deletions | additions
diff --git a/bibliography/thesisbib.bib b/bibliography/thesisbib.bib
index 40ad278..18f18bf 100644
--- a/bibliography/thesisbib.bib
+++ b/bibliography/thesisbib.bib
...
% This file was created with JabRef 2.10.
% Encoding: UTF8
@Article{Aguiar2007,
Title title =
{Emerging {{Emerging Market Business Cycles: The Cycle Is the
Trend},
Author Trend}},
author = {Mark Aguiar and Gita Gopinath},
Journal journal = {Journal of Political Economy},
Year year = {2007},
Number number = {1},
Pages pages = {pp. 69-102},
Volume volume = {115},
Abstract abstract = {Emerging market business cycles exhibit strongly countercyclical current accounts, consumption volatility that exceeds income volatility, and “sudden stops” in capital inflows. These features contrast with developed small open economies. Nevertheless, we show that a standard model characterizes both types of markets. Motivated by the frequent policy regime switches observed in emerging markets, our premise is that these economies are subject to substantial volatility in trend growth. Our methodology exploits the information in consumption and net exports to identify the persistence of productivity. We find that shocks to trend growth—rather than transitory fluctuations around a stable trend—are the primary source of fluctuations in emerging markets. The key features of emerging market business cycles are then shown to be consistent with this underlying income process in an otherwise standard equilibrium model.},
Copyright copyright = {Copyright © 2007 The University of Chicago Press},
ISSN issn = {00223808},
Jstor_articletype jstor_articletype = {research-article},
Jstor_formatteddate jstor_formatteddate = {February 2007},
Language language = {English},
Publisher publisher = {The University of Chicago Press},
Url url =
{http://www.jstor.org/stable/10.1086/511283} {http://www.jstor.org/stable/10.1086/511283},
}
@Article{Amisano20112167,
Title = {Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations},
Author = {Gianni Amisano and Oreste Tristani},
Journal = {Journal of Economic Dynamics and Control},
Year = {2011},
Note = {Frontiers in Structural Macroeconomic Modeling},
Number = {12},
Pages = {2167 - 2185},
Volume = {35},
Doi @Article{Amisano20112167,
title = {{Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations}},
author = {Gianni Amisano and Oreste Tristani},
journal = {Journal of Economic Dynamics and Control},
year = {2011},
note = {Frontiers in Structural Macroeconomic Modeling},
number = {12},
pages = {2167 - 2185},
volume = {35},
doi = {10.1016/j.jedc.2011.08.003},
ISSN issn = {0165-1889},
Keywords keywords = {DSGE models},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188911001539} {http://www.sciencedirect.com/science/article/pii/S0165188911001539},
}
@Article{Anderson2012,
Title title =
{Small {{Small noise methods for risk-sensitive/robust
economies},
Author economies}},
author = {Evan W. Anderson and Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2012},
Number number = {4},
Pages pages = {468 - 500},
Volume volume = {36},
Abstract abstract = {We provide small noise expansions for the value function and decision rule for the recursive risk-sensitive preferences specified by Hansen and Sargent (1995), Hansen et al. (1999), and Tallarini (2000). We use the expansions (1) to provide a fast method for approximating solutions of dynamic stochastic problems and (2) to quantify the effects on decisions of uncertainty and concerns about robustness to misspecification.},
Doi doi = {10.1016/j.jedc.2011.11.007},
ISSN issn = {0165-1889},
Keywords keywords = {Computational economics},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188911002211} {http://www.sciencedirect.com/science/article/pii/S0165188911002211},
}
@Article{Bansal2004,
Title title =
{Risks {{Risks for the Long Run: A Potential Resolution of Asset Pricing
Puzzles},
Author Puzzles}},
author = {Bansal, Ravi and Yaron, Amir},
Journal journal = {The Journal of Finance},
Year year = {2004},
Number number = {4},
Pages pages = {1481--1509},
Volume volume = {59},
Abstract abstract = {We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price–dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying.},
Doi doi = {10.1111/j.1540-6261.2004.00670.x},
ISSN issn = {1540-6261},
Publisher publisher = {Blackwell Science Inc},
Timestamp timestamp = {2012.09.27},
Url url =
{http://dx.doi.org/10.1111/j.1540-6261.2004.00670.x} {http://dx.doi.org/10.1111/j.1540-6261.2004.00670.x},
}
@Article{Barillas2009,
Title title =
{Doubts {{Doubts or
variability?},
Author variability?}},
author = {Francisco Barillas and Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Economic Theory},
Year year = {2009},
Note note = {Dynamic General Equilibrium},
Number number = {6},
Pages pages = {2388 - 2418},
Volume volume = {144},
Abstract abstract = {Reinterpreting most of the market price of risk as a price of model uncertainty eradicates a link between asset prices and measures of the welfare costs of aggregate fluctuations that was proposed by Hansen, Sargent, and Tallarini [17], Tallarini [30], Alvarez and Jermann [1]. Prices of model uncertainty contain information about the benefits of removing model uncertainty, not the consumption fluctuations that Lucas [22,23] studied. A max–min expected utility theory lets us reinterpret Tallarini's risk-aversion parameter as measuring a representative consumer's doubts about the model specification. We use model detection instead of risk-aversion experiments to calibrate that parameter. Plausible values of detection error probabilities give prices of model uncertainty that approach the Hansen and Jagannathan [11] bounds. Fixed detection error probabilities give rise to virtually identical asset prices as well as virtually identical costs of model uncertainty for Tallarini's two models of consumption growth.},
Doi doi = {10.1016/j.jet.2008.11.014},
ISSN issn = {0022-0531},
Keywords keywords = {Risk aversion},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053109000039} {http://www.sciencedirect.com/science/article/pii/S0022053109000039},
}
@Article{Barucci2012,
Title title =
{Social {{Social interaction and conformism in a random utility
model},
Author model}},
author = {Emilio Barucci and Marco Tolotti},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2012},
Number number = {12},
Pages pages = {1855 - 1866},
Volume volume = {36},
Abstract abstract = {We analyze a class of dynamic binary choice models with social interaction. Agents are heterogeneous and their degree of conformism (taste externality) changes over time endogenously. We show that social interaction in itself is not enough to observe multiple equilibria and that the equilibrium outcome is not necessarily a polarized society. The social outcome depends on the law of motion that drives the evolution of taste externality.},
Doi doi = {10.1016/j.jedc.2012.06.005},
ISSN issn = {0165-1889},
Keywords keywords = {Conformism},
Timestamp timestamp = {2012.09.27},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188912001406} {http://www.sciencedirect.com/science/article/pii/S0165188912001406},
}
@Article{Beaudry2007,
Title title =
{When {{When can changes in expectations cause business cycle fluctuations in neo-classical
settings?},
Author settings?}},
author = {Paul Beaudry and Franck Portier},
Journal journal = {Journal of Economic Theory},
Year year = {2007},
Number number = {1},
Pages pages = {458 - 477},
Volume volume = {135},
Abstract abstract = {It is often argued that changes in expectation are an important driving force of the business cycle. However, it is well known that changes in expectations cannot generate positive co-movement between consumption, investment and employment in the most standard neo-classical business cycle models. This gives rise to the question of whether changes in expectation can cause business cycle fluctuations in any neo-classical setting or whether such a phenomenon is inherently related to market imperfections. This paper offers a systematic exploration of this issue. Our finding is that expectation driven business cycle fluctuations can arise in neo-classical models when one allows for a sufficiently rich description of the production technology; however, such a structure is rarely allowed or explored in macro-models. In particular, we identify a multi-sector setting and a setting with a costly distribution system in which expectation driven business cycles can arise.},
Doi doi = {10.1016/j.jet.2006.06.009},
ISSN issn = {0022-0531},
Keywords keywords = {Business cycles},
Timestamp timestamp = {2012.09.27},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053106001517} {http://www.sciencedirect.com/science/article/pii/S0022053106001517},
}
@Article{Bidder2012,
Title = {Robust animal spirits},
Author = {R.M. Bidder and M.E. Smith},
Journal = {Journal of Monetary Economics},
Year = {2012},
Number = {8},
Pages = {738 - 750},
Volume = {59},
Abstract @Article{Bidder2012,
title = {{Robust animal spirits}},
author = {R.M. Bidder and M.E. Smith},
journal = {Journal of Monetary Economics},
year = {2012},
number = {8},
pages = {738 - 750},
volume = {59},
abstract = {In a real business cycle model, an agent's fear of model misspecification interacts with stochastic volatility to induce time varying worst case scenarios. These time varying worst case scenarios capture a notion of animal spirits where the probability distributions used to evaluate decision rules and price assets do not necessarily reflect the fundamental characteristics of the economy. Households entertain a pessimistic view of the world and their pessimism varies with the overall level of volatility in the economy, implying an amplification of the effects of volatility shocks. By using perturbation methods and Monte Carlo techniques we extend the class of models analyzed with robust control methods to include the sort of nonlinear production-based DSGE models that are popular in academic research and policymaking practice.},
Doi doi = {10.1016/j.jmoneco.2012.10.017},
ISSN issn = {0304-3932},
Timestamp timestamp = {2012.12.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0304393212001328} {http://www.sciencedirect.com/science/article/pii/S0304393212001328},
}
@Article{Blanchard1980,
Title = {The solution of linear difference models under rational expectations},
Author = {Blanchard, Olivier Jean and Kahn, Charles M},
Journal = {Econometrica: Journal of the Econometric Society},
Year = {1980},
Pages = {1305--1311},
Publisher @Article{Blanchard1980,
title = {{The solution of linear difference models under rational expectations}},
author = {Blanchard, Olivier Jean and Kahn, Charles M},
journal = {Econometrica: Journal of the Econometric Society},
year = {1980},
pages = {1305--1311},
publisher = {JSTOR},
Timestamp timestamp = {2013.09.30},
Url url =
{http://www.jstor.org/stable/10.2307/1912186} {http://www.jstor.org/stable/10.2307/1912186},
}
@Unpublished{BorovickaHansen2013,
Title = {Robust Preference Expansions},
Author = {Jaroslav Borovicka and Lars Peter Hansen},
Note = {Preliminary draft},
Month = {February},
Year = {2013},
Timestamp @Unpublished{BorovickaHansen2013,
title =
{2013.08.01} {{Robust Preference Expansions}},
author = {Jaroslav Borovicka and Lars Peter Hansen},
note = {Preliminary draft},
month = {February},
year = {2013},
timestamp = {2013.08.01},
}
@Article{Boyarchenko2012,
Title title =
{Ambiguity {{Ambiguity shifts and the 2007–2008 financial
crisis},
Author crisis}},
author = {Nina Boyarchenko},
Journal journal = {Journal of Monetary Economics},
Year year = {2012},
Note note = {Carnegie-NYU-Rochester Conference Series on Public Policy - Robust Macroeconomic Policy at Carnegie Mellon University on November 11-12, 2011},
Number number = {5},
Pages pages = {493 - 507},
Volume volume = {59},
