Apr 2011
This paper aims to provide an overview of the labour market's benchmark macroeconomic models. The matching models of equilibrium unemployment are, in fact, the primary and most popular theoretical...
Provided by Munich Personal Repec Archive
-
White Papers
Bifurcation Analysis Of Zellner's Marshallain Macroeconomic Model
Apr 2011
The Marshallian Macroeconomic Model in Zellner and Israilevich (2005) provides a novel way to examine sectoral dynamics through the introduction of a dynamic entry/exit equation in addition to the...
Provided by Munich Personal Repec Archive
-
White Papers
Forecasting Performance Of Alternative Error Correction Models
Mar 2011
It is well established that regression analysis on non-stationary time series data may yield spurious results. An earlier response to this problem was to run regression with first difference of...
Provided by Munich Personal Repec Archive
-
White Papers
On Identification Of Bayesian DSGE Models
Apr 2011
In recent years there has been increasing concern about the identification of parameters in Dynamic Stochastic General Equilibrium (DSGE) models. Given the structure of DSGE models it may be...
Provided by University of Cambridge
-
White Papers
Principal Components Instrumental Variable Estimation
Jan 2011
Instrumental variable estimators can be severely biased in finite samples when the degree of over-identification is high or when the instruments are weakly correlated with the endogenous...
Provided by University of Cambridge
-
White Papers
(Un)Naturally Low? Sequential Monte Carlo Tracking Of The US Natural Interest Rate
Aug 2007
Following the 2000 stock market crash, have US interest rates been held "Too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts...
Provided by European Central Bank
-
White Papers
The New Area-Wide Model Of The Euro Area: A Micro-Founded Open-Economy Model For Forecasting And Policy Analysis
Oct 2008
In this paper, the authors outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by...
Provided by European Central Bank
-
White Papers
DSGE-Modelling: When Agents Are Imperfectly Informed
May 2008
DSGE-models have become important tools of analysis not only in academia but increasingly in the board rooms of central banks. The success of these models has much to do with the coherence of the...
Provided by European Central Bank
-
White Papers
On The Empirical Evidence Of The Intertemporal Current Account Model For The Euro Area Countries
May 2008
In this paper, the authors present a novel approach to the empirical validation of the intertemporal approach to the current account. They develop a calibrated model highlighting the role of...
Provided by European Central Bank
-
White Papers
VAR Analysis And The Great Moderation
Feb 2008
Most analyses of the U.S. Great Moderation has been based on structural VAR methods, and has consistently pointed towards good luck as the main explanation for the greater macroeconomic stability...
Provided by European Central Bank
-
White Papers
Statistical Tests And Estimators Of The Rank Of A Matrix And Their Applications In Econometric Modelling
Jan 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modeling scenarios. This paper describes general methods to test for and estimate the...
Provided by European Central Bank
-
White Papers
A General Computation Scheme For A High-order Asymptotic Expansion Method
Feb 2011
This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. An asymptotic expansion method in finance initiated by Kunitomo and Takahashi, Yoshida and...
Provided by University of Tokyo
-
White Papers
Generalized Extreme Value Distribution With Time-dependence Using The AR And MA Models In State Space Form
Jan 2011
A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a...
Provided by University of Tokyo
-
White Papers
Company Strategies And Sport Models
Oct 2010
The comparison in this paper between companies in Japan and Sweden shows that although there are obvious historical and cultures differences between the countries different routes towards becoming...
Provided by University of Tokyo
-
White Papers
Hysteresis In Dynamic General Equilibrium Models With Cash-in-advance Constraints
Oct 2010
In this paper, the authors investigate equilibrium cycles in dynamic general equilibrium models with cash-in-advance constraints. Their findings are two-fold. First, in such models, if an...
Provided by University of Tokyo
-
White Papers
Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach
Oct 2010
Block rate pricing is often applied to income taxation, telecommunication services, and brand marketing in addition to its best-known application in public utility services. Under block rate...
Provided by University of Tokyo
-
White Papers
On Properties Of Separating Information Maximum Likelihood Estimation Of Realized Volatility And Covariance With Micro-market Noise
Aug 2010
For estimating the realized volatility and covariance by using high frequency data, the authors have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly...
