Creator: Roberds, William Series: Business analysis committee meeting Abstract:
One of the more significant developments in econometric modeling over the past decade has been the invention of the forecasting technique known as Bayesian vector autoregression (BVAR). This paper provides a detailed description of the process of specifying a BVAR model of quarterly time series on the U.S. macroeconomy. The postsample forecasting performance of the model is evaluated at an informal level by comparing the model's performance to certain naive forecasting methods, and is evaluated at a formal level by means of efficiency tests. Although the null hypothesis of efficiency is rejected for the model's forecasts, the accuracy of the model exceeds that of naive forecasting methods, and seems comparable to that of commercial forecasting firms for early quarter forecasts.
关键词: BVAR, Vector autoregression, and Bayesian analysis 学科: C11 - Bayesian Analysis: General and C53 - Forecasting Models; Simulation Methods
Creator: Aiyagari, S. Rao, Wallace, Neil, and Wright, Randall Series: Lucas expectations anniversary conference Abstract:
A pairwise random meeting model with money is used to study the nominal yield on pure-discount, default-free securities that are issued by the government. There is one steady state with matured securities at par and, for some parameters, another with them at a discount. In the former, exogenous rejection of unmatured securities by the government is necessary and sufficient for such a steady state to display a positive nominal yield on unmatured securities. In the latter, the post-maturity discount on securities induces a deeper pre-maturity discount even if there is no exogenous rejection of unmatured securities.
关键词: Maturity, Government securities, and Interest rates 学科: E02 - Institutions and the Macroeconomy and E43 - Interest Rates: Determination, Term Structure, and Effects
Creator: Azariadis, Costas. and Smith, Bruce D. (Bruce David), 1954-2002 Series: Finance, fluctuations, and development Abstract:
We study a variant of the one-sector neoclassical growth model of Diamond in which capital investment must be credit financed, and an adverse selection problem appears in loan markets. The result is that the unfettered operation of credit markets leads to a one-dimensional indeterminacy of equilibrium. Many equilibria display economic fluctuations which do not vanish asymptotically; such equilibria are characterized by transitions between a Walrasian regime in which the adverse selection problem does not matter, and a regime of credit rationing in which it does. Moreover, for some configurations of parameters, all equilibria display such transitions for two reasons. One, the banking system imposes ceilings on credit when the economy expands and floors when it contracts because the quality of public information about the applicant pool of potential borrowers is negatively correlated with the demand for credit. Two, depositors believe that returns on bank deposits will be low (or high): these beliefs lead them to transfer savings out of (into) the banking system and into less (more) productive uses. The associated disintermediation (or its opposite) causes banks to contract (expand) credit. The result is a set of equilibrium interest rates on loans that validate depositors' original beliefs. We investigate the existence of perfect foresight equilibria displaying periodic (possibly asymmetric) cycles that consist of m periods of expansion followed by n periods of contraction, and propose an algorithm that detects all such cycles.
关键词: Interest rates, Equilibrium, Credit markets, and Business cycles 学科: E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers, E44 - Money and interest rates - Financial markets and the macroeconomy, O41 - One, Two, and Multisector Growth Models, and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles
Creator: Mulligan, Casey B. Series: Great depressions of the twentieth century Abstract:
I prove some theorems for competitive equilibria in the presence of distortionary taxes and other restraints of trade, and use those theorems to motivate an algorithm for (exactly) computing and empirically evaluating competitive equilibria in dynamic economies. Although its economics is relatively sophisticated, the algorithm is so computationally economical that it can be implemented with a few lines in a spreadsheet. Although a competitive equilibrium models interactions between all sectors, all consumer types, and all time periods, I show how my algorithm permits separate empirical evaluation of these pieces of the model and hence is practical even when very little data is available. For similar reasons, these evaluations are not particularly sensitive to how data is partitioned into "trends" and "cycles." I then compute a real business cycle model with distortionary taxes that fits aggregate U.S. time series for the period 1929-50 and conclude that, if it is to explain aggregate behavior during the period, government policy must have heavily taxed labor income during the Great Depression and lightly taxed it during the war. In other words, the challenge for the competitive equilibrium approach is not so much why output might change over time, but why the marginal product of labor and the marginal value of leisure diverged so much and why that wedge persisted so long. In this sense, explaining aggregate behavior during the period has been reduced to a public finance question - were actual government policies distorting behavior in the same direction and magnitude as government policies in the model?
关键词: Depressions, Taxes, World War 2, and Competitive equilibrium models 学科: H30 - Fiscal Policies and Behavior of Economic Agents: General, E32 - Business Fluctuations; Cycles, and C68 - Computable General Equilibrium Models
Creator: Fernandez-Villaverde, Jesus. and Rubio-Ramírez, Juan Francisco. Series: Joint committee on business and financial analysis Abstract:
This paper presents a method to perform likelihood-based inference in nonlinear dynamic equilibrium economies. This type of models has become a standard tool in quantitative economics. However, existing literature has been forced so far to use moment procedures or linearization techniques to estimate these models. This situation is unsatisfactory: moment procedures suffer from strong small samples biases and linearization depends crucially on the shape of the true policy functions, possibly leading to erroneous answers. We propose the use of Sequential Monte Carlo methods to evaluate the likelihood function implied by the model. Then we can perform likelihood-based inference, either searching for a maximum (Quasi-Maximum Likelihood Estimation) or simulating the posterior using a Markov Chain Monte Carlo algorithm (Bayesian Estimation). We can also compare different models even if they are nonnested and misspecified. To perform classical model selection, we follow Vuong (1989) and use the Kullback-Leibler distance to build Likelihood Ratio Tests. To perform Bayesian model comparison, we build Bayes factors. As an application, we estimate the stochastic neoclassical growth model.
关键词: Likelihood-based inference, Dynamic equilibrium economies, Sequential Monte Carlo methods, and Nonlinear filtering 学科: C15 - Statistical Simulation Methods: General, C13 - Estimation: General, C10 - Econometric and Statistical Methods and Methodology: General, and C11 - Bayesian Analysis: General
The Conference Proceedings collection houses papers and ephemera from twenty eight conferences hosted by the Federal Reserve Bank of Minneapolis Research Department between 1994 and 2003. Additional papers from other Minneapolis Research Department conferences can be found at the Minneapolis Fed conferences and programs website.