Abstract abstract = {Faced with doubts about the quality of information and the quality of modeling techniques, ambiguity-averse agents assign higher probabilities to lower utility states, leading to higher CDS premia and lower equity prices. Using data on financial institutions, I find that the sudden increases in credit spreads during the recent crisis can be explained by changes in the amount of ambiguity faced by market participants and changes in how the total amount of ambiguity was distributed between ambiguity about information quality and ambiguity about model quality.},
Doi doi = {10.1016/j.jmoneco.2012.04.002},
ISSN issn = {0304-3932},
Timestamp timestamp = {2012.09.27},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0304393212000530} {http://www.sciencedirect.com/science/article/pii/S0304393212000530},
}
@Article{Boz2011,
Title = {Emerging market business cycles : Learning about the trend},
Author = {Boz, Emine and Daude, Christian and Durdu, C Bora},
Journal = {Journal of Monetary Economics},
Year = {2011},
Number = {6-8},
Pages = {616--631},
Volume = {58},
Doi @Article{Boz2011,
title = {{Emerging market business cycles : Learning about the trend}},
author = {Boz, Emine and Daude, Christian and Durdu, C Bora},
journal = {Journal of Monetary Economics},
year = {2011},
number = {6-8},
pages = {616--631},
volume = {58},
doi = {10.1016/j.jmoneco.2011.11.003},
ISSN issn = {0304-3932},
Publisher publisher = {Elsevier},
Url url =
{http://dx.doi.org/10.1016/j.jmoneco.2011.11.003} {http://dx.doi.org/10.1016/j.jmoneco.2011.11.003},
}
@Article{Cagetti2002,
Title = {Robustness and Pricing with Uncertain Growth.},
Author = {Cagetti, Marco and Hansen, Lars Peter and Sargent, Thomas and Williams, Noah},
Journal = {Review of Financial Studies},
Year = {2002},
Number = {2},
Pages = {363 - 404},
Volume = {15},
Abstract @Article{Cagetti2002,
title = {{Robustness and Pricing with Uncertain Growth.}},
author = {Cagetti, Marco and Hansen, Lars Peter and Sargent, Thomas and Williams, Noah},
journal = {Review of Financial Studies},
year = {2002},
number = {2},
pages = {363 - 404},
volume = {15},
abstract = {We study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large shocks and continuous small shocks. An investor observes movements in the technology level but cannot perfectly distinguish their sources. Instead the investor solves a signal extraction problem. We depart from most of the macroeconomics and finance literature by presuming that the investor treats the specification of technology evolution as an approximation. To promote a decision rule that is robust to model misspecification, an investor acts as if a malevolent player threatens to perturb the actual data-generating process relative to his approximating model. We study how a concern about robustness alters asset prices. We show that the dynamic evolution of the risk-return trade-off is dominated by movements in the growth-state probabilities and that the evolution of the dividend-price
ratio },
ISSN ratio},
issn = {08939454},
Keywords keywords = {MACROECONOMICS, PRICES, ECONOMIC development -- Mathematical models, ECONOMIC models, FINANCE literature, FINANCE},
Url url =
{http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true\&db=bth\&AN=11934821\&site=ehost-live\&scope=site} {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true\&db=bth\&AN=11934821\&site=ehost-live\&scope=site},
}
@Article{Campbell1994,
Title = {Inspecting the mechanism: An analytical approach to the stochastic growth model},
Author = {John Y. Campbell},
Journal = {Journal of Monetary Economics},
Year = {1994},
Number = {3},
Pages = {463 - 506},
Volume = {33},
Abstract @Article{Campbell1994,
title = {{Inspecting the mechanism: An analytical approach to the stochastic growth model}},
author = {John Y. Campbell},
journal = {Journal of Monetary Economics},
year = {1994},
number = {3},
pages = {463 - 506},
volume = {33},
abstract = {This paper argues that a clear understanding of the stochastic growth model can best be achieved by working out an approximate analytical solution. The proposed solution method replaces the true budget constraints and Euler equations of economic agents with loglinear approximations. The model then becomes a system of loglinear expectational difference equations, which can be solved by the method of undetermined coefficients. The paper uses this technique to study shocks to techno- logy and shocks to government spending financed by lump-sum or distortionary taxation. It emphasizes that the persistence of shocks is an important determinant of their macroeconomic effects.},
Doi doi = {10.1016/0304-3932(94)90040-X},
ISSN issn = {0304-3932},
Keywords keywords = {Stochastic growth model},
Url url =
{http://www.sciencedirect.com/science/article/pii/030439329490040X} {http://www.sciencedirect.com/science/article/pii/030439329490040X},
}
@Article{Canova2010a,
Title title =
{Bayesian {{Bayesian Methods for DSGE Models Fabio Canova ICREA-UPF, CREI, CREMeD, AMeN and CEPR March
2010},
Author 2010}},
author = {Canova, Fabio},
Journal journal = {Journal of Business},
Year year = {2010},
Number number =
{March} {March},
}
@Article{Carroll1994,
Title = {Saving and growth: a reinterpretation},
Author = {Christopher D. Carroll and David N. Weil},
Journal = {Carnegie-Rochester Conference Series on Public Policy},
Year = {1994},
Number = {0},
Pages = {133 - 192},
Volume = {40},
Abstract @Article{Carroll1994,
title = {{Saving and growth: a reinterpretation}},
author = {Christopher D. Carroll and David N. Weil},
journal = {Carnegie-Rochester Conference Series on Public Policy},
year = {1994},
number = {0},
pages = {133 - 192},
volume = {40},
abstract = {We examine the relationship between income growth and saving using both cross-country and household data. At the aggregate level, we find that growth Granger causes saving, but saving does not Granger cause growth. Using household data, we find that households with predictably higher income growth save more than households with predictably low growth. We argue that standard permanent income models of consumption cannot explain these findings, but a model of consumption with habit formation may. The positive effect of growth on saving implies that previous estimates of the effect of saving on growth may be overstated.},
Doi doi = {10.1016/0167-2231(94)90006-X},
ISSN issn = {0167-2231},
Url url =
{http://www.sciencedirect.com/science/article/pii/016722319490006X} {http://www.sciencedirect.com/science/article/pii/016722319490006X},
}
@Article{Carvalho2010,
Title title =
{Particle {{Particle learning and
smoothing},
Author smoothing}},
author = {Carvalho, C M and Johannes, M and Lopes, H F and Polson, N},
Journal journal = {Statistical Science},
Year year = {2010},
Pages pages = {88--106},
Volume volume =
{25} {25},
}
@Article{Cogley200913,
Title = {Is the market price of risk infinite?},
Author = {Timothy Cogley},
Journal = {Economics Letters},
Year = {2009},
Number = {1},
Pages = {13 - 16},
Volume = {102},
Doi @Article{Cogley200913,
title = {{Is the market price of risk infinite?}},
author = {Timothy Cogley},
journal = {Economics Letters},
year = {2009},
number = {1},
pages = {13 - 16},
volume = {102},
doi = {10.1016/j.econlet.2008.10.002},
ISSN issn = {0165-1765},
Keywords keywords = {Market price of risk},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165176508002772} {http://www.sciencedirect.com/science/article/pii/S0165176508002772},
}
@Article{Cogley2005,
Title title =
{Bayesian {{Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary
system},
Author system}},
author = {Timothy Cogley and Sergei Morozov and Thomas J. Sargent},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2005},
Note note = {Expectations, learning, and monetary policy Expectations, learning, and monetary policy},
Number number = {11},
Pages pages = {1893 - 1925},
Volume volume = {29},
Abstract abstract = {We estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for designing and evaluating monetary policy, including local approximations to the mean, persistence, and volatility of inflation. We present diverse sources of uncertainty that impinge on the posterior predictive density for inflation, including model uncertainty, policy drift, structural shifts and other shocks. We use a recently developed minimum entropy method to bring outside information to bear on inflation forecasts. We compare our predictive densities with the Bank of England's fan charts.},
Doi doi = {10.1016/j.jedc.2005.06.005},
ISSN issn = {0165-1889},
Keywords keywords = {Bayesian analysis},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188905001090} {http://www.sciencedirect.com/science/article/pii/S0165188905001090},
}
@Article{Cogley2008,
Title title =
{The {{The market price of risk and the equity premium: A legacy of the Great
Depression?},
Author Depression?}},
author = {Timothy Cogley and Thomas J. Sargent},
Journal journal = {Journal of Monetary Economics},
Year year = {2008},
Number number = {3},
Pages pages = {454 - 476},
Volume volume = {55},
Abstract abstract = {By positing learning and a pessimistic initial prior, we build a model that disconnects a representative consumer's subjective attitudes toward risk from the high price of risk that a rational-expectations econometrician would deduce from financial market data. We follow Friedman and Schwartz [1963. A Monetary History of the United States, 1857–1960. Princeton University Press, Princeton, NJ] in hypothesizing that the Great Depression heightened fears of economic instability. We use a robustness calculation to elicit a pessimistic prior for a representative consumer and let him update beliefs via Bayes' law. Learning eventually erases pessimism, but while it persists, pessimism contributes a volatile multiplicative component to the stochastic discount factor that a rational-expectation econometrician would detect. With sufficient initial pessimism, the model generates substantial values for the market price of risk and equity premium and predicts high Sharpe ratios and forecastable excess stock returns.},
Doi doi = {10.1016/j.jmoneco.2008.01.006},
ISSN issn = {0304-3932},
Keywords keywords = {Asset pricing},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0304393208000111} {http://www.sciencedirect.com/science/article/pii/S0304393208000111},
}
@Article{Cogley2005a,
Title title =
{Drifts {{Drifts and volatilities: monetary policies and outcomes in the post WWII
US},
Author US}},
author = {Timothy Cogley and Thomas J. Sargent},
Journal journal = {Review of Economic Dynamics},
Year year = {2005},
Note note = {Monetary Policy and Learning},
Number number = {2},
Pages pages = {262 - 302},
Volume volume = {8},
Abstract abstract = {For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are pertinent for designing and evaluating monetary policy. These include measures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and 'activism coefficients' for monetary policy rules. Our posteriors imply substantial variation of all of these objects for post WWII US data. After adjusting for changes in volatility, persistence of inflation increases during the 1970s, then falls in the 1980s and 1990s. Innovation variances change systematically, being substantially larger in the late 1970s than during other times. Measures of uncertainty about core inflation and the degree of persistence covary positively. We use our posterior distributions to evaluate the power of several tests that have been used to test the null hypothesis of time-invariance of autoregressive coefficients of VARs against the alternative of time-varying coefficients. Except for one, we find that those tests have low power against the form of time variation captured by our model.},
Doi doi = {10.1016/j.red.2004.10.009},
ISSN issn = {1094-2025},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202505000049} {http://www.sciencedirect.com/science/article/pii/S1094202505000049},
}
@Article{Cogley2005b,
Title title =
{The {{The conquest of US inflation: Learning and robustness to model
uncertainty},
Author uncertainty}},
author = {Timothy Cogley and Thomas J. Sargent},
Journal journal = {Review of Economic Dynamics},
Year year = {2005},
Note note = {Monetary Policy and Learning},