Provided by University of Tokyo
-
White Papers
Bayesian Estimation And Particle Filter For Max-stable Processes
Aug 2010
Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as Maxima of Moving Maxima (M3) processes...
Provided by University of Tokyo
-
White Papers
Non-minimaxity Of Linear Combinations Of Restricted Location Estimators And Related Problems
Jul 2010
The estimation of a linear combination of several restricted location parameters is addressed from a decision-theoretic point of view. The corresponding linear combination of the best location...
Provided by University of Tokyo
-
White Papers
Efficient Bayesian Estimation Of A Multivariate Stochastic Volatility Model With Cross Leverage And Heavy-tailed Errors
May 2010
An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic...
Provided by University of Tokyo
-
White Papers
Ranking Multivariate GARCH Models By Problem Dimension
May 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding...
Provided by University of Tokyo
-
White Papers
Exchange Rate And Industrial Commodity Volatility Transmissions, Asymmetries And Hedging Strategies
May 2010
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil-in symmetric and asymmetric...
Provided by University of Tokyo
-
White Papers
Thresholds, News Impact Surfaces And Dynamic Asymmetric Multivariate GARCH
May 2010
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances....
Provided by University of Tokyo
-
White Papers
A Hybrid Asymptotic Expansion Scheme: An Application To Long-term Currency Options
Apr 2010
This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, the...
Provided by University of Tokyo
-
White Papers
E-stability And Stability Of Adaptive Learning In Models With Asymmetric Information
Dec 2007
The paper demonstrates how the E - stability principle introduced by Evans and Honkapohja [2001] can be applied to models with heterogeneous and private information in order to assess the...
Provided by Leuphana Universität Lüneburg
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White Papers
About The Justification Of Experience Rating: Bonus Malus System And A New Poisson Mixture Model
Sep 2010
The claim experience of the past is very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance...
Provided by Cornell University
-
White Papers
A Three Dimensional Stochastic Model For Claim Reserving
Sep 2010
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a...
Provided by Cornell University
-
White Papers
Semi-Closed Form Cubature And Applications To Financial Diffusion Models
Sep 2010
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka and Lyons - Victoir, involve the solution to numerous auxiliary ordinary differential equations. With focus on the...
Provided by Cornell University
-
White Papers
Adaptive Expectations, Confirmatory Bias, And Informational Efficiency
Sep 2010
The authors study the informational efficiency of a market with a single traded asset. The price initially differs from the fundamental value, about which the agents have noisy private information...
Provided by University of Namur
-
White Papers
On Dependence Of The Implied Volatility On Returns For Stochastic Volatility Models
Mar 2011
The authors study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, they consider the conditional...
Provided by Cornell University
-
White Papers
Density Quantization Method In The Optimal Portfolio Choice With Partial Observation Of Stochastic Volatility
Sep 2010
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering -...
Provided by Cornell University
-
White Papers
How Sensitive Are Equilibrium Pricing Models To Real-World Distortions?
Sep 2010
In both finance and economics, quantitative models are usually studied as isolated mathematical objects - most often defined by very strong simplifying assumptions concerning rationality,...
Provided by Cornell University
-
White Papers
Equilibrium Distributions And Relaxation Times In Gas-Like Economic Models: An Analytical Derivation
Nov 2010
A step by step procedure to derive analytically the exact dynamical evolution equations of the Probability Density Functions (PDF) of well known kinetic wealth exchange economic models is shown....
Provided by Universidad de Zaragoza
-
White Papers
On Calibrating Stochastic Volatility Models With Time-Dependent Parameters
Oct 2010
The authors consider stochastic volatility models using piecewise constant parameters. They suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some...
Provided by Cornell University
-
White Papers
Sequential Monte Carlo Pricing Of American-Style Options Under Stochastic Volatility Models
Oct 2010
The authors introduce a new method to price American-style options on underlying investments governed by Stochastic Volatility (SV) models. The method does not require the volatility process to be...
Provided by Carnegie Mellon University
-
White Papers
Socio-Economic Utility And Chemical Potential
Feb 2011
In statistical physics, the conservation of particle number results in the equalization of the chemical potential throughout a system at equilibrium. In contrast, the homogeneity of utility in...
Provided by Universite de Lyon
-
White Papers
Replicating Financial Market Dynamics With A Simple Self-Organized Critical Lattice Model
Oct 2010
The authors explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of...
