Download Advances in Non-linear Economic Modeling: Theory and by Stefan Mittnik, Willi Semmler (auth.), Frauke Schleer-van PDF
By Stefan Mittnik, Willi Semmler (auth.), Frauke Schleer-van Gellecom (eds.)
In fresh years nonlinearities have received expanding value in fiscal and econometric study, relatively after the monetary concern and the industrial downturn after 2007. This ebook includes theoretical, computational and empirical papers that include nonlinearities in econometric versions and observe them to actual monetary difficulties. It intends to function an notion for researchers to take capability nonlinearities in account. Researchers might be conscious of making use of linear model-types spuriously to difficulties which come with non-linear positive factors. it truly is critical to exploit the proper version style which will steer clear of biased concepts for monetary policy.
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Additional resources for Advances in Non-linear Economic Modeling: Theory and Applications
2004). Using dynamic programming with adaptive grid scheme for optimal control problems in economics. Journal of Economic Dynamics & Control, 28, 2427– 2456. , & Semmler, W. (2005). Default risk, asset pricing, and debt control. Journal of Financial Econometrics, 3(1), 79–106. , & Sieveking, M. (2004). Creditworthiness and threshold in a credit market model with multiple equilibria. Economic Theory, 25(2), 287–315. , & Bernard, L. (2007). Firm value, diversified capital assets and credit risk.
I also explicitly consider the possibility that there was a level shift in the data after the 2007 recession in establishing the mapping of the data into the model. The consistency between the way in which the model is laid down to account for the business cycle fluctuations and how the data itself is measured and detrended (or expressed in deviations from a long-run mean or target) is crucial in helping evaluate the strength and weaknesses of the model. Second, I quantitatively investigate the ability of the financial accelerator model of Bernanke et al.
Journal of Monetary Economics, 58(1), 17–34. , & Zagrajsek, S. (2012). Credit spreads and business cycle fluctuations. American Economic Review 102, 1692–1720. , & Zagrajsek, S. (2009). Credit risk and the macroeconomy: evidence from an estimated DSGE model. Manuscript, Boston University. Gorton, G. (2009). Information, liquidity, and the (ongoing) panic of 2007. Prepared for the Federal Reserve Bank of Kansas City, Jackson Hole Conference, August 2008. Estimating a Banking-Macro Model Using a Multi-regime VAR 39 Gorton, G.