Number number = {2},
Pages pages = {528 - 563},
Volume volume = {8},
Abstract abstract = {Previous studies have interpreted the rise and fall of US inflation after World War II in terms of the Fed's changing views about the natural rate hypothesis but have left an important question unanswered. Why was the Fed so slow to implement the low-inflation policy recommended by a natural rate model even after economists had developed statistical evidence strongly in its favor? Our answer features model uncertainty. Each period a central bank sets the systematic part of the inflation rate in light of updated probabilities that it assigns to three competing models of the Phillips curve. Cautious behavior induced by model uncertainty can explain why the central bank presided over the inflation of the 1970s even after the data had convinced it to place much the highest probability on the natural rate model.},
Doi doi = {10.1016/j.red.2005.02.001},
ISSN issn = {1094-2025},
Keywords keywords = {Natural unemployement rate},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202505000177} {http://www.sciencedirect.com/science/article/pii/S1094202505000177},
}
@Article{Collard2009,
Title title =
{Technical {{Technical Appendix : Imperfect information and the business
cycle},
Author cycle}},
author = {Collard, Fabrice and Dellas, Harris and Smets, Frank},
Journal journal = {Baseline},
Year year = {2009},
Number number = {March},
Pages pages =
{1--27} {1--27},
}
@Article{Collard2001,
Title title =
{Accuracy {{Accuracy of Stochastic Perturbation Methods: The Case of Asset Pricing
Models},
Author Models}},
author = {Collard, Fabrice and Juillard, Michel},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2001},
Pages pages = {979--999},
Volume volume =
{25} {25},
}
@Article{Crucini2011,
Title title =
{What {{What are the driving forces of international business
cycles?},
Author cycles?}},
author = {Mario J. Crucini and M. Ayhan Kose and Christopher Otrok},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {156 - 175},
Volume volume = {14},
Abstract abstract = {We examine the driving forces of G-7 business cycles. We decompose national business cycles into common and nation-specific components using a dynamic factor model. We also do this for driving variables found in business cycle models: productivity; measures of fiscal and monetary policy; the terms of trade and oil prices. We find a large common factor in oil prices, productivity, and the terms of trade. Productivity is the main driving force, with other drivers isolated to particular nations or sub-periods. Along these lines, we document shifts in the correlation of the common component of each driver with the overall G-7 cycle.},
Doi doi = {10.1016/j.red.2010.09.001},
ISSN issn = {1094-2025},
Keywords keywords = {International business cycles},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000487} {http://www.sciencedirect.com/science/article/pii/S1094202510000487},
}
@Article{Cunningham2007,
Title title =
{A {{A state space approach to extracting the signal from uncertain data A state space approach to extracting the signal from uncertain
data},
Author data}},
author = {Cunningham, Alastair and Eklund, Jana and Jeffery, Christopher and Kapetanios, George and Labhard, Vincent},
Year year = {2007},
Number number =
{336} {336},
}
@Article{Edge2007,
Title = {Learning and shifts in long-run productivity growth},
Author = {Edge, R.M. and Laubach, T. and Williams, J.C.},
Journal = {Journal of Monetary Economics},
Year = {2007},
Number = {8},
Pages = {2421--2438},
Volume = {54},
Publisher @Article{Edge2007,
title = {{Learning and shifts in long-run productivity growth}},
author = {Edge, R.M. and Laubach, T. and Williams, J.C.},
journal = {Journal of Monetary Economics},
year = {2007},
number = {8},
pages = {2421--2438},
volume = {54},
publisher = {Elsevier},
Url url =
{http://linkinghub.elsevier.com/retrieve/pii/S0304393207000037} {http://linkinghub.elsevier.com/retrieve/pii/S0304393207000037},
}
@Article{Eusepi2011,
Title = {Expectations, Learning, and Business Cycle Fluctuations},
Author = {Eusepi, Stefano and Preston, Bruce},
Journal = {American Economic Review},
Year = {2011},
Month = {October},
Number = {6},
Pages = {2844-72},
Volume = {101},
Doi @Article{Eusepi2011,
title = {{Expectations, Learning, and Business Cycle Fluctuations}},
author = {Eusepi, Stefano and Preston, Bruce},
journal = {American Economic Review},
year = {2011},
month = {October},
number = {6},
pages = {2844-72},
volume = {101},
doi = {10.1257/aer.101.6.2844},
Timestamp timestamp = {2012.09.27},
Url url =
{http://www.aeaweb.org/articles.php?doi=10.1257/aer.101.6.2844} {http://www.aeaweb.org/articles.php?doi=10.1257/aer.101.6.2844},
}
@InCollection{Evans2008,
Title = {learning in macroeconomics},
Author = {Evans, George W. and Honkapohja, Seppo},
Booktitle = {The New Palgrave Dictionary of Economics},
Publisher = {Palgrave Macmillan},
Year = {2008},
Address = {Basingstoke},
Editor = {Durlauf, Steven N. and Blume, Lawrence E.},
Timestamp @InCollection{Evans2008,
title =
{2012.10.04} {{learning in macroeconomics}},
author = {Evans, George W. and Honkapohja, Seppo},
booktitle = {The New Palgrave Dictionary of Economics},
publisher = {Palgrave Macmillan},
year = {2008},
address = {Basingstoke},
editor = {Durlauf, Steven N. and Blume, Lawrence E.},
timestamp = {2012.10.04},
}
@Article{Fearnhead2010,
Title title =
{Particle {{Particle Learning for Sequential Bayesian Computation:
Rejoinder},
Author Rejoinder}},
author = {Fearnhead, Paul},
Journal journal = {Learning},
Year year = {2010},
Pages pages =
{1--9} {1--9},
}
@Article{Fisher2003,
Title = {Technology Shocks Matter},
Author = {Fisher, Jonas D.M.},
Journal = {SSRN Electronic Journal},
Year = {2003},
Doi @Article{Fisher2003,
title = {{Technology Shocks Matter}},
author = {Fisher, Jonas D.M.},
journal = {SSRN Electronic Journal},
year = {2003},
doi = {10.2139/ssrn.388400},
ISSN issn = {1556-5068},
Url url =
{http://www.ssrn.com/abstract=388400} {http://www.ssrn.com/abstract=388400},
}
@Article{Fisher2006,
Title title =
{The {{The dynamic effects of neutral and investment-specific technology
shocks},
Author shocks}},
author = {Fisher, Jonas D M},
Journal journal = {Journal of Political Economy},
Year year = {2006},
Number number = {3},
Pages pages = {413--451},
Volume volume =
{114} {114},
}
@Article{Geweke2001341,
Title = {A note on some limitations of CRRA utility},
Author = {John Geweke},
Journal = {Economics Letters},
Year = {2001},
Number = {3},
Pages = {341 - 345},
Volume = {71},
Doi @Article{Geweke2001341,
title = {{A note on some limitations of CRRA utility}},
author = {John Geweke},
journal = {Economics Letters},
year = {2001},
number = {3},
pages = {341 - 345},
volume = {71},
doi = {10.1016/S0165-1765(01)00391-3},
ISSN issn = {0165-1765},
Keywords keywords = {Bayesian learning},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165176501003913} {http://www.sciencedirect.com/science/article/pii/S0165176501003913},
}
@Article{Gomme2011,
Title = {Second-order approximation of dynamic models without the use of tensors},
Author = {Gomme, Paul and Klein, Paul},
Journal = {Journal of Economic Dynamics and Control},
Year = {2011},
Number = {4},
Pages = {604--615},
Volume = {35},
Owner @Article{Gomme2011,
title = {{Second-order approximation of dynamic models without the use of tensors}},
author = {Gomme, Paul and Klein, Paul},
journal = {Journal of Economic Dynamics and Control},
year = {2011},
number = {4},
pages = {604--615},
volume = {35},
owner = {ricardomayerb},
Publisher publisher = {Elsevier},
Timestamp timestamp = {2013.09.30},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188910002344} {http://www.sciencedirect.com/science/article/pii/S0165188910002344},
}
@Article{Gourio2012,
Title = {Disaster Risk and Business Cycles},
Author = { Gourio, François},
Journal = {American Economic Review},
Year = {2012},
Month = {September},
Number = {6},
Pages = {2734-66},
Volume = {102},
Doi @Article{Gourio2012,
title =
{10.1257/aer.102.6.2734} {{Disaster Risk and Business Cycles}},
author = {Gourio, François},
journal = {American Economic Review},
year = {2012},
month = {September},
number = {6},
pages = {2734-66},
volume = {102},
doi = {10.1257/aer.102.6.2734},
}
@Article{Greenwood1997a,
Title title =
{Long-Run {{Long-Run Implications of Investment-Specific Technological
Change},
Author Change}},
author = {Greenwood, By Jeremy and Hercowitz, Z V I and Krusell, P E R},
Journal journal = {American Economic Review},
Year year = {1997},
Number number = {3},
Pages pages = {342--362},
Volume volume =
{87} {87},
}
@Article{Greenwood2000a,
Title = {The role of investment-specific technological change in the business cycle},
Author = {Greenwood, Jeremy and Hercowitz, Zvi and Krusell, Per},
Journal = {European Economic Review},
Year = {2000},
Volume = {44},
Keywords @Article{Greenwood2000a,
title = {{The role of investment-specific technological change in the business cycle}},
author = {Greenwood, Jeremy and Hercowitz, Zvi and Krusell, Per},
journal = {European Economic Review},
year = {2000},
volume = {44},
keywords = {business cycles,equipment investment,technological
change} change},
}
@Article{Gunn2011,
Title title =
{News {{News and knowledge
capital},
Author capital}},
author = {Christopher M. Gunn and Alok Johri},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {92 - 101},
Volume volume = {14},
Abstract abstract = {We show that a model with knowledge capital can generate business cycles driven by expectations of future movement in total factor productivity (TFP). These cycles are characterized by a boom in which consumption, investment, output and hours-worked all rise in advance of any movement in TFP. We model knowledge capital as an input into production which is endogenously produced through a learning-by-doing process. When firms receive news of an impending productivity increase, the value of knowledge capital rises, inducing the firm to hire more hours to invest in knowledge capital. The rise in the value of knowledge capital immediately raises the value of the firm, causing an appreciation in share prices, a feature that has empirical support. The increase in output of the firm allows both consumption and investment to rise despite the absence of any contemporaneous productivity shock. If the expected increase in productivity fails to materialize, the model generates a recession as well as a crash in the stock market.},
Doi doi = {10.1016/j.red.2010.07.003},
ISSN issn = {1094-2025},
Keywords keywords = {Expectations-driven business cycles},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000347} {http://www.sciencedirect.com/science/article/pii/S1094202510000347},
}
@Article{Haan2010,
Title title =
{Pruning {{Pruning and Higher-Order Perturbation
Solutions},
Author Solutions}},
author = {Haan, Wouter J Den and Wind, Joris De},
Year year =
{2010} {2010},
}
@Article{Hansen1985309,
Title = {Indivisible labor and the business cycle},
Author = {Gary D. Hansen},
Journal = {Journal of Monetary Economics},
Year = {1985},
Number = {3},
Pages = {309 - 327},
Volume = {16},
Abstract @Article{Hansen1985309,
title = {{Indivisible labor and the business cycle}},
author = {Gary D. Hansen},
journal = {Journal of Monetary Economics},
year = {1985},
number = {3},
pages = {309 - 327},
volume = {16},
abstract = {A growth model with shocks to technology is studied. Labor is indivisible, so all variability in hours worked is due to fluctuations in the number employed. We find that, unlike previous equilibrium models of the business cycle, this economy displays large fluctuations in hours worked and relatively small fluctuations in productivity. This finding is independent of individuals' willingness to substitute leisure across time. This and other findings are the result of studying and comparing summary statistics describing this economy, an economy with divisible labor, and post-war U.S. time series.},
Doi doi = {10.1016/0304-3932(85)90039-X},
ISSN issn = {0304-3932},