Provided by Florida International University
-
White Papers
On Optimal Arbitrage
Oct 2010
In a Markovian model for a financial market, the authors characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in...
Provided by Institute of Mathematical Statistics
-
White Papers
The Beveridge Curve
Jun 2007
The Beveridge curve depicts a negative relationship between unemployed workers and job vacancies, a robust finding across countries. The position of the economy on the curve gives an idea as to...
Provided by Centre for Economic Performance
-
White Papers
The Shimer Puzzle And The Correct Identification Of Productivity Shocks
Aug 2007
Shimer (2005a) claims that the Mortensen-Pissarides search model of unemployment lacks an amplification mechanism because it cannot generate the observed business cycle fluctuations in...
Provided by Centre for Economic Performance
-
White Papers
The Unemployment Volatility Puzzle: Is Wage Stickiness The Answer?
Nov 2007
The author studies the cyclical behavior of an equilibrium search model with endogenous job creation and destruction, with focus on the model's failure to match the observed cyclical volatility of...
Provided by Centre for Economic Performance
-
White Papers
Optimal External Debt And Default
Feb 2008
This paper analyses whether sovereign default episodes can be seen as contingencies of optimal international lending contracts. The model considers a small open economy with capital accumulation...
Provided by Centre for Economic Performance
-
White Papers
Effort And Comparison Income: Experimental And Survey Evidence
Aug 2008
This paper considers the effect of status or relative income on work effort, combining experimental evidence from a gift-exchange game with the analysis of multi-country ISSP survey data. The...
Provided by Centre for Economic Performance
-
White Papers
On The Existence Of The Maximum Likelihood Estimates For Poisson Regression
May 2009
The authors note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the...
Provided by Centre for Economic Performance
-
White Papers
Further Simulation Evidence On The Performance Of The Poisson Pseudo-maximum Likelihood Estimator
May 2009
The authors extend the simulation results given in Santos-Silva and Tenreyro (2006, 'The Log of Gravity', The Review of Economics and Statistics, 88, pp.641-658) by considering data generated as a...
Provided by Centre for Economic Performance
-
White Papers
Trading Partners And Trading Volumes: Implementing The Helpman-Melitz-Rubinstein Model Empirically
Jun 2009
Helpman, Melitz, and Rubinstein (2008) - HMR - present a rich theoretical model to study the determinants of bilateral trade flows across countries. The model is then empirically implemented...
Provided by Centre for Economic Performance
-
White Papers
How To Measure Living Standards And Productivity
Aug 2010
This paper sets out a general algorithm for calculating true cost-of-living indices or true producer price indices when demand is not homothetic, i.e. when not all expenditure elasticities are...
Provided by Centre for Economic Performance
-
White Papers
To Be Or Not To Be At The BOP: A One-North-Many-Souths Model With Subsistence And Luxury Goods
Aug 2008
In this paper, the authors seek to explain the causes and consequences of Northern penetration in Southern subsistence markets in order to reach the countless masses at the Bottom of the (Income)...
Provided by United Nations University
-
White Papers
Fits And Misfits: Technological Matching And R&D Networks
Oct 2009
This paper presents an economic model of R&D network formation through the creation of strategic alliances. Firms are randomly endowed with knowledge elements. They base their alliance decisions...
Provided by United Nations University
-
White Papers
Convergence Of European Regions: A Reappraisal
Mar 2010
The authors provide a reappraisal of income convergence across European regions over the period 1990-2005 by using a semiparametric partially linear model to approximate the relationship between...
Provided by United Nations University
-
White Papers
Ordering Of Multivariate Probability Distributions With Respect To Extreme Portfolio Losses
Oct 2010
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation...
Provided by Cornell University
-
White Papers
Time-Changed Fast Mean-Reverting Stochastic Volatility Models
Oct 2010
The authors introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, they derive an...
Provided by Cornell University
-
White Papers
Parsimonious HJM Modelling For Multiple Yield-curve Dynamics
Nov 2010
For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led...
Provided by Cornell University
-
White Papers
Financial Correlations At Ultra-High Frequency: Theoretical Models And Empirical Estimation
Feb 2011
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. The authors focus in particular on the dependence of correlations on time...
