论文检索

利用商品价格指数预测通货膨胀AI 解读

This paper shows that for five small commodity-exporting countries that have adopted inflation targeting monetary policies, world commodity price aggregates have predictive power for their CPI and PPI inflation, particularly once possible structural breaks are taken into account. This conclusion is robust to using either disaggregated or aggregated commodity price indexes (although the former perform better), the currency denomination of the commodity prices, and to using…

马尔可夫转换结构VAR：结合传统与统计冲击识别AI 解读

In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a…

使用未滤波数据的扩展新凯恩斯菲利普斯曲线：美国通胀的后验预测证据AI 解读

SUMMARY Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC) models. It is shown that mechanical removal or modeling of simple low‐frequency movements in the data may yield poor predictive results which depend on the model specification used. Basic NKPC models are extended to include structural time series models that describe typical time‐varying patterns…

缺失冲击的DSGE模型政策分析工具AI 解读

SUMMARY In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by either matching impulse responses of the augmented DSGE model to those generated by an auxiliary model or by…

销售、库存与实际利率：一个世纪的典型事实AI 解读

SUMMARY We use Bayesian time‐varying parameter structural vector autoregressions with stochastic volatility to investigate changes in reduced‐form and structural correlations between inventories and either sales growth or the real interest rate in the USA during both the inter‐war and post‐World War II periods. We identify four structural shocks by combining a single long‐run restriction to identify a permanent output shock with three sign restrictions to identify demand‐…

SUMMARY The likelihood of the parameters in structural macroeconomic models typically has non‐identification regions over which it is constant. When sufficiently diffuse priors are used, the posterior piles up in such non‐identification regions. Use of informative priors can lead to the opposite, so both can generate spurious inference. We propose priors/posteriors on the structural parameters that are implied by priors/posteriors on the parameters of an embedding…

SUMMARY We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using two empirical illustrations consisting of the Smets and Wouters model and a larger news shock model we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely used random…

财政极限估计：希腊案例AI 解读

SUMMARY This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic ‘fiscal limit’ and sovereign default. Using the particle filter to perform likelihood‐based inference, we estimate the full nonlinear model with post‐EMU data until 2010:Q4. We find that (i) the probability of default on Greek debt was in the range of 5–10% in 2010:Q4 and (ii) the 2011 surge in the Greek real interest…

罕见冲击与大衰退AI 解读

SUMMARY We estimate a DSGE (dynamic stochastic general equilibrium) model where rare large shocks can occur, by replacing the commonly used Gaussian assumption with a Student's t ‐distribution. Results from the Smets and Wouters ( American Economic Review 2007; 97 : 586–606) model estimated on the usual set of macroeconomic time series over the 1964–2011 period indicate that (i) the Student's t specification is strongly favored by the data even when we allow for…

SUMMARY The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems, estimation bias, and distortions in policy analysis. We propose an estimation strategy based on mixed‐frequency data to alleviate these shortcomings. The virtues of our approach are explored for two monetary policy models. Copyright © 2014 John Wiley & Sons, Ltd.

劳动收入过程的持久—暂时成分表示AI 解读

We consider the decomposition of shocks to a dynamic process into a persistent and a transitory component. Without additional assumptions (such as zero correlation) the decomposition of shocks into a persistent and transitory component is indeterminate. The assumption that is conventional in the earnings literature is that there is no correlation. The Beveridge–Nelson decomposition that is widely used in time series analysis assumes a perfect correlation. Without…

全球金融危机期间的央行宏观预测：欧洲央行与纽约联储的经验AI 解读

This article documents macroeconomic forecasting during the global financial crisis by two key central banks: the European Central Bank and the Federal Reserve Bank of New York. The article is the result of a collaborative effort between staff at the two institutions, allowing us to study the time-stamped forecasts as they were made throughout the crisis. The analysis does not exclusively focus on point forecast performance. It also examines methodological contributions,…

评论AI 解读

The article by Alessi, Ghysels, Onorante, Peach, and Potter (henceforth AGOPP) covers a lot of important ground on the themes of central bank forecasting and its evolution in the light of the finan...