Url url =
{http://www.sciencedirect.com/science/article/pii/030439328590039X} {http://www.sciencedirect.com/science/article/pii/030439328590039X},
}
@Article{Hansen2006,
Title title =
{Introduction {{Introduction to model uncertainty and
robustness},
Author robustness}},
author = {Lars Peter Hansen and Pascal Maenhout and Aldo Rustichini and Thomas J. Sargent and Marciano M. Siniscalchi},
Journal journal = {Journal of Economic Theory},
Year year = {2006},
Number number = {1},
Pages pages = {1 - 3},
Volume volume = {128},
Abstract abstract = {This article introduces the symposium on model uncertainty and robustness.},
Doi doi = {10.1016/j.jet.2006.03.009},
ISSN issn = {0022-0531},
Keywords keywords = {Ambiguity},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053106000445} {http://www.sciencedirect.com/science/article/pii/S0022053106000445},
}
@Article{Hansen2010,
Title title =
{Robust {{Robust hidden Markov LQG
problems},
Author problems}},
author = {Lars Peter Hansen and Ricardo Mayer and Thomas Sargent},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2010},
Number number = {10},
Pages pages = {1951 - 1966},
Volume volume = {34},
Abstract abstract = {For linear quadratic Gaussian problems, this paper uses two risk-sensitivity operators defined by Hansen and Sargent (2007b) to construct decision rules that are robust to misspecifications of (1) transition dynamics for state variables and (2) a probability density over hidden states induced by Bayes' law. Duality of risk sensitivity to the multiplier version of min-max expected utility theory of Hansen and Sargent (2001) allows us to compute risk-sensitivity operators by solving two-player zero-sum games. Because the approximating model is a Gaussian probability density over sequences of signals and states, we can exploit a modified certainty equivalence principle to solve four games that differ in continuation value functions and discounting of time t increments to entropy. The different games express different dimensions of concerns about robustness. All four games give rise to time consistent worst-case distributions for observed signals. But in Games I and III, the minimizing players' worst-case densities over hidden states are time inconsistent, while Game IV is an LQG version of a game of Hansen and Sargent (2005) that builds in time consistency. We show how detection error probabilities can be used to calibrate the risk-sensitivity parameters that govern fear of model misspecification in hidden Markov models.},
Doi doi = {10.1016/j.jedc.2010.05.004},
ISSN issn = {0165-1889},
Keywords keywords = {Hidden Markov models},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188910001041} {http://www.sciencedirect.com/science/article/pii/S0165188910001041},
}
@InCollection{Hansen20101097,
Title title =
{Chapter {{Chapter 20 - Wanting Robustness in
Macroeconomics},
Author Macroeconomics}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Publisher publisher = {Elsevier},
Year year = {2010},
Editor editor = {Benjamin M. Friedman and Michael Woodford},
Pages pages = {1097 - 1157},
Series series = {Handbook of Monetary Economics},
Volume volume = {3},
Abstract abstract = {Abstract Robust control theory is a tool for assessing decision rules when a decision maker distrusts either the specification of transition laws or the distribution of hidden state variables or both. Specification doubts inspire the decision maker to want a decision rule to work well for a ∅ of models surrounding his approximating stochastic model. We relate robust control theory to the so-called multiplier and constraint preferences that have been used to express ambiguity aversion. Detection error probabilities can be used to discipline empirically plausible amounts of robustness. We describe applications to asset pricing uncertainty premia and design of robust macroeconomic policies.},
Doi doi = {10.1016/B978-0-444-53454-5.00008-6},
ISSN issn = {1573-4498},
Keywords keywords = {Misspecification},
Url url =
{http://www.sciencedirect.com/science/article/pii/B9780444534545000086} {http://www.sciencedirect.com/science/article/pii/B9780444534545000086},
}
@Article{Hansen2012422,
Title = {Three types of ambiguity},
Author = {Lars Peter Hansen and Thomas J. Sargent},
Journal = {Journal of Monetary Economics},
Year = {2012},
Note = {Carnegie-NYU-Rochester Conference Series on Public Policy - Robust Macroeconomic Policy at Carnegie Mellon University on November 11-12, 2011},
Number = {5},
Pages = {422 - 445},
Volume = {59},
Abstract @Article{Hansen2012422,
title = {{Three types of ambiguity}},
author = {Lars Peter Hansen and Thomas J. Sargent},
journal = {Journal of Monetary Economics},
year = {2012},
note = {Carnegie-NYU-Rochester Conference Series on Public Policy - Robust Macroeconomic Policy at Carnegie Mellon University on November 11-12, 2011},
number = {5},
pages = {422 - 445},
volume = {59},
abstract = {For each of three types of ambiguity, we compute a robust Ramsey plan and an associated worst-case probability model. Ex post, ambiguity of type I implies endogenously distorted homogeneous beliefs, while ambiguities of types II and III imply distorted heterogeneous beliefs. Martingales characterize alternative probability specifications and clarify distinctions among the three types of ambiguity. We use recursive formulations of Ramsey problems to impose local predictability of commitment multipliers directly. To reduce the dimension of the state in a recursive formulation, we transform the commitment multiplier to accommodate the heterogeneous beliefs that arise with ambiguity of types II and III. Our formulations facilitate comparisons of the consequences of these alternative types of ambiguity.},
Doi doi = {10.1016/j.jmoneco.2012.06.003},
ISSN issn = {0304-3932},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0304393212000700} {http://www.sciencedirect.com/science/article/pii/S0304393212000700},
}
@Article{Hansen2011,
Title title =
{Robustness {{Robustness and ambiguity in continuous
time},
Author time}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Economic Theory},
Year year = {2011},
Note note = {Incompleteness and Uncertainty in Economics},
Number number = {3},
Pages pages = {1195 - 1223},
Volume volume = {146},
Abstract abstract = {We use statistical detection theory in a continuous-time environment to provide a new perspective on calibrating a concern about robustness or an aversion to ambiguity. A decision maker repeatedly confronts uncertainty about state transition dynamics and a prior distribution over unobserved states or parameters. Two continuous-time formulations are counterparts of two discrete-time recursive specifications of Hansen and Sargent (2007) [16]. One formulation shares features of the smooth ambiguity model of Klibanoff et al. (2005) and (2009) [24,25]. Here our statistical detection calculations guide how to adjust contributions to entropy coming from hidden states as we take a continuous-time limit.},
Doi doi = {10.1016/j.jet.2011.01.004},
ISSN issn = {0022-0531},
Keywords keywords = {Ambiguity},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053111000159} {http://www.sciencedirect.com/science/article/pii/S0022053111000159},
}
@Article{Hansen2010a,
Title = {Fragile beliefs and the price of uncertainty},
Author = {Hansen, Lars Peter and Sargent, Thomas J},
Journal = {Quantitative Economics},
Year = {2010},
Number = {1},
Pages = {129--162},
Volume = {1},
@Article{Hansen2010a,
title = {{Fragile beliefs and the price of uncertainty}},
author = {Hansen, Lars Peter and Sargent, Thomas J},
journal = {Quantitative Economics},
year = {2010},
number = {1},
pages = {129--162},
volume = {1},
__markedentry = {[ricardomayerb:]},
Publisher publisher = {Wiley Online Library},
Timestamp timestamp = {2014.04.01},
Url url =
{http://onlinelibrary.wiley.com/doi/10.3982/QE9/abstract} {http://onlinelibrary.wiley.com/doi/10.3982/QE9/abstract},
}
@Book{Hansen2008,
Title = {Robustness},
Author = {Hansen, Lars Peter and Sargent, Thomas J},
Publisher = {Princeton university press},
Year = {2008},
@Book{Hansen2008,
title = {{Robustness}},
author = {Hansen, Lars Peter and Sargent, Thomas J},
publisher = {Princeton university press},
year = {2008},
__markedentry = {[ricardomayerb:6]},
Timestamp timestamp =
{2014.04.02} {2014.04.02},
}
@Article{Hansen2007,
Title title =
{Recursive {{Recursive robust estimation and control without
commitment},
Author commitment}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Economic Theory},
Year year = {2007},
Number number = {1},
Pages pages = {1 - 27},
Volume volume = {136},
Abstract abstract = {In a Markov decision problem with hidden state variables, a posterior distribution serves as a state variable and Bayes' law under an approximating model gives its law of motion. A decision maker expresses fear that his model is misspecified by surrounding it with a set of alternatives that are nearby when measured by their expected log likelihood ratios (entropies). Martingales represent alternative models. A decision maker constructs a sequence of robust decision rules by pretending that a sequence of minimizing players choose increments to martingales and distortions to the prior over the hidden state. A risk sensitivity operator induces robustness to perturbations of the approximating model conditioned on the hidden state. Another risk sensitivity operator induces robustness to the prior distribution over the hidden state. We use these operators to extend the approach of Hansen and Sargent [Discounted linear exponential quadratic Gaussian control, IEEE Trans. Automat. Control 40(5) (1995) 968-971] to problems that contain hidden states.},
Doi doi = {10.1016/j.jet.2006.06.010},
ISSN issn = {0022-0531},
Keywords keywords = {Robustness},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053106001736} {http://www.sciencedirect.com/science/article/pii/S0022053106001736},
}
@Article{Hansen2005,
Title title =
{Robust {{Robust estimation and control under
commitment},
Author commitment}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Economic Theory},
Year year = {2005},
Note note = {Learning and Bounded Rationality Learning and Bounded Rationality},
Number number = {2},
Pages pages = {258 - 301},
Volume volume = {124},
Abstract abstract = {In a Markov decision problem with hidden state variables, a decision maker expresses fear that his model is misspecified by surrounding it with a set of alternatives that are nearby as measured by their expected log likelihood ratios (entropies). Sets of martingales represent alternative models. Within a two-player zero-sum game under commitment, a minimizing player chooses a martingale at time 0. Probability distributions that solve distorted filtering problems serve as state variables, much like the posterior in problems without concerns about misspecification. We state conditions under which an equilibrium of the zero-sum game with commitment has a recursive representation that can be cast in terms of two risk-sensitivity operators. We apply our results to a linear quadratic example that makes contact with findings of T. Basar and P. Bernhard [ H ∞ -Optimal Control and Related Minimax Design Problems, second ed., Birkhauser, Basel, 1995] and P. Whittle [Risk-sensitive Optimal Control, Wiley, New York, 1990].},
Doi doi = {10.1016/j.jet.2005.06.006},
ISSN issn = {0022-0531},
Keywords keywords = {Learning},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053105001675} {http://www.sciencedirect.com/science/article/pii/S0022053105001675},
}
@Article{Hansen2003581,
Title title =
{Robust {{Robust control of forward-looking
models},
Author models}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Journal of Monetary Economics},
Year year = {2003},
Note note = {Swiss National Bank/Study Center Gerzensee Conference on Monetary Policy under Incomplete Information},
Number number = {3},
Pages pages = {581 - 604},
Volume volume = {50},