Provided by Cornell University
-
White Papers
Censored Gamma Regression Models For Limited Dependent Variables With An Application To Loss Given Default
Nov 2010
Regression models for limited continuous dependent variables having a non-negligible probability of attaining exactly their limits are presented. The models differ in the number of parameters and...
Provided by ETH Zurich
-
White Papers
A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
Nov 2010
The authors construct normed spaces of real-valued functions with controlled growth on possibly infinite-dimensional state spaces such that semigroups of positive, bounded operators (Pt)t¡Ý0...
Provided by Cornell University
-
White Papers
Reduced Form Models Of Bond Portfolios
Nov 2010
The authors derive simple return models for several classes of bond portfolios. With only one or two risk factors the models are able to explain most of the return variations in portfolios of...
Provided by Cornell University
-
White Papers
A Simple Discretization Scheme For Nonnegative Diffusion Processes, With Applications To Option Pricing
Nov 2010
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework....
Provided by Universite du Quebec a Montreal
-
White Papers
Ising-Like Agent-Based Technology Diffusion Model: Adoption Patterns Vs. Seeding Strategies
Nov 2010
The well-known Ising model used in statistical physics was adapted to a social dynamics context to simulate the adoption of a technological innovation. The model explicitly combines an...
Provided by Universidad Católica Argentina
-
White Papers
Calibration Of One- And Two-Factor Models For Valuation Of Energy Multi-Asset Derivative Contracts
Nov 2010
The authors study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil...
Provided by Cornell University
-
White Papers
Inferring Fundamental Value And Crash Nonlinearity From Bubble Calibration
Nov 2010
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the...
Provided by ETH Zurich
-
White Papers
Pricing And Hedging In Affine Models With Possibility Of Default
Dec 2010
The authors propose a general class of models for the simultaneous treatment of equity, corporate bonds, government bonds and derivatives. The noise is generated by a general affine Markov...
Provided by Princeton University
-
White Papers
Controlled Options: Derivatives With Added Flexibility
Dec 2010
The paper introduces a modification of the passport options such that the holder selects dynamically a weight function that controls the distribution of the payments (benefits) for option holder...
Provided by Curtin University of Technology
-
White Papers
Heat Kernel Interest Rate Models With Time-inhomogeneous Markov Processes
Dec 2010
The authors consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov...
Provided by Ritsumeikan University
-
White Papers
Harmonic Regression Models: A Comparative Review With Applications
Sep 2007
Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper the five major...
Provided by University of Zurich
-
White Papers
The ECBs New Multi-country Model For The Euro Area: NMCM - Simulated With Rational Expectations
Apr 2011
The model presented here is a New estimated medium-scale Multi-Country Model (NMCM) which covers the five largest euro area countries and is used for forecasting and scenarios analysis at the...
Provided by European Central Bank
-
White Papers
Bayesian Prior Elicitation In DSGE Models: Macro- Vs Micro-Priors
Jan 2011
Bayesian approaches to the estimation of DSGE models are becoming increasingly popular. Prior knowledge is normally formalized either be information concerning deep parameters' values...
Provided by European Central Bank
-
White Papers
Exploring Innovation Networks: Two Simulations, Two Perspectives And The Mechanisms That Drive Innovation Performance
Aug 2008
Business networks are complex systems, made up of interdependent organisations whose managers are each trying to accomplish their own goals whilst simultaneously responding to the actions of...
Provided by University of Western Australia
-
White Papers
On Variable Discounting In Dynamic Programming: Applications To Resource Extraction And Other Economic Models
May 2011
The discounted utility with a constant discount rate was introduced by Samuelson (1937). Twenty years later Koopmans (1960) characterized axiomatically a class of recursive utilities, which also...
Provided by Munich Personal Repec Archive
-
White Papers
Firm-Heterogeneity, Persistent And Transient Technical Inefficiency
May 2011
This paper provides a new model that disentangles firm effects from persistent (time-invariant/ long-term) and transient (time-varying/short-term) technical inefficiency. In recent years there...
Provided by Munich Personal Repec Archive
-
White Papers
Interest Rate Effects Of Demographic Changes In A New-Keynesian Life-Cycle Framework
Dec 2010
This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. The authors extend the tractable, though non-monetary overlapping-generations...
