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Working Paper
Small sample properties of estimators of non-linear models of covariance structure
Clark, Todd E. (1995)
This study examines the small sample properties of GMM and ML estimators of non-linear models of covariance structure. The study focuses on the properties of parameter estimates and the Hansen (1982) and Newey (1985) model specification test. It use Monte Carlo simulations to consider the properties of estimates for some simple factor models, the Hall and Mishkin (1982) model of consumption and income changes, and a simple Bernanke (1986) decomposition model. This analysis establishes and seeks to explain a number of results. Most importantly, optimally weighted GMM estimation yields some ...
Research Working Paper , Paper 95-01

Journal Article
Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach
Svensson, Lars E. O.; Williams, Noah (2008-07)
This paper studies the design of optimal monetary policy under uncertainty using a Markov jump-linear-quadratic (MJLQ) approach. To approximate the uncertainty that policymakers face, the authors use different discrete modes in a Markov chain and take mode-dependent linear-quadratic approximations of the underlying model. This allows the authors to apply a powerful methodology with convenient solution algorithms that they have developed. They apply their methods to analyze the effects of uncertainty and potential gains from experimentation for two sources of uncertainty in the New Keynesian ...
Review , Volume 90 , Issue Jul , Pages 275-294

Report
Application of weighted residual methods to dynamic economic models
McGrattan, Ellen R. (1998)
Staff Report , Paper 232

Conference Paper
Path dependence in aggregate output
Durlauf, Steven N. (1991-11)
Proceedings , Issue Nov

Journal Article
Dynamics of externalities: a second-order perspective
Wen, Yi; Wu, Huabin (2011-05)
First-order approximation methods are a standard technique for analyzing the local dynamics of dynamic stochastic general equilibrium (DSGE) models. Although linear methods yield quite accurate solutions for a broad class of DSGE models, some important economic issues (e.g., portfolio choice and welfare) cannot be adequately addressed by first-order methods. This paper provides yet another case when first-order methods may be inadequate for capturing the business cycle properties of a DSGE model. In particular, the authors show that increasing returns to scale (due to production ...
Review , Volume 93 , Issue May , Pages 187-206

Working Paper
Interpreting life-cycle inequality patterns as an efficient allocation: mission impossible?
Huggett, Mark; Badel, Alejandro (2010)
Data on consumption, earnings, wages and hours dispersion over the life cycle is commonly viewed as incompatible with a Pareto efficient allocation. We show that a model with preference and wage shocks and full insurance produces the rise in consumption, wages and hours dispersion over the life cycle found in U.S. data. The efficient allocation model requires an increasing preference shifter dispersion profile to account for an increasing consumption dispersion profile. We examine U.S. data and find support for the view that the dispersion in preference shifters increases with age.
Working Papers , Paper 2010-046

Report
Sectoral price facts in a sticky-price model
Lee, Jae Won; Carvalho, Carlos (2011)
We develop a multi-sector sticky-price DSGE (dynamic stochastic general equilibrium) model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow response of prices to aggregate shocks. In turn, input-market segmentation at the sectoral level induces within-sector pricing substitutability, which helps the model deliver a fast response of prices to sector-specific shocks. Estimating the factor-augmented vector autoregression specification of ...
Staff Reports , Paper 495

Working Paper
Output, money and price correlations in a real business cycle model
Huh, Chan Guk (1990)
Working Papers in Applied Economic Theory , Paper 90-02

Journal Article
Model error
Simons, Katerina (1997-11)
Modern finance would not have been possible without models. Increasingly complex quantitative models drive financial innovation and the growth of derivatives markets. Models are necessary to value financial instruments and to measure the risks of individual positions and portfolios. Yet when used inappropriately, the models themselves can become an important source of risk. Recently, several well-publicized instances occurred of institutions suffering significant losses attributed to model error. This has sharpened the interest in model risk among financial institutions and their regulators.> ...
New England Economic Review , Issue Nov , Pages 17-28

Working Paper
Idiosyncratic tastes in a two-country optimizing model: implications ; of a standard presumption
Warnock, Francis E. (1998)
International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that allows for idiosyncratic tastes across countries. Specifically, there is a home-good bias in consumption patterns: at given relative prices the ratio of home goods consumed to foreign goods consumed is higher in the home country. The setup nests Obstfeld and Rogoff (1995), who assume identical tastes. Allowing for idiosyncratic tastes produces results that differ from Obstfeld and Rogoff's expansionary monetary policy increases home utility by more, the positive spillovers of a ...
International Finance Discussion Papers , Paper 631

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