Abstract abstract = {This paper shows how to formulate and compute robust Ramsey (aka Stackelberg) plans for linear models with forward-looking private agents. The leader and the followers share a common approximating model and both have preferences for robust decision rules because both doubt the model. Since their preferences differ, the leader's and followers’ decision rules are fragile to different misspecifications of the approximating model. We define a Stackelberg equilibrium with robust decision makers in which the leader and follower have different worst-case models despite sharing a common approximating model. To compute a Stackelberg equilibrium we formulate a Bellman equation that is associated with an artificial single-agent robust control problem. The artificial Bellman equation contains a description of implementability constraints that include Euler equations that describe the worst-case analysis of the followers. As an example, the paper analyzes a model of a monopoly facing a competitive fringe.},
Doi doi = {10.1016/S0304-3932(03)00026-6},
ISSN issn = {0304-3932},
Keywords keywords = {Forward looking models},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0304393203000266} {http://www.sciencedirect.com/science/article/pii/S0304393203000266},
}
@Article{Hansen2001,
Title title =
{Acknowledging {{Acknowledging Misspecification in Macroeconomic
Theory},
Author Theory}},
author = {Lars Peter Hansen and Thomas J. Sargent},
Journal journal = {Review of Economic Dynamics},
Year year = {2001},
Number number = {3},
Pages pages = {519 - 535},
Volume volume = {4},
Abstract abstract = {We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which private agents and policy makers recognize that models are approximations. We explore two generalizations of rational expectations equilibria. In one of these equilibria, decision-makers use dynamic evolution equations that are imperfect statistical approximations, and in the other misspecification is impossible to detect even from infinite samples of time series data. In the first of these equilibria, decision rules are tailored to be robust to the allowable statistical discrepancies. Using frequency domain methods, we show that robust decision-makers treat model misspecification like time series econometricians.},
Doi doi = {10.1006/redy.2001.0132},
ISSN issn = {1094-2025},
Keywords keywords = {robustness},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202501901322} {http://www.sciencedirect.com/science/article/pii/S1094202501901322},
}
@Article{Hansen_Sargent_Tallarini1999,
Title = {Robust Permanent Income and Pricing.},
Author = {Hansen, Lars Peter and Sargent, Thomas J. and Tallarini Jr., Thomas D.},
Journal = {Review of Economic Studies},
Year = {1999},
Number = {229},
Pages = {873 - 907},
Volume = {66},
Abstract @Article{Hansen_Sargent_Tallarini1999,
title = {{Robust Permanent Income and Pricing.}},
author = {Hansen, Lars Peter and Sargent, Thomas J. and Tallarini Jr., Thomas D.},
journal = {Review of Economic Studies},
year = {1999},
number = {229},
pages = {873 - 907},
volume = {66},
abstract = {This paper proposes a new view of the forces in the political process that cause governments to accumulate debt. The analysis builds on a model of redistributive politics that, contrary to median voter models, does not restrict the set of policies that politicians can propose, I show that deficits occur even in an environment where voters (and periods) are homogeneous. This is an environment where previous political theories of debt would predict budget balance. In the model deficits are a way for candidates to better target promises to voters and are therefore used as tools of redistributive politics. The main contribution of the analysis is to show that the same forces that push candidates to redistribute resources across voters to pursue political advantage are forces that generate budget deficits.},
ISSN issn = {00346527},
Keywords keywords = {INCOME, PROFIT, PRICING, PRICES, PRICE regulation, PUBLIC debts, BALANCE of trade, BUDGET deficits, BUSINESS & politics},
Url url =
{http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true\&db=bth\&AN=2621120\&site=ehost-live\&scope=site} {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true\&db=bth\&AN=2621120\&site=ehost-live\&scope=site},
}
@Article{Hansen2006a,
Title title =
{Robust {{Robust control and model
misspecification},
Author misspecification}},
author = {Lars Peter Hansen and Thomas J. Sargent and Gauhar Turmuhambetova and Noah Williams},
Journal journal = {Journal of Economic Theory},
Year year = {2006},
Number number = {1},
Pages pages = {45 - 90},
Volume volume = {128},
Abstract abstract = {A decision maker fears that data are generated by a statistical perturbation of an approximating model that is either a controlled diffusion or a controlled measure over continuous functions of time. A perturbation is constrained in terms of its relative entropy. Several different two-player zero-sum games that yield robust decision rules are related to one another, to the max–min expected utility theory of Gilboa and Schmeidler [Maxmin expected utility with non-unique prior, J. Math. Econ. 18 (1989) 141–153], and to the recursive risk-sensitivity criterion described in discrete time by Hansen and Sargent [Discounted linear exponential quadratic Gaussian control, IEEE Trans. Automat. Control 40 (5) (1995) 968–971]. To represent perturbed models, we use martingales on the probability space associated with the approximating model. Alternative sequential and nonsequential versions of robust control theory imply identical robust decision rules that are dynamically consistent in a useful sense.},
Doi doi = {10.1016/j.jet.2004.12.006},
ISSN issn = {0022-0531},
Keywords keywords = {Model uncertainty},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0022053105001973} {http://www.sciencedirect.com/science/article/pii/S0022053105001973},
}
@Article{Hardy2006,
Title title =
{Combinatorics {{Combinatorics of Partial
Derivatives},
Author Derivatives}},
author = {Hardy, Michael},
Year year = {2006},
Number number = {2},
Pages pages = {1--13},
Volume volume =
{13} {13},
}
@Article{Jaimovich2009,
Title = {Can News about the Future Drive the Business Cycle?},
Author = {Jaimovich, Nir and Rebelo, Sergio},
Journal = {American Economic Review},
Year = {2009},
Month = {September},
Number = {4},
Pages = {1097-1118},
Volume = {99},
Doi @Article{Jaimovich2009,
title = {{Can News about the Future Drive the Business Cycle?}},
author = {Jaimovich, Nir and Rebelo, Sergio},
journal = {American Economic Review},
year = {2009},
month = {September},
number = {4},
pages = {1097-1118},
volume = {99},
doi = {10.1257/aer.99.4.1097},
Timestamp timestamp = {2012.09.27},
Url url =
{http://www.aeaweb.org/articles.php?doi=10.1257/aer.99.4.1097} {http://www.aeaweb.org/articles.php?doi=10.1257/aer.99.4.1097},
}
@Article{Johannes2003,
Title title =
{Particle {{Particle Learning in Nonlinear Models using Slice
Variables},
Author Variables}},
author = {Johannes, Michael and Polson, Nicholas G and Yae, Seung M},
Journal journal = {Biometrika},
Year year = {2003},
Number number =
{1977} {1977},
}
@Article{TallariniJr2000,
Title = {Risk-sensitive real business cycles},
Author = {Thomas D Tallarini Jr.},
Journal = {Journal of Monetary Economics},
Year = {2000},
Number = {3},
Pages = {507 - 532},
Volume = {45},
Abstract @Article{TallariniJr2000,
title = {{Risk-sensitive real business cycles}},
author = {Thomas D Tallarini Jr.},
journal = {Journal of Monetary Economics},
year = {2000},
number = {3},
pages = {507 - 532},
volume = {45},
abstract = {This paper considers the business cycle, asset pricing, and welfare effects of increased risk aversion, while holding intertemporal substitution preferences constant. I show that increasing risk aversion does not significantly affect the relative variabilities and co-movements of aggregate quantity variables. At the same time, it dramatically improves the model's asset market predictions. The welfare costs of business cycles increase when preference parameters are chosen to match financial data.},
Doi doi = {10.1016/S0304-3932(00)00012-X},
ISSN issn = {0304-3932},
Keywords keywords = {Business cycles},
Url url =
{http://www.sciencedirect.com/science/article/pii/S030439320000012X} {http://www.sciencedirect.com/science/article/pii/S030439320000012X},
}
@Article{Judd2011,
Title title =
{Numerically {{Numerically stable and accurate stochastic simulation approaches for solving dynamic economic
models},
Author models}},
author = {Judd, Kenneth L. and Maliar, Lilia and Maliar, Serguei},
Journal journal = {Quantitative Economics},
Year year = {2011},
Number number = {2},
Pages pages = {173--210},
Volume volume = {2},
Abstract abstract = {We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares approximation methods, we examine a variety of alternatives, including least-squares methods using singular value decomposition and Tikhonov regularization, least-absolute deviations methods, and principal component regression method, all of which are numerically stable and can handle ill-conditioned problems. Second, instead of conventional Monte Carlo integration, we use accurate quadrature and monomial integration. We test our generalized stochastic simulation algorithm (GSSA) in three applications: the standard representative–agent neoclassical growth model, a model with rare disasters, and a multicountry model with hundreds of state variables. GSSA is simple to program, and MATLAB codes are provided.},
Doi doi = {10.3982/QE14},
ISSN issn = {1759-7331},
Keywords keywords = {Stochastic simulation, generalized stochastic simulation algorithm, parameterized expectations algorithm, least absolute deviations, linear programming, regularization},
Publisher publisher = {Blackwell Publishing Ltd},
Url url =
{http://dx.doi.org/10.3982/QE14} {http://dx.doi.org/10.3982/QE14},
}
@Article{Justiniano2011,
Title title =
{Investment {{Investment shocks and the relative price of
investment},
Author investment}},
author = {Alejandro Justiniano and Giorgio E. Primiceri and Andrea Tambalotti},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {102 - 121},
Volume volume = {14},
Abstract abstract = {We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008–2009.},
Doi doi = {10.1016/j.red.2010.08.004},
ISSN issn = {1094-2025},
Keywords keywords = {Business cycles},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000396} {http://www.sciencedirect.com/science/article/pii/S1094202510000396},
}
@Article{Kahn2007,
Title = {Tracking the new economy : Using growth theory to detect changes in trend productivity},
Author = {Kahn, James A and Rich, Robert W},
Journal = {Journal of Monetary Economics},
Year = {2007},
Pages = {1670--1701},
Volume = {54},
Doi @Article{Kahn2007,
title = {{Tracking the new economy : Using growth theory to detect changes in trend productivity}},
author = {Kahn, James A and Rich, Robert W},
journal = {Journal of Monetary Economics},
year = {2007},
pages = {1670--1701},
volume = {54},
doi = {10.1016/j.jmoneco.2006.07.008},
Keywords keywords = {factor model,neoclassical growth model,productivity
growth,regime-switching} growth,regime-switching},
}
@Article{Kendrick2005,
Title = {Stochastic control for economic models : past , present and the paths ahead},
Author = {Kendrick, David A},
Journal = {Computational Economics},
Year = {2005},
Number = {June 2002},
Pages = {3 -- 30},
Volume = {29},
Doi @Article{Kendrick2005,
title = {{Stochastic control for economic models : past , present and the paths ahead}},
author = {Kendrick, David A},
journal = {Computational Economics},
year = {2005},
number = {June 2002},
pages = {3 -- 30},
volume = {29},
doi = {10.1016/j.jedc.2003.02.002},
Keywords keywords = {adaptive control,economic models,feedback,feedback rules,lucas critique,max control,min,parameter uncertainty,quadratic-linear systems,robust control,stochastic
control} control},
}
@Article{King2002appendix,
Title title =
{Production, {{Production, Growth and Business Cycles: Technical
Appendix},
Author Appendix}},
