18,311 research outputs found
An estimated stochastic dynamic general equilibrium model of the euro area
This paper develops and estimates a stochastic dynamic general equilibrium (SDGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate). JEL Classification: E4, E5euro area, monetary policy, SDGE models
Are Trump and Bitcoin Good Partners?
During times of extreme market turmoil, it is acknowledged that there is a
tendency towards "flight to safety". A strong (weak) safe haven is defined as
an asset that has a significant positive (negative) return in periods where
another asset is in distress, while hedge has to be negatively correlated
(uncorrelated) on average. The Bitcoin's surge alongside the aftermath of
Trump's win in the 2016 U.S. presidential elections has strengthened its status
as the modern safe haven. This paper uses a truly noise-assisted data analysis
method, termed as Ensemble Empirical Mode Decomposition-based approach, to
examine whether Bitcoin can act as a hedge and safe haven for U.S. stock price
index. The results document that the Bitcoin's safe-haven property is
time-varying and that it has primarily been a weak safe haven in the short term
and the long-term. We also demonstrate that precious metals lost their safe
haven properties over time as the correlation between gold/silver and U.S.
stock price declines from short-to long-run horizons
An estimated dynamic stochastic general equilibrium model of the euro area
This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is estimated with Bayesian techniques using seven key macro-economic variables: GDP, consumption, investment, prices, real wages, employment and the nominal interest rate. The introduction of ten orthogonal structural shocks (including productivity, labour supply, investment, preference, cost-push and monetary policy shocks) allows for an empirical investigation of the effects of such shocks and of their contribution to business cycle fluctuations in the euro area. Using the estimated model, the paper also analyses the output (real interest rate) gap, defined as the difference between the actual and model-based potential output (real interest rate).DSGE models, monetary policy, euro area
Prediction of stocks: a new way to look at it.
While the traditional value is useful to evaluate the
quality of a fit, it does not work when it comes to evaluating the
predictive power of estimated financial models in finite samples. In
this paper we introduce a validated value that is Taylor
made for prediction. Based on data from the Danish stock market,
using this measure we find that the dividend-price ratio has good
predictive power for time horizons between one year and five years.
We explain how the s for different time horizons could
be compared, respectively, how they must not be interpreted. For our
data we can conclude that the quality of prediction is almost the
same for the five different time horizons. This is in contradiction
to earlier studies based on the traditional value, where it
has been argued that the predictive power increases with the time
horizon up to a horizon of about five or six years. Furthermore, we
find that while inflation and interest rate do not add to the
predictive power of the dividend-price ratio then last years excess
stock return does
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