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Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Comments on ‘Econometric Models of the Monetary Policy Process’ by David L. Reifscheider, David J. Stockton and David Wilcox
Monetary Policy econometric models
2015/8/4
This paper gives an excellent overview of the way that econometric models
are used to help formulate monetary policy at the Federal Reserve Board.
David Reifschneider, David Stockman, and David Wilc...
Ideas versus rival human capital: Industry evidence on growth models
Ideas Human capital Growth Industry data
2015/7/20
Using 1959D1991 growth rates for 449 4-digit US manufacturing industries, I test ÔideaÕ and Ôrival human capitalÕ models of endogenous growth. I Tnd the following: First, TFP growt...
华中科技大学投资学课件Chapter9 Single Index and Multifactor Models
华中科技大学 投资学 课件 Chapter9 Single Index and Multifactor Models
2015/5/19
华中科技大学投资学课件Chapter9 Single Index and Multifactor Models。
A Welfare Criterion for Models with Distorted Beliefs
belief disagreements distorted expectations speculation welfare criterion Pareto e￠ ciency belief-neutral e￠ ciency externalities
2014/3/18
This paper proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our
criterion asserts an allocation...
Assessing the Lucas Critique in Monetary Policy Models
deep parameters Parameter stability Taylor rule
2011/8/21
Empirical estimates of monetary policy rules suggest that the behavior of U.S. monetary policymakers changed during the past few decades. However, for that same time period, statistical analyses of la...
COORDINATION OF MONETARY AND FISCAL POLICY IN A MONETARY UNION: POLICY ISSUES AND ANALYTICAL MODELS
European Monetary Union monetary and fiscal policy new neoclassical synthesis (NNS) models policy coordination
2011/8/21
The European Monetary Union raises new and interesting questions about the coordination of monetary and fiscal policy. In this lecture, I discuss some of these questions and the answers that a new cla...
On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
interest rate models term structure dynamics Heath-Jarrow-Morton framework pricing kernels Wiener chaos Flesaker-Hughston models potentials
2011/7/19
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration (Ft)t0. Let X be a square-integrable F1-measur...
Spin models as microfoundation of macroscopic financial market models
Macroscopic price market regulation phenomenological macroscopic models
2011/3/31
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic mode...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
Calibration of structural and reduced-form recovery models
Credit risk Loss distribution Reduced–form models Structural models Value at Risk Expected Tail Loss Stochastic processes
2011/3/23
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant.
Dependence of defaults and recoveries in structural credit risk models
Credit risk Loss distribution Value at Risk Expected Tail Loss Stochastic
2011/3/23
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are ...
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Credit risk structural model rst passage problem Levy process fast Fourier transform credit default spread maximum likelihood estimation
2011/3/23
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent i...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
American Step-Up Step-Down Credit Default Swaps Models
2011/1/4
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...