author = {King, RobertG. and Plosser, CharlesI. and Rebelo, SergioT.},
Journal journal = {Computational Economics},
Year year = {2002},
Pages pages = {87-116},
Volume volume = {20},
Doi doi = {10.1023/A:1020529028761},
ISSN issn = {0927-7099},
Issue issue = {1-2},
Keywords keywords = {specifications; steady state; solutions; algorithm; key elements},
Language language = {English},
Publisher publisher = {Kluwer Academic Publishers},
Url url =
{http://dx.doi.org/10.1023/A\%3A1020529028761} {http://dx.doi.org/10.1023/A\%3A1020529028761},
}
@Article{King1988195,
Title = {Production, growth and business cycles: I. The basic neoclassical model},
Author = {Robert G. King and Charles I. Plosser and Sergio T. Rebelo},
Journal = {Journal of Monetary Economics},
Year = {1988},
Number = {2–3},
Pages = {195 - 232},
Volume = {21},
Doi @Article{King1988195,
title = {{Production, growth and business cycles: I. The basic neoclassical model}},
author = {Robert G. King and Charles I. Plosser and Sergio T. Rebelo},
journal = {Journal of Monetary Economics},
year = {1988},
number = {2–3},
pages = {195 - 232},
volume = {21},
doi = {10.1016/0304-3932(88)90030-X},
ISSN issn = {0304-3932},
Url url =
{http://www.sciencedirect.com/science/article/pii/030439328890030X} {http://www.sciencedirect.com/science/article/pii/030439328890030X},
}
@Article{King1998,
Title = {The solution of singular linear difference systems under rational expectations},
Author = {King, Robert G and Watson, Mark W},
Journal = {International Economic Review},
Year = {1998},
Pages = {1015--1026},
Owner @Article{King1998,
title = {{The solution of singular linear difference systems under rational expectations}},
author = {King, Robert G and Watson, Mark W},
journal = {International Economic Review},
year = {1998},
pages = {1015--1026},
owner = {ricardomayerb},
Publisher publisher = {JSTOR},
Timestamp timestamp = {2013.09.30},
Url url =
{http://www.jstor.org/stable/10.2307/2527350} {http://www.jstor.org/stable/10.2307/2527350},
}
@Article{Klein2000,
Title = {Using the generalized Schur form to solve a multivariate linear rational expectations model},
Author = {Klein, Paul},
Journal = {Journal of Economic Dynamics and Control},
Year = {2000},
Number = {10},
Pages = {1405--1423},
Volume = {24},
Owner @Article{Klein2000,
title = {{Using the generalized Schur form to solve a multivariate linear rational expectations model}},
author = {Klein, Paul},
journal = {Journal of Economic Dynamics and Control},
year = {2000},
number = {10},
pages = {1405--1423},
volume = {24},
owner = {ricardomayerb},
Publisher publisher = {Elsevier},
Timestamp timestamp = {2013.09.30},
Url url =
{http://www.sciencedirect.com/science/article/pii/S0165188999000457} {http://www.sciencedirect.com/science/article/pii/S0165188999000457},
}
@Article{Kormilitsina2011,
Title title =
{Oil {{Oil price shocks and the optimality of monetary
policy},
Author policy}},
author = {Anna Kormilitsina},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {199 - 223},
Volume volume = {14},
Abstract abstract = {The observed tightening of interest rates in the aftermath of the post-World War II oil price hikes led some to argue that U.S. monetary policy exacerbated the recessions induced by oil price shocks. This paper provides a critical evaluation of this claim. Within an estimated dynamic stochastic general equilibrium model with the demand for oil, I contrast Ramsey optimal with estimated monetary policy. I find that monetary policy amplified the negative effect of the oil price shock. The optimal response to the shock would have been to raise inflation and interest rates above what had been seen in the past.},
Doi doi = {10.1016/j.red.2010.11.001},
ISSN issn = {1094-2025},
Keywords keywords = {Oil prices},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000566} {http://www.sciencedirect.com/science/article/pii/S1094202510000566},
}
@Article{KydlandPrescott1982,
Title title =
{Time {{Time to Build and Aggregate
Fluctuations},
Author Fluctuations}},
author = {Kydland, Finn E. and Prescott, Edward C.},
Journal journal = {Econometrica},
Year year = {1982},
Number number = {6},
Pages pages = {pp. 1345-1370},
Volume volume = {50},
Abstract abstract = {The equilibrium growth model is modified and used to explain the cyclical variances of a set of economic time series, the covariances between real output and the other series, and the autocovariance of output. The model is fitted to quarterly data for the post-war U.S. economy. Crucial features of the model are the assumption that more than one time period is required for the construction of new productive capital, and the non-time-separable utility function that admits greater intertemporal substitution of leisure. The fit is surprisingly good in light of the model's simplicity and the small number of free parameters.},
Copyright copyright = {Copyright © 1982 The Econometric Society},
ISSN issn = {00129682},
Jstor_articletype jstor_articletype = {research-article},
Jstor_formatteddate jstor_formatteddate = {Nov., 1982},
Language language = {English},
Publisher publisher = {The Econometric Society},
Url url =
{http://www.jstor.org/stable/1913386} {http://www.jstor.org/stable/1913386},
}
@Article{Lettau2003,
Title title =
{Inspecting {{Inspecting The Mechanism: Closed-Form Solutions For Asset Prices In Real Business Cycle
Models*},
Author Models*}},
author = {Lettau, Martin},
Journal journal = {The Economic Journal},
Year year = {2003},
Number number = {489},
Pages pages = {550--575},
Volume volume = {113},
Abstract abstract = {We derive closed-form solutions for asset prices in an RBC economy. The equations are based on a log-linear solution of the RBC model and allow a clearer understanding of the determination of risk premia in models with production. We demonstrate not only why the premium of equity over the risk-free rate is small but also why the premium of equity over a real long-term bond is small and often negative. In particular, risk premia for equity and long real bonds are negative when technology shocks are permanent.},
Doi doi = {10.1111/1468-0297.t01-1-00147},
ISSN issn = {1468-0297},
Publisher publisher = {Blackwell Publishing Ltd},
Timestamp timestamp = {2012.09.28},
Url url =
{http://dx.doi.org/10.1111/1468-0297.t01-1-00147} {http://dx.doi.org/10.1111/1468-0297.t01-1-00147},
}
@Article{Lombardo2007,
Title = {Computing second-order-accurate solutions for rational expectation models using linear solution methods},
Author = {Lombardo, Giovanni and Sutherland, Alan},
Journal = {Control},
Year = {2007},
Pages = {515--530},
Volume = {31},
Doi @Article{Lombardo2007,
title = {{Computing second-order-accurate solutions for rational expectation models using linear solution methods}},
author = {Lombardo, Giovanni and Sutherland, Alan},
journal = {Control},
year = {2007},
pages = {515--530},
volume = {31},
doi = {10.1016/j.jedc.2005.10.004},
Keywords keywords = {expectation models,second-order approximation,solution methods for
rational} rational},
}
@Article{Ma2009,
Title title =
{Higher {{Higher Chain Formula proved by
Combinatorics},
Author Combinatorics}},
author = {Ma, Tsoy-wo},
Year year = {2009},
Pages pages = {1--7},
Volume volume =
{16} {16},
}
@Article{Mandelman2011,
Title title =
{Investment-specific {{Investment-specific technology shocks and international business cycles: An empirical
assessment},
Author assessment}},
author = {Federico S. Mandelman and Pau Rabanal and Juan F. Rubio-Ramirez and Diego Villar},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {136 - 155},
Volume volume = {14},
Doi doi = {10.1016/j.red.2010.08.001},
ISSN issn = {1094-2025},
Keywords keywords = {International business cycles},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000360} {http://www.sciencedirect.com/science/article/pii/S1094202510000360},
}
@Article{Manuelli1988,
Title = {Models of business cycles: A review essay},
Author = {Rodolfo Manuelli and Thomas J. Sargent},
Journal = {Journal of Monetary Economics},
Year = {1988},
Number = {3},
Pages = {523 - 542},
Volume = {22},
Doi @Article{Manuelli1988,
title = {{Models of business cycles: A review essay}},
author = {Rodolfo Manuelli and Thomas J. Sargent},
journal = {Journal of Monetary Economics},
year = {1988},
number = {3},
pages = {523 - 542},
volume = {22},
doi = {10.1016/0304-3932(88)90013-X},
ISSN issn = {0304-3932},
Timestamp timestamp = {2012.10.12},
Url url =
{http://www.sciencedirect.com/science/article/pii/030439328890013X} {http://www.sciencedirect.com/science/article/pii/030439328890013X},
}
@Article{Mertens2011,
Title title =
{Understanding {{Understanding the aggregate effects of anticipated and unanticipated tax policy
shocks},
Author shocks}},
author = {Karel Mertens and Morten O. Ravn},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {27 - 54},
Volume volume = {14},
Abstract abstract = {This paper evaluates the extent to which a DSGE model can account for the impact of tax policy shocks. We estimate the response of macroeconomic aggregates to anticipated and unanticipated tax shocks in the US and find that unanticipated tax cuts have persistent expansionary effects on output, consumption, investment and hours worked. Anticipated tax cuts give rise to contractions in output, investment and hours worked prior to their implementation, while stimulating the economy when implemented. We show that a DSGE model can account quite successfully for these findings. The main features of the model are adjustment costs, consumption durables, variable capacity utilization and habit formation.},
Doi doi = {10.1016/j.red.2010.07.004},
ISSN issn = {1094-2025},
Keywords keywords = {Fiscal policy},
Timestamp timestamp = {2012.09.14},
Url url =
{http://www.sciencedirect.com/science/article/pii/S1094202510000359} {http://www.sciencedirect.com/science/article/pii/S1094202510000359},
}
@Article{Milani2011,
Title = {Expectation Shocks and Learning as Drivers of the Business Cycle},
Author = {Fabio Milani},
Journal = {Economic Journal},
Year = {2011},
Month = {05},
Number = {552},
Pages = {379-401},
Volume = {121},
Abstract @Article{Milani2011,
title = {{Expectation Shocks and Learning as Drivers of the Business Cycle}},
author = {Fabio Milani},
journal = {Economic Journal},
year = {2011},
month = {05},
number = {552},
pages = {379-401},
volume = {121},
abstract = {Psychological factors, market sentiments, and shifts in beliefs are believed by many to play a nontrivial role in inducing and amplifying economic fluctuations. Yet, these forces are rarely considered in macroeconomic models. This paper provides an attempt to evaluate the empirical role of expectational shocks on business cycle fluctuations. The paper relaxes the conventional assumption of rational expectations to exploit observed data on survey and market expectations in the estimation of a benchmark New Keynesian model. The observed expectations are modeled as formed from a near-rational expectation formation mechanism, which assumes that economic agents use a linear perceived law of motion for economic variables that has the same structural form as the model solution under rational expectations and that they need to learn model coefficients over time. In addition to the typical structural demand, supply, and policy disturbances, the model incorporates expectation shocks, which affect the formation of expectations by the private sector. Both the best-fitting learning process and the expectations shocks are identified from the expectations data and from the interaction between expectations and realized data. The expectations shocks capture waves of optimism and pessimism that lead agents to form forecasts that deviate from those implied by their learning model and by the state of the economy. The empirical results uncover a crucial role for these novel expectations shocks as a major driving force of the U.S. business cycle. Expectation shocks regarding future real activity are the main source of economic fluctuations, since they can account for roughly half of business cycle fluctuations.
