-
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models... -
Empirical and policy performance of a forward‐looking monetary model (replica...
In this paper we consider the implications of a fully specified dynamic general equilibrium model, developed by Smets and Wouters (2003). This is a relatively large-scale... -
The Lucas critique and the stability of empirical models (replication data)
This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium... -
International evidence on the efficacy of new‐Keynesian models of inflation p...
We take an agnostic view of the Phillips curve debate, and carry out an empirical investigation of the relative and absolute efficacy of Calvo sticky price (SP), sticky... -
Monetary policy and uncertainty in an empirical small open‐economy model (rep...
This paper explores optimal policy design in an estimated model of three small open economies: Australia, Canada and New Zealand. Within a class of generalized Taylor rules, we... -
Limited information estimation and evaluation of DSGE models (replication data)
We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that... -
Welfare‐maximizing monetary policy under parameter uncertainty (replication d...
This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the US economy where the policymaker faces uncertainty about... -
Averaging forecasts from VARs with uncertain instabilities (replication data)
Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting... -
Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers... -
Economic transition and growth (replication data)
Some extensions of neoclassical growth models are discussed that allow for cross-section heterogeneity among economies and evolution in rates of technological progress over... -
The political economy of financial reform: are Abiad and Mody right? (replica...
Motivated by the questions Financial Reform: What Shakes It? What Shapes It? raised by Abiad and Mody (2005), this paper studies the forces that induce governments to undertake... -
Estimating class‐specific parametric models under class uncertainty: local po...
We introduce a method for estimating multiple class regression models when class membership is uncertain. The procedure-local polynomial regression clustering-first estimates a... -
Forecasting US output growth using leading indicators: an appraisal using MID...
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple... -
Land of addicts? an empirical investigation of habit‐based asset pricing mode...
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the... -
Measuring state dependence in individual poverty histories when there is feed...
This paper argues that the assumption of strict exogeneity, which is usually invoked in estimating models of state dependence with unobserved heterogeneity, is violated in the... -
Dichotomous‐choice contingent valuation with ‘dont know’ responses and misrep...
A new approach is presented that simultaneously deals with Misreporting and Don't Know (DK) responses within a dichotomous-choice contingent valuation framework. Utilising a... -
Time-varying yield curve dynamics and monetary policy (replication data)
Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks... -
What are the effects of fiscal policy shocks? (replication data)
We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Specifically, we use sign restrictions to identify a government... -
Health and work of the elderly: subjective health measures, reporting errors ...
This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously... -
Compensatory inter vivos gifts (replication data)
Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the...