鞅假设检验AI 解读

We propose new tests of the martingale hypothesis based on generalized versions of the Kolmogorov–Smirnov and Cramér–von Mises tests. The tests are distribution-free and allow for a weak drift in the null model. The methods do not require either smoothing parameters or bootstrap resampling for their implementation and so are well suited to practical work. The article develops limit theory for the tests under the null and shows that the tests are consistent against a wide…

协整回归中对识别状态稳健的推断AI 解读

In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence sets for the long-run coefficient (denoted β) are proposed that invert LR-tests against an unrestricted or a cointegration-restricted alternative. For empirically relevant special cases, we provide analytical solutions to the inversion problem. A simulation study, imposing and relaxing strong…

低频及其他污染下长记忆过程的修正局部 Whittle 估计AI 解读

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include processes whose spectral density functions dominate at low frequencies such as random level shifts, deterministic level shifts and deterministic trends. We show that our modified estimator…

非平稳数据下非参数估计量的一致收敛AI 解读

Sharp upper and lower uniform bounds are established for a general class of functionals of integrated and fractionally integrated time series. The main result is used to develop optimal uniform convergence for the Nadaraya-Watson estimator and the local linear nonparametric estimator in a nonlinear cointegrating regression model. Unlike the point-wise situation, it is shown that the performance of the local linear nonparametric estimator is superior to that of the…

基于 Copula 的时间不可逆 Markov 模型AI 解读

Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price series. In this paper, we make two primary contributions to the econometric literature on time reversibility. First, we propose a new test of time reversibility, applicable to stationary…

基于鞅近似的分数布朗运动二次泛函分布AI 解读

The present paper deals with the distributions related to the fractional Brownian motion (fBm). In particular, we try to compute the distributions of (ratios of) its quadratic functionals, not by simulations, but by numerically inverting the associated characteristic functions (c.f.s). Among them is the fractional unit root distribution. It turns out that the derivation of the c.f.s based on the standard approaches used for the ordinary Bm is inapplicable. Here the…

误差序列相关下的点最优面板单位根检验AI 解读

Generalizations of the point‐optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long‐run variance; (b) centring of the statistic is adjusted to correct for second‐order bias effects induced by the correlation between the error and lagged dependent variable.

非线性向量时间序列的多元函数系数回归模型AI 解读

Vector time series data are widely met in practice. In this paper we propose a multivariate functional-coefficient regression model with heteroscedasticity for modelling such data. A local linear smoother is employed to estimate the unknown coefficient matrices. Asymptotic normality of the proposed estimators is established, and bandwidth selection is considered. To deal with the co-integration commonly observed in financial markets, we propose an error-corrected…

面向海量数据的可扩展自助法AI 解读

Summary The bootstrap provides a simple and powerful means of assessing the quality of estimators. However, in settings involving large data sets—which are increasingly prevalent—the calculation of bootstrap-based quantities can be prohibitively demanding computationally. Although variants such as subsampling and the m out of n bootstrap can be used in principle to reduce the cost of bootstrap computations, these methods are generally not robust to specification of tuning…

与经济理论一致的预测AI 解读

We consider a method for producing multivariate density forecasts that satisfy moment restrictions implied by economic theory, such as Euler conditions. The method starts from a base forecast that might not satisfy the theoretical restrictions and forces it to satisfy the moment conditions using exponential tilting. Although exponential tilting has been considered before in a Bayesian context (Robertson et al. 2005), our main contributions are: (1) to adapt the method to a…

针对少量嵌套模型的预测能力检验AI 解读

We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. The limiting distributions of the test statistics are non-standard. For critical values we consider: (i) bootstrapping and (ii) simulations assuming normality of the mean square prediction error difference. The proposed tests have good size and power properties compared with…