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A Nonlinear Look At Trend Mfp Growth And The Business Cycle
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Book Synopsis A Nonlinear Look at Trend MFP Growth and the Business Cycle by : Mark W. French
Download or read book A Nonlinear Look at Trend MFP Growth and the Business Cycle written by Mark W. French and published by . This book was released on 2005 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The cycle in output and hours worked is not symmetric: it behaves differently around recessions than in expansions. Similarly, the trend in multifactor productivity (MFP) seems to pass through different regimes; there was an extended period of slow MFP growth from about 1973 through 1995, and faster growth thereafter. Typical linear models and linear filters such as the Kalman filter deal poorly with asymmetry and regime changes. This paper attempts to determine more accurately and quickly any shifts in trend MFP growth, using a nonlinear Kalman/Markov filter with a model of the unobserved components of output and hours. This hybrid model incorporates regime-switching in the business cycle and in the trend growth of MFP. Estimation results are promising. The hybrid model and associated filter appear to be faster than the basic Kalman filter in detecting turning points in the smoothed conditional mean estimate of trend MFP growth; in addition, the hybrid model avoids some of the Kalman filter's biases in reconstructing historical business cycles and the MFP trend"--Abstract.
Book Synopsis Robustifying Learnability by : Robert Tetlow
Download or read book Robustifying Learnability written by Robert Tetlow and published by . This book was released on 2006 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effects of Past Entry, Market Consolidation, and Expansion by Incumbents on the Probability of Entry by : Robert M. Adams
Download or read book The Effects of Past Entry, Market Consolidation, and Expansion by Incumbents on the Probability of Entry written by Robert M. Adams and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Likelihood Ratio Tests on Cointegrating Vectors, Disequilibrium Adjustment Vectors, and Their Orthogonal Complements by : Norman Morin
Download or read book Likelihood Ratio Tests on Cointegrating Vectors, Disequilibrium Adjustment Vectors, and Their Orthogonal Complements written by Norman Morin and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implied Interest Rate Skew, Term Premiums, and the "conundrum" by : J. Benson Durham
Download or read book Implied Interest Rate Skew, Term Premiums, and the "conundrum" written by J. Benson Durham and published by . This book was released on 2007 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Realized Jumps on Financial Markets and Predicting Credit Spreads by : George Eugene Tauchen
Download or read book Realized Jumps on Financial Markets and Predicting Credit Spreads written by George Eugene Tauchen and published by . This book was released on 2006 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.
Book Synopsis Why are Plant Deaths Countercyclical by : Andrew Figura
Download or read book Why are Plant Deaths Countercyclical written by Andrew Figura and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Cohort-based Model of Labor Force Participation by : Bruce Fallick
Download or read book A Cohort-based Model of Labor Force Participation written by Bruce Fallick and published by . This book was released on 2007 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition by : W. Scott Frame
Download or read book Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition written by W. Scott Frame and published by . This book was released on 2007 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Temporary Partial Expensing in a General-equilibrium Model by : Rochelle Mary Edge
Download or read book Temporary Partial Expensing in a General-equilibrium Model written by Rochelle Mary Edge and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper uses a dynamic general-equilibrium model with a nominal tax system to consider the effects of temporary partial expensing allowances on investment and other macroeconomic aggregates"--Abstract.
Book Synopsis External Habit and the Cyclicality of Expected Stock Returns by : Thomas D. Tallarini
Download or read book External Habit and the Cyclicality of Expected Stock Returns written by Thomas D. Tallarini and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Computationally Efficient Characterization of Pure Strategy Nash Equilibria in Large Entry Games by : Andrew Cohen
Download or read book A Computationally Efficient Characterization of Pure Strategy Nash Equilibria in Large Entry Games written by Andrew Cohen and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Why Do Firms Offer Risky Defined Benefit Pension Plans? by : David A. Love
Download or read book Why Do Firms Offer Risky Defined Benefit Pension Plans? written by David A. Love and published by . This book was released on 2007 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Yesterday's Bad Times are Today's Good Old Times by : Alan Kackmeister
Download or read book Yesterday's Bad Times are Today's Good Old Times written by Alan Kackmeister and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889- 1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer temporary price reductions. These differences are consistent with the 1889-1891 period having a higher cost of changing prices resulting in less adjustment to transitory price shocks. Changes in the retailing environment that may have led to a higher cost of changing prices in 1889-1891 are discussed."
Book Synopsis Forecasting with Small Macroeconomic VARs in the Presence of Instabilities by : Todd E. Clark
Download or read book Forecasting with Small Macroeconomic VARs in the Presence of Instabilities written by Todd E. Clark and published by . This book was released on 2007 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
Book Synopsis Acquisition Targets and Motives in the Banking Industry by : Timothy H. Hannan
Download or read book Acquisition Targets and Motives in the Banking Industry written by Timothy H. Hannan and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring a Counterparty Credit Exposure to a Margined Counterparty by : Michael S. Gibson
Download or read book Measuring a Counterparty Credit Exposure to a Margined Counterparty written by Michael S. Gibson and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Firms active in OTC derivative markets increasingly use margin agreements to reduce counterparty credit risk. Making several simplifying assumptions, I use both a quasi- analytic approach and a simulation approach to quantify how margining reduces counterparty credit exposure. Margining reduces counterparty credit exposure by over 80 percent, using baseline parameter assumptions. I show how expected positive exposure (EPE) depends on key terms of the margin agreement and the current mark-to-market value of the portfolio of contracts with the counterparty. I also discuss a possible shortcut that could be used by firms that can model EPE without margin but cannot achieve the higher level of sophistication needed to model EPE with margin.