Provided by European Central Bank
-
White Papers
On Approximating DSGE Models By Series Expansions
Nov 2010
The authors show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature they propose a method consisting of series...
Provided by European Central Bank
-
White Papers
Supply, Demand And Monetary Policy Shocks In A Multi-Country New Keynesian Model
Sep 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve...
Provided by European Central Bank
-
White Papers
Is The New Keynesian Is Curve Structural?
Aug 2010
There is already a small literature emphasising the empirical failure of the New Keynesian IS curve, but it is not yet known if this failure reflects empirical problems associated with small...
Provided by European Central Bank
-
White Papers
A Note On Identification Patterns In DSGE Models
Aug 2010
This paper comments on selected aspects of identification issues of DSGE models. It suggests the Singular Value Decomposition (SVD) as a useful tool for detecting local weak and...
Provided by European Central Bank
-
White Papers
Maximum Likelihood Estimation Of Factor Models On Data Sets With Arbitrary Pattern Of Missing Data
May 2010
In this paper the authors propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. They modify the Expectation Maximisation (EM) algorithm...
Provided by European Central Bank
-
White Papers
Beyond Identities: Support For Decentralisation Across Regions In Spain
Apr 2011
After thirty years of the Spanish territorial model being implemented, an important number of citizens in different regions are supporting higher levels of self-government. This paper analyses the...
Provided by Munich Personal Repec Archive
-
White Papers
GDP Modelling With Factor Model: An Impact Of Nested Data On Forecasting Accuracy
Apr 2011
Uncertainty associated with an optimal number of macroeconomic variables to be used in factor model is challenging since there is no criteria which states what kind of data should be used, how...
Provided by Munich Personal Repec Archive
-
White Papers
Input-Output In Europe: Trends In Research And Application
Apr 2011
Input-output analysis is definitely one of the main social technologies of the 20th century; it could belong to the mythologies of the last century - in the features of Roland Barthes'...
Provided by Munich Personal Repec Archive
-
White Papers
Matching Models Of Equilibrium Unemployment: An Overview
Apr 2011
This paper aims to provide an overview of the labour market's benchmark macroeconomic models. The matching models of equilibrium unemployment are, in fact, the primary and most popular theoretical...
Provided by Munich Personal Repec Archive
-
White Papers
Bifurcation Analysis Of Zellner's Marshallain Macroeconomic Model
Apr 2011
The Marshallian Macroeconomic Model in Zellner and Israilevich (2005) provides a novel way to examine sectoral dynamics through the introduction of a dynamic entry/exit equation in addition to the...
Provided by Munich Personal Repec Archive
-
White Papers
Forecasting Performance Of Alternative Error Correction Models
Mar 2011
It is well established that regression analysis on non-stationary time series data may yield spurious results. An earlier response to this problem was to run regression with first difference of...
Provided by Munich Personal Repec Archive
-
White Papers
On Identification Of Bayesian DSGE Models
Apr 2011
In recent years there has been increasing concern about the identification of parameters in Dynamic Stochastic General Equilibrium (DSGE) models. Given the structure of DSGE models it may be...
Provided by University of Cambridge
-
White Papers
Principal Components Instrumental Variable Estimation
Jan 2011
Instrumental variable estimators can be severely biased in finite samples when the degree of over-identification is high or when the instruments are weakly correlated with the endogenous...
Provided by University of Cambridge
-
White Papers
(Un)Naturally Low? Sequential Monte Carlo Tracking Of The US Natural Interest Rate
Aug 2007
Following the 2000 stock market crash, have US interest rates been held "Too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts...
Provided by European Central Bank
-
White Papers
The New Area-Wide Model Of The Euro Area: A Micro-Founded Open-Economy Model For Forecasting And Policy Analysis
Oct 2008
In this paper, the authors outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by...
Provided by European Central Bank
-
White Papers
DSGE-Modelling: When Agents Are Imperfectly Informed
May 2008
DSGE-models have become important tools of analysis not only in academia but increasingly in the board rooms of central banks. The success of these models has much to do with the coherence of the...
Provided by European Central Bank
-
White Papers
On The Empirical Evidence Of The Intertemporal Current Account Model For The Euro Area Countries
May 2008
In this paper, the authors present a novel approach to the empirical validation of the intertemporal approach to the current account. They develop a calibrated model highlighting the role of...