(This abstract was borrowed from another version of this item.)},
Url url = {http://ideas.repec.org/a/ecj/econjl/v121y2011i552p379-401.html} {http://ideas.repec.org/a/ecj/econjl/v121y2011i552p379-401.html},
}
@Article{Milani20072065,
Title title = {Expectations, {{Expectations, learning and macroeconomic persistence},
Author persistence}},
author = {Fabio Milani},
Journal journal = {Journal of Monetary Economics},
Year year = {2007},
Number number = {7},
Pages pages = {2065 - 2082},
Volume volume = {54},
Abstract abstract = {Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the ‘deep’ parameters of the economy. The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning.},
Doi doi = {10.1016/j.jmoneco.2006.11.007},
ISSN issn = {0304-3932},
Keywords keywords = {Persistence},
Url url = {http://www.sciencedirect.com/science/article/pii/S0304393206002406} {http://www.sciencedirect.com/science/article/pii/S0304393206002406},
}
@Article{Moore2002,
Title title = {Persistent {{Persistent and Transitory Shocks, Learning, and Investment Dynamics},
Author Dynamics}},
author = {Moore, Bartholomew and Schaller, Huntley},
Journal journal = {Journal of Money, Credit and Banking},
Year year = {2002},
Number number = {3},
Pages pages = {pp. 650-677},
Volume volume = {34},
Abstract abstract = {This paper introduces a new approach to understanding investment. The distinctive feature of our approach is that shocks to the economic fundamentals have both persistent and transitory components, and that firms must disentangle the persistent from the transitory shocks. The model generates interesting dynamics. Simulations of the model show that the response of investment to changes in the interest rate can vary widely over time, that the current response of investment depends on the sequence of past shocks, that investment will respond less when the firm is confident about its beliefs and more when a change in economic fundamentals challenges the firm's beliefs, and that investment booms and crashes may occur without any change in the true state of the economy. Simulations of the model also show that it captures many "stylized facts" stylized facts of investment dynamics documented in previous empirical studies.},
Copyright copyright = {Copyright © 2002 Ohio State University Press},
ISSN issn = {00222879},
Jstor_articletype jstor_articletype = {research-article},
Jstor_formatteddate jstor_formatteddate = {Aug., 2002},
Jstor_issuetitle jstor_issuetitle = {Part 1},
Language language = {English},
Publisher publisher = {Ohio State University Press},
Url url = {http://www.jstor.org/stable/3270736} {http://www.jstor.org/stable/3270736},
}
@Article{Mumtaz2011,
Title title = {International {{International comovements, business cycle and inflation: A historical perspective},
Author perspective}},
author = {Haroon Mumtaz and Saverio Simonelli and Paolo Surico},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {176 - 198},
Volume volume = {14},
Abstract abstract = {Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional comovements, however, has increased significantly. Second, the share of inflation variation due to a global factor has become larger since 1985. Third, over most of the post-WWII period, international comovements within regions have accounted for the bulk of fluctuations in business cycle and inflation. Fourth, prices have become significantly less countercyclical during the post-1984 sample, with the largest contribution due to external developments.},
Doi doi = {10.1016/j.red.2010.08.002},
ISSN issn = {1094-2025},
Keywords keywords = {Output growth},
Timestamp timestamp = {2012.09.14},
Url url = {http://www.sciencedirect.com/science/article/pii/S1094202510000372} {http://www.sciencedirect.com/science/article/pii/S1094202510000372},
}
@Article{Muth1961,
Title title = {Rational {{Rational Expectations and the Theory of Price Movements},
Author Movements}},
author = {Muth, John F.},
Journal journal = {Econometrica},
Year year = {1961},
Number number = {3},
Pages pages = {pp. 315-335},
Volume volume = {29},
Abstract abstract = {In order to explain fairly simply how expectations are formed, we advance the hypothesis that they are essentially the same as the predictions of the relevant economic theory. In particular, the hypothesis asserts that the economy generally does not waste information, and that expectations depend specifically on the structure of the entire system. Methods of analysis, which are appropriate under special conditions, are described in the context of an isolated market with a fixed production lag. The interpretative value of the hypothesis is illustrated by introducing commodity speculation into the system.},
Copyright copyright = {Copyright © 1961 The Econometric Society},
ISSN issn = {00129682},
Jstor_articletype jstor_articletype = {research-article},
Jstor_formatteddate jstor_formatteddate = {Jul., 1961},
Language language = {English},
Publisher publisher = {The Econometric Society},
Url url = {http://www.jstor.org/stable/1909635} {http://www.jstor.org/stable/1909635},
}
@Article{Muth1960,
Title title = {Optimal {{Optimal Properties of Exponentially Weighted Forecasts},
Author Forecasts}},
author = {Muth, John F.},
Journal journal = {Journal of the American Statistical Association},
Year year = {1960},
Number number = {290},
Pages pages = {pp. 299-306},
Volume volume = {55},
Abstract abstract = {The exponentially weighted average can be interpreted as the expected value of a time series made up of two kinds of random components: one lasting a single time period (transitory) and the other lasting through all subsequent periods (permanent). Such a time series may, therefore, be regarded as a random walk with "noise" noise super-imposed. It is also shown that, for this series, the best forecast for the time period immediately ahead is the best forecast for any future time period, because both give estimates of the permanent component. The estimate of the permanent component is imperfect, and so the estimate of a regression coefficient is inconsistent in a relation involving the permanent (e.g. consumption as a function of permanent income). Its bias is small, however.},
Copyright copyright = {Copyright © 1960 American Statistical Association},
ISSN issn = {01621459},
Jstor_articletype jstor_articletype = {research-article},
Jstor_formatteddate jstor_formatteddate = {Jun., 1960},
Language language = {English},
Publisher publisher = {American Statistical Association},
Url url = {http://www.jstor.org/stable/2281742} {http://www.jstor.org/stable/2281742},
}
@Article{Nieuwerburgh2006,
Title title = {Learning {{Learning Asymmetries in Real Business Cycles},
Author Cycles}},
author = {Nieuwerburgh, Stijn and Veldkamp, Laura},
Journal journal = {Journal of Monetary Economics, Vol.},
Year year = {2006},
Number number = {4},
Pages pages = {pp753--772},
Volume volume = {53} {53},
}
@Article{Ñíguez2012244,
Title = {On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty},
Author = {Trino-Manuel Ñíguez and Ivan Paya and David Peel and Javier Perote},
Journal = {Economics Letters},
Year = {2012},
Number = {2},
Pages = {244 - 248},
Volume = {115},
Abstract @Article{Ñíguez2012244,
title = {{On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty}},
author = {Trino-Manuel Ñíguez and Ivan Paya and David Peel and Javier Perote},
journal = {Economics Letters},
year = {2012},
number = {2},
pages = {244 - 248},
volume = {115},
abstract = {Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as the existence of expected utility is guaranteed.},
Doi doi = {10.1016/j.econlet.2011.12.049},
ISSN issn = {0165-1765},
Keywords keywords = {Bayesian learning},
Url url = {http://www.sciencedirect.com/science/article/pii/S0165176511005726} {http://www.sciencedirect.com/science/article/pii/S0165176511005726},
}
@Article{Pearlman2009,
Title title = {Partial {{Partial Information Implementation in Dynare},
Author Dynare}},
author = {Pearlman, Joseph},
Journal journal = {October},
Year year = {2009},
Number number = {4} {4},
}
@Article{Pearlman1986,
Title = {Rational expectations models with partial information},
Author = {Pearlman, Joseph and Currie, David and Levine, Paul},
Journal = {Business},
Year = {1986},
Pages = {90--105},
Keywords @Article{Pearlman1986,
title = {{Rational expectations models with partial information}},
author = {Pearlman, Joseph and Currie, David and Levine, Paul},
journal = {Business},
year = {1986},
pages = {90--105},
keywords = {covariance analysis,expectations,in models of rational,information variables,rational expectations models} models},
}
@Article{Petrin2011,
Title title = {The {{The impact of plant-level resource reallocations and technical progress on U.S. macroeconomic growth},
Author growth}},
author = {Amil Petrin and T. Kirk White and Jerome P. Reiter},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {3 - 26},
Volume volume = {14},
Abstract abstract = {We build up from the plant level an aggregated Solow residual by estimating every U.S. manufacturing plant's contribution to the change in aggregate final demand between 1976 and 1996. Our framework uses the Petrin and Levinsohn (2010) definition of aggregate productivity growth, which aggregates plant-level changes to changes in aggregate final demand in the presence of imperfect competition and other distortions/frictions. We decompose these contributions into plant-level resource reallocations and plant-level technical efficiency changes while allowing in the estimation for 459 different production technologies, one for each 4-digit SIC code. On average we find positive aggregate productivity growth of 2.2\% in this sector during this period of declining share in U.S. GDP. We find that aggregate reallocation made a larger contribution to growth than aggregate technical efficiency. Our estimates of the contribution of reallocation range from 1.7 \% to 2.1 \% per year, while our estimates of the average contribution of aggregate technical efficiency growth range from 0.2 \% to 0.6 \% per year. In terms of cyclicality, the aggregate technical efficiency component has a standard deviation that is roughly from 50\% to 100 \% larger than that of aggregate total reallocation, pointing to an important role for technical efficiency in macroeconomic fluctuations. Aggregate reallocation is negative in only 3 of the 20 years of our sample, suggesting that the movement of inputs to more highly valued activities on average plays a stabilizing role in manufacturing growth. Our results have implications for both the theoretical literature on growth and alternative indexes of aggregate productivity growth based only on technical efficiency.},
Doi doi = {10.1016/j.red.2010.09.004},
ISSN issn = {1094-2025},
Keywords keywords = {Macroeconomic fluctuations},
Timestamp timestamp = {2012.09.14},
Url url = {http://www.sciencedirect.com/science/article/pii/S1094202510000517} {http://www.sciencedirect.com/science/article/pii/S1094202510000517},
}
@Article{Polson2008,
Title = {Practical filtering with sequential parameter learning},
Author = {Polson, Nicholas G and Stroud, Jonathan R and M\"{u}ller, Peter},
Journal = {Journal of the Royal Statistical Society. Series B},
Year = {2008},
Number = {2},
Pages = {413--428},
Volume = {70},
Keywords @Article{Polson2008,
title = {{Practical filtering with sequential parameter learning}},
author = {Polson, Nicholas G and Stroud, Jonathan R and M\"{u}ller, Peter},
journal = {Journal of the Royal Statistical Society. Series B},
year = {2008},
number = {2},
pages = {413--428},
volume = {70},
keywords = {filtering,markov chain monte carlo,methods,parameter learning,particle filtering,sequential,spatiotemporal models,state space models} models},
}
@Article{Sargent2005,
Title title = {Impacts {{Impacts of priors on convergence and escapes from Nash inflation},
Author inflation}},
author = {Thomas J. Sargent and Noah Williams},
Journal journal = {Review of Economic Dynamics},
Year year = {2005},
Note note = {Monetary Policy and Learning},
Number number = {2},
Pages pages = {360 - 391},
Volume volume = {8},
