1,721,333 research outputs found
Statistical inference in calibrated models. (In: Special Issue on Calibration Techniques and Econometrics
No full textThis paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual US output is explained by a real business cycle model
Price smoothing policies: a welfare analysis
Full text linkIn post-WWII experience U.S. monetary authorities have attempted to eliminate seasonal fluctuations in prices and nominal interest rates. Developments in financial markets and recently discovered empirical regularities regarding the seasonal cycle seem to make these activities questionable. Using a money-in-the-utility-function model this paper analyzes the welfare properties of price and interest rate smoothing policies and the sense in which the distinction between seasonal and cyclical fluctuations is relevant. It is shown that smoothing policies are welfare improving, but not optimal, and that the origin of the shocks, not the persistence of the fluctuations, is relevant in formulating policies
Changes in seasonal patterns: are they cyclical?
No full textThis paper explores the hypothesis that the seasonal patterns of macroeconomic variables vary with expansions and contractions. Graphical techniques and generalized predictive tests for structural stability are used to identify and test patterns of changing seasonality. A Monte Carlo exercise shows the power of the tests against interesting alternatives. The empirical results suggest that seasonal patterns are unstable and that in many cases changes are linked to the stages of the business cycle. The forecasting costs incurred by treating seasonality as constant are discussed and evaluated
Back to square one: identification issues in DSGE models
No full textWe investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples interact with parameters identification. Diagnostics to detect identification deficiencies are provided and applied to a widely used model
Profits, risk and uncertainty in foreign exchange markets
Full text linkThis paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous processes. The model is simulated by estimating exogenous processes from the data and the remaining free parameters with a simulated method-of-moments technique. Simulated expected profits are variable, heteroskedastic, and serially correlated, but the magnitude of these second moments fall short of those of the predictable component of observed profits on the U.S. dollar. As in the actual data simulated forward rates display biasedness in predicting simulated future spot rates
International seminar on macroeconomics. Stock returns and the business cycle: a structural approach
No full textThis paper analyzes the relationship between stock returns and real activity from the point of view of a general equilibrium, multicountry model of the business cycle. The empirical evidence suggests that there is a relationship between domestic output growth and domestic stock returns which becomes stronger when foreign influences are considered. We study the properties of a model with two sources of disturbances and three mechanisms of transmission across countries. We show that the model can best reproduce the actual data when technology shocks drive the cycle and when there is a common international component to the shocks. The strength of association between stock returns and output growth depends on how future expected cash flows respond to the disturbances. International linkages emerge because foreign variables contain information about the future path of domestic variables
Predicting returns in financial markets
No full textThis paper attempts to reproduce the time series properties of nominal excess returns in a variety of financial markets using a representative agent cash-in-advance model, modified to allow for time variation in the conditional variances of the exogenous processes. The exogenous fundamental processes of the model are estimated from the data and the remaining free parameters are estimated with a simulated method of moments technique. Simulations demonstrate that the model can replicate some of the predictability features of observed excess returns for the period 1978–1991, but that it fails to account for the serial correlation and for the joint properties of one and three months excess returns
Land subsidence along the Ionian coast of SE Sicily (Italy), detection and analysis via Small Baseline Subset (SBAS) multitemporal differential SAR interferometry
No full textThe paper presents the results of a multi-temporal, differential interferometric synthetic aperture radar (DInSAR) analysis aiming to identify active surface deformation phenomena in south-eastern Sicily. The study area has been chosen because of its strong seismicity, high concentration of industrial and agricultural activities, and high density of people living in the coastal area. Furthermore, the morphology, lithology and climatic features of this sector of the Hyblean foreland are suitable for an interferometric analysis, providing a high coherence over the area. The Small BAseline Subset (SBAS) multitemporal DInSAR technique was used to calculate mean ground velocity maps and displacement time series from a large data set of European Remote Sensing Satellites (ERS 1–2) images spanning the time period 1992–2000. The reliability of the DInSAR results was tested calculating the EastSAR and UpSAR values over two permanent global positioning system (GPS) stations in the area, and comparing them with the EastGPS and UpGPS values. The residuals between GPS and DInSAR velocities were 1 and 0.6 mm/yr for the Up and East components, respectively. Four main subsiding areas, previously undetected, have been identified, corresponding with the towns of Augusta, Siracusa, Priolo, and Villasmundo. The observed deformation phenomena are located within coastal structural basins, filled with Pleistocene and Holocence deposits, except the Villasmundo land subsidence, which is located on the Hyblean plateau. The measured deformation rates reach values up to −18 mm/yr in Augusta, –6 mm/yr in Siracusa, –5 mm/yr in Villasmundo and −4.5 mm/yr in Priolo. The examination of velocity profiles, time series, and geological data allows us to relate all the detected deformation patterns primarily to groundwater over-exploitation. A multi-dimensional interpolation with kriging was performed to obtain a field subsidence map. A first-order elastic deformation model was used to simulate the peculiar features of the Villasmundo subsidence. Copyright © 2011 John Wiley & Sons, Ltd
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