Provided by European Central Bank
-
White Papers
VAR Analysis And The Great Moderation
Feb 2008
Most analyses of the U.S. Great Moderation has been based on structural VAR methods, and has consistently pointed towards good luck as the main explanation for the greater macroeconomic stability...
Provided by European Central Bank
-
White Papers
Statistical Tests And Estimators Of The Rank Of A Matrix And Their Applications In Econometric Modelling
Jan 2008
Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modeling scenarios. This paper describes general methods to test for and estimate the...
Provided by European Central Bank
-
White Papers
A General Computation Scheme For A High-order Asymptotic Expansion Method
Feb 2011
This paper presents a new computational scheme for an asymptotic expansion method of an arbitrary order. An asymptotic expansion method in finance initiated by Kunitomo and Takahashi, Yoshida and...
Provided by University of Tokyo
-
White Papers
Generalized Extreme Value Distribution With Time-dependence Using The AR And MA Models In State Space Form
Jan 2011
A new state space approach is proposed to model the time-dependence in an extreme value process. The generalized extreme value distribution is extended to incorporate the time-dependence using a...
Provided by University of Tokyo
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White Papers
Company Strategies And Sport Models
Oct 2010
The comparison in this paper between companies in Japan and Sweden shows that although there are obvious historical and cultures differences between the countries different routes towards becoming...
Provided by University of Tokyo
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White Papers
Hysteresis In Dynamic General Equilibrium Models With Cash-in-advance Constraints
Oct 2010
In this paper, the authors investigate equilibrium cycles in dynamic general equilibrium models with cash-in-advance constraints. Their findings are two-fold. First, in such models, if an...
Provided by University of Tokyo
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White Papers
Panel Data Analysis Of Japanese Residential Water Demand Using A Discrete/Continuous Choice Approach
Oct 2010
Block rate pricing is often applied to income taxation, telecommunication services, and brand marketing in addition to its best-known application in public utility services. Under block rate...
Provided by University of Tokyo
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White Papers
On Properties Of Separating Information Maximum Likelihood Estimation Of Realized Volatility And Covariance With Micro-market Noise
Aug 2010
For estimating the realized volatility and covariance by using high frequency data, the authors have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly...
Provided by University of Tokyo
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White Papers
Bayesian Estimation And Particle Filter For Max-stable Processes
Aug 2010
Extreme values are often correlated over time, for example, in a financial time series, and these values carry various risks. Max-stable processes such as Maxima of Moving Maxima (M3) processes...
Provided by University of Tokyo
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White Papers
Non-minimaxity Of Linear Combinations Of Restricted Location Estimators And Related Problems
Jul 2010
The estimation of a linear combination of several restricted location parameters is addressed from a decision-theoretic point of view. The corresponding linear combination of the best location...
Provided by University of Tokyo
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White Papers
Efficient Bayesian Estimation Of A Multivariate Stochastic Volatility Model With Cross Leverage And Heavy-tailed Errors
May 2010
An efficient Bayesian estimation using a Markov chain Monte Carlo method is proposed in the case of a multivariate stochastic volatility model as a natural extension of the univariate stochastic...
Provided by University of Tokyo
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White Papers
Ranking Multivariate GARCH Models By Problem Dimension
May 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely known and used are the Scalar BEKK model of Engle and Kroner (1995) and Ding...
Provided by University of Tokyo
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White Papers
Exchange Rate And Industrial Commodity Volatility Transmissions, Asymmetries And Hedging Strategies
May 2010
This paper examines the inclusion of the dollar/euro exchange rate together with four important and highly traded commodities - aluminum, copper, gold and oil-in symmetric and asymmetric...
Provided by University of Tokyo
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White Papers
Thresholds, News Impact Surfaces And Dynamic Asymmetric Multivariate GARCH
May 2010
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances....
Provided by University of Tokyo
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White Papers
A Hybrid Asymptotic Expansion Scheme: An Application To Long-term Currency Options
Apr 2010
This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for valuation of multi-factor European path-independent derivatives. Specifically, the...
Provided by University of Tokyo
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White Papers
Robustness Of The Separating Information Maximum Likelihood Estimation Of Realized Volatility With Micro-market Noise
Apr 2010
For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there...
Provided by University of Tokyo
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