Abstract abstract = {Recent papers have analyzed how economies with adaptive agents may converge to and escape from self-confirming equilibria. These papers have imputed to agents a particular prior about drifting coefficients. In the context of a model of monetary policy, this paper analyzes dynamics that govern both convergence and escape under a more general class of priors for the government. We characterize how the shape of the prior influences possible cycles, convergence, and escapes. There are priors for which the E-stability condition is not enough to assure local convergence to a self-confirming equilibrium. Our analysis also isolates the source of differences in the sustainability of Ramsey inflation encountered in the analyses of Sims [Revista de Analisis Economico 3 (1988) 3] and Chung [PhD Thesis, University of Minnesota, 1990], on the one hand, and Cho, Williams, and Sargent [Rev. Econ. Stud. 69 (2002) 1], on the other.},
Doi doi = {10.1016/j.red.2004.10.010},
ISSN issn = {1094-2025},
Keywords keywords = {Self-confirming equilibrium},
Timestamp timestamp = {2012.10.12},
Url url = {http://www.sciencedirect.com/science/article/pii/S1094202505000050} {http://www.sciencedirect.com/science/article/pii/S1094202505000050},
}
@Article{Sbordone2010,
Title = {POLICY ANALYSIS USING DSGE MODELS: AN INTRODUCTION.},
Author = {Sbordone, Argia M. and Tambalotti, Andrea and Rao, Krishna and Walsh, Kieran},
Journal = {Economic Policy Review (19320426)},
Year = {2010},
Number = {2},
Pages = {23 - 43},
Volume = {16},
Abstract @Article{Sbordone2010,
title = {{POLICY ANALYSIS USING DSGE MODELS: AN INTRODUCTION.}},
author = {Sbordone, Argia M. and Tambalotti, Andrea and Rao, Krishna and Walsh, Kieran},
journal = {Economic Policy Review (19320426)},
year = {2010},
number = {2},
pages = {23 - 43},
volume = {16},
abstract = {Many central banks have come to rely on dynamic stochastic general equilibrium, or DSGE, models to inform their economic outlook and to help formulate their policy strategies. But while their use is familiar to policymakers and academics, these models are typically not well known outside these circles. This article introduces the basic structure, logic, and application of the DSGE framework to a broader public by providing an example of its use in monetary policy analysis. The authors present and estimate a simple New Keynesian DSGE model, highlighting the core features that this basic specification shares with more elaborate versions. They then apply the estimated model to study the sources of the sudden increase in inflation that occurred in the first half of 2004. One important lesson derived from this exercise is that the management of expectations can be a more effective tool for stabilizing inflation than actual movements in the policy rate. This result is consistent with the in},
ISSN issn = {19320426},
Keywords keywords = {CENTRAL banks & banking, MONETARY policy, BANKERS, FISCAL policy, POLICY analysis},
Url url = {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true&db=bth&AN=57458835&site=ehost-live&scope=site} {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true&db=bth&AN=57458835&site=ehost-live&scope=site},
}
@Misc{Schmitt-Grohe2010,
Title = {Code and data files for \"Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity\"},
Author = {Stephanie Schmitt-Grohe and Martin Uribe},
HowPublished = {Computer Codes, Review of Economic Dynamics},
Year = {2010},
Abstract @Misc{Schmitt-Grohe2010,
title = {{Code and data files for \"Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity\"}},
author = {Stephanie Schmitt-Grohe and Martin Uribe},
howpublished = {Computer Codes, Review of Economic Dynamics},
year = {2010},
abstract = {Data and programs to replicate results of the article.},
Timestamp timestamp = {2012.09.14},
Url url = {http://ideas.repec.org/c/red/ccodes/09-246.html} {http://ideas.repec.org/c/red/ccodes/09-246.html},
}
@Article{Schmitt-Grohe2011,
Title = {Introduction to the special issue on the sources of business cycles},
Author = {Stephanie Schmitt-Grohé and Martín Uribe},
Journal = {Review of Economic Dynamics},
Year = {2011},
Note = {Special issue: Sources of Business Cycles},
Number = {1},
Pages = {1 - 2},
Volume = {14},
Doi @Article{Schmitt-Grohe2011,
title = {{Introduction to the special issue on the sources of business cycles}},
author = {Stephanie Schmitt-Grohé and Martín Uribe},
journal = {Review of Economic Dynamics},
year = {2011},
note = {Special issue: Sources of Business Cycles},
number = {1},
pages = {1 - 2},
volume = {14},
doi = {10.1016/j.red.2010.12.002},
ISSN issn = {1094-2025},
Timestamp timestamp = {2012.09.14},
Url url = {http://www.sciencedirect.com/science/article/pii/S109420251000061X} {http://www.sciencedirect.com/science/article/pii/S109420251000061X},
}
@Article{Schmitt-Grohe2004,
Title title = {Solving {{Solving dynamic general equilibrium models using a second-order approximation to the policy function},
Author function}},
author = {Stephanie Schmitt-Grohé and Martı́n Uribe},
Journal journal = {Journal of Economic Dynamics and Control},
Year year = {2004},
Number number = {4},
Pages pages = {755 - 775},
Volume volume = {28},
Abstract abstract = {This paper derives a second-order approximation to the solution of a general class of discrete-time rational expectations models. The main theoretical contribution is to show that for any model belonging to that class, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In addition, the paper presents a set of MATLAB programs that implement the proposed second-order approximation method and applies it to a number of model economies.},
Doi doi = {10.1016/S0165-1889(03)00043-5},
ISSN issn = {0165-1889},
Keywords keywords = {Solving dynamic general equilibrium models},
Timestamp timestamp = {2012.09.27},
Url url = {http://www.sciencedirect.com/science/article/pii/S0165188903000435} {http://www.sciencedirect.com/science/article/pii/S0165188903000435},
}
@Article{Schmitt-Grohe2011a,
Title title = {Business {{Business cycles with a common trend in neutral and investment-specific productivity},
Author productivity}},
author = {Stephanie Schmitt-Grohé and Martín Uriben Uribe},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {122 - 135},
Volume volume = {14},
Abstract abstract = {This paper identifies a new source of business-cycle fluctuations. Namely, a common stochastic trend in neutral and investment-specific productivity. We document that in U.S. postwar quarterly data total factor productivity (TFP) and the relative price of investment are cointegrated. We show theoretically that TFP and the relative price of investment are cointegrated if and only if neutral and investment-specific productivity share a common stochastic trend. We econometrically estimate an RBC model augmented with a number of real rigidities and driven by a multitude of shocks. We find that in the context of our estimated model, innovations in the common stochastic trend explain a sizable fraction of the unconditional variances of output, consumption, investment, and hours.},
Doi doi = {10.1016/j.red.2010.07.001},
ISSN issn = {1094-2025},
Keywords keywords = {Sources of business cycles},
Timestamp timestamp = {2012.09.14},
Url url = {http://www.sciencedirect.com/science/article/pii/S1094202510000323} {http://www.sciencedirect.com/science/article/pii/S1094202510000323},
}
@Article{Storvik2002,
Title title = {Particle {{Particle filters in state space models with the presence of unknown static parameters},
Author parameters}},
author = {Storvik, G},
Journal journal = {IEEE Transactions on Signal Processing},
Year year = {2002},
Pages pages = {281--289},
Volume volume = {50} {50},
}
@Article{Vazquez-grande2009,
Title title = {Effects {{Effects of Learning the Long-Run Asset Pricing Model},
Author Model}},
author = {Vazquez-grande, Francisco},
Journal journal = {job market paper},
Year year = {2009} {2009},
}
@Article{Viard1993,
Title = {The productivity slowdown and the savings shortfall: A challenge to the permanent income hypothesis.},
Author = {Viard, Alan D.},
Journal = {Economic Inquiry},
Year = {1993},
Number = {4},
Pages = {549},
Volume = {31},
Abstract @Article{Viard1993,
title = {{The productivity slowdown and the savings shortfall: A challenge to the permanent income hypothesis.}},
author = {Viard, Alan D.},
journal = {Economic Inquiry},
year = {1993},
number = {4},
pages = {549},
volume = {31},
abstract = {Examines the challenge to the permanent income hypothesis posed by the savings shortfall that followed the post-1973 slowdown. Prediction of savings response; Linearized infinite-horizon specification; Percentage growth rates before and after 1973; Forecasted growth after 1973; Actual savings response to productivity slowdown; Other influences on saving.},
ISSN issn = {00952583},
Keywords keywords = {PERMANENT income theory, SAVING & investment},
Url url = {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true&db=a9h&AN=9403086258&site=ehost-live&scope=site} {http://proxy.uchicago.edu/login?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx?direct=true&db=a9h&AN=9403086258&site=ehost-live&scope=site},
}
@Article{Walker2011,
Title title = {Information {{Information flows and news driven business cycles},
Author cycles}},
author = {Todd B. Walker and Eric M. Leeper},
Journal journal = {Review of Economic Dynamics},
Year year = {2011},
Note note = {Special issue: Sources of Business Cycles},
Number number = {1},
Pages pages = {55 - 71},
Volume volume = {14},
Abstract abstract = {How do information flows influence business cycle dynamics in models with anticipated (news shocks) and unanticipated innovations? To address this question, we show how alternative specifications of news affect the equilibrium by deriving the mapping between news shocks and the endogenous variables in a simple analytical model. News shocks are shown to add moving average (MA) components to endogenous variables. We then show how the additional MA components affect equilibrium dynamics. We generalize two popular forms of news processes to demonstrate how information flows impact equilibrium dynamics. To compare these news processes, we establish conditions under which the two processes have identical information content. We find that allowing news shocks to be correlated across time generates hump-shaped impulse response functions and helps mitigate the comovement problem.},
Doi doi = {10.1016/j.red.2010.08.003},
ISSN issn = {1094-2025},
Keywords keywords = {News shocks},
Timestamp timestamp = {2012.09.14},
Url url = {http://www.sciencedirect.com/science/article/pii/S1094202510000384} {http://www.sciencedirect.com/science/article/pii/S1094202510000384},
}
@Article{Weitz2007,
Title = {Subjective Expectations and Asset-Return Puzzles.},
Author = {Weitzman, Martin L.},
Journal = {American Economic Review},
Year = {2007},
Number = {4},
Pages = {1102 - 1130},
Volume = {97},
ISSN @Article{Weitz2007,
title = {{Subjective Expectations and Asset-Return Puzzles.}},
author = {Weitzman, Martin L.},
journal = {American Economic Review},
year = {2007},
number = {4},
pages = {1102 - 1130},
volume = {97},
issn = {00028282},
Keywords keywords = {Expectations; Speculations D840, Asset Pricing; Trading volume; Bond Interest Rates G120},
Url url = {http://proxy.uchicago.edu/login\?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx\?direct=true\&db=eoh\&AN=0927984\&site=ehost-live\&scope=site} {http://proxy.uchicago.edu/login\?url=http://search.ebscohost.com.proxy.uchicago.edu/login.aspx\?direct=true\&db=eoh\&AN=0927984\&site=ehost-live\&scope=site},
}
@Article{Yoon2004219,
Title = {On the existence of expected utility with CRRA under STUR},
Author = {Gawon Yoon},
Journal = {Economics Letters},
Year = {2004},
Number = {2},
Pages = {219 - 224},
Volume = {83},
Doi @Article{Yoon2004219,
title = {{On the existence of expected utility with CRRA under STUR}},
author = {Gawon Yoon},
journal = {Economics Letters},
year = {2004},
number = {2},
pages = {219 - 224},
volume = {83},
doi = {10.1016/j.econlet.2003.09.030},
ISSN issn = {0165-1765},
Keywords keywords = {Expected utility},
Url url = {http://www.sciencedirect.com/science/article/pii/S0165176503003720} {http://www.sciencedirect.com/science/article/pii/S0165176503003720},
}
@Unpublished{Zha2005,
Title = {Bayesian Econometrics of Learning Models (lecture notes for the Dynare learning workshop)},
Author = {Zha, Tao and Reserve, Federal and October, Atlanta},
Year = {2005},
Booktitle @Unpublished{Zha2005,
title = {{Bayesian Econometrics of Learning Models (lecture notes for the Dynare learning workshop)}},
author = {Zha, Tao and Reserve, Federal and October, Atlanta},
year = {2005},
booktitle = {Learning},
Number number = {October} {October},
}
@book{Butler,
doi = {10.5422/fso/9780823225033.001.0001},
url = {http://dx.doi.org/10.5422/fso/9780823225033.001.0001},
publisher = {Fordham University Press},
author = {Judith Butler},
title = {{Giving an Account of Oneself}},
}
