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Discussion Paper
Minimum weighted residual methods for solving aggregate growth models
Judd, Kenneth L. (1991)
Discussion Paper / Institute for Empirical Macroeconomics , Paper 49

Discussion Paper
A computationally practical simulation estimator for panel data, with applications to labor supply and real wage movement over the business cycle
Keane, Michael P. (1989)
Discussion Paper / Institute for Empirical Macroeconomics , Paper 16

Discussion Paper
Stochastic volatility and the distribution of exchange rate news
Schotman, Peter C.; Mahieu, Ronald (1994)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data. We concentrate on the effects of the distribution of the exchange rate innovations for parameter estimates and for estimates of the latent volatility series. We approximate the density of the log of exchange rate innovations by a mixture of normals. The major findings of the paper are that: (1) explicitly incorporating fat-tailed innovations increases the estimates of the persistence of volatility dynamics; (ii) estimates of the latent volatility series depend strongly ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 96

Discussion Paper
Stochastic inflation and the equity premium
Labadie, Pamela (1989)
The effects of stochastic inflation on equity prices and the equity premium are studied in a pure-endowment asset-pricing model with a cash-in-advance constraint. Stochastic inflation affects the equity premium through two channels: the assessment of an inflation tax and the presence of an inflation premium. Real and monetary versions of the model are simulated and the comparative dynamic results corroborate the conclusion that inflation has quantitatively important effects. ; The other important result is that the equity premium in the real version of a modela continuous state-space ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 12

Discussion Paper
Learning your earning: are labor income shocks really very persistent?
Guvenen, Fatih (2006)
The current literature offers two views on the nature of the labor income process. According to the first view, which we call the restricted income profiles (RIP) model, individuals are subject to large and very persistent shocks while facing similar life-cycle income profiles (MaCurdy, 1982). According to the alternative view, which we call the heterogeneous income profiles (HIP) model, individuals are subject to income shocks with modest persistence while facing individual-specific income profiles (Lillard and Weiss, 1979). In this paper we study the restrictions imposed by the RIP and HIP ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 145

Discussion Paper
A time series model with periodic stochastic regime switching
Ghysels, Eric (1993)
A general class of Markov switching regime time series models is presented that allows one to estimate the nontrivial interdependencies between different types of cycles which make the economy grow at an unsteady rate. The paper further explores results obtained in Ghysels (1991b) suggesting that the economy transits from recessions to expansions with an uneven propensity throughout the year. It is also built on the work of Hamilton (1989) who proposed a stochastic switching-regime model for GNP and has important connections with hidden periodic structures discussed by Tiao and Grupe (1980) ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 84

Discussion Paper
Urban structure and growth
Rossi-Hansberg, Esteban; Wright, Mark L. J. (2003)
Most economic activity occurs in cities. This creates a tension between local increasing returns, implied by the existence of cities, and aggregate constant returns, implied by balanced growth. To address this tension, we develop a theory of economic growth in an urban environment. We show how the urban structure is the margin that eliminates local increasing returns to yield constant returns to scale in the aggregate, thereby implying a city size distribution that is well described by a power distribution with coefficient one: Zipf's Law. Under strong assumptions our theory produces Zipf's ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 141

Discussion Paper
Seasonality and equilibrium business cycle theories
Evans, Charles L.; Braun, R. Anton (1991)
Barksy-Miron [1989] find that the postwar U.S. economy exhibits a regular seasonal cycle, as well as the business cycle phenomenon. Are these findings consistent with current equilibrium business cycle theories as surveyed by Prescott [1986]? We consider a dynamic, stochastic equilibrium business cycle model which includes deterministic seasonals and nontime-separable preferences. We show how to compute a perfect foresight seasonal equilibrium path for this economy. An approximation to the stochastic equilibrium is calculated. Using postwar U.S. data, GMM estimates of the structural ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 45

Discussion Paper
The cyclical behavior of job creation and job destruction: a sectoral model
Greenwood, Jeremy; Zhang, Guang-Jia; MacDonald, Glenn M. (1994)
Three key features of the employment process in the U.S. economy are that job creation is procyclical, job destruction is countercyclical, and job creation is less volatile than job destruction. These features are also found at the sectoral (goods and services) level. The paper develops, calibrates, and simulates a two sector general equilibrium model including both aggregate and sectoral shocks. The behavior of the model economy mimics the job creation and destruction facts. Sectoral shocks play a significant role in determining the aggregate level of nonemployment.
Discussion Paper / Institute for Empirical Macroeconomics , Paper 88

Discussion Paper
The equity premium and the allocation of income risk
Danthine, Jean-Pierre; Donaldson, John B.; Mehra, Rajnish (1992)
This paper examines the extent to which the equity premium puzzle can be resolved by taking account of the fact that stockholders bear a disproportionate share of output uncertainty. We do this in the context of a non-Walrasian RBC model where risk reallocation is justified by borrowing restrictions. The risk shifting mechanism we propose has the same effect as would arise from a substantial increase in the risk aversion parameter of the representative agent. As with more standard RBC models, it remains that our model is unable to replicate key financial statistics. In particular, the ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 60

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