Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Alexander Meyer-Gohde"'
Autor:
Martin Kliem, Alexander Meyer-Gohde
Publikováno v:
Journal of Applied Econometrics. 37:477-499
The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates, and term premia
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bb386f77fee525f55a921b6183486886
https://doi.org/10.1002/jae.2872
https://doi.org/10.1002/jae.2872
Autor:
Alexander Meyer-Gohde
Publikováno v:
Journal of Economic Theory. 183:312-343
I provide a model uncertainty foundation to the power certainty equivalent of Epstein-Zin-Weil risk sensitive preferences (EZ), enabling the analysis of these preferences using detection probabilities (DEPs) and worst case models. This completes the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3cb4b8096b57e0505dc8612f527ee4cd
https://doi.org/10.1016/j.jet.2019.06.004
https://doi.org/10.1016/j.jet.2019.06.004
Autor:
Philipp König, Alexander Meyer-Gohde
Publikováno v:
Economics Letters. 156:129-132
We revisit Ball and Romer’s (1990) canonical model of price setting with menu costs that exhibits multiple equilibria. We show that changes to firms’ markups move nominal and real rigidities in opposite directions. Using game-theoretic tools to d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f28136424ece2c89945f42dc06ece2a5
https://doi.org/10.1016/j.econlet.2017.04.019
https://doi.org/10.1016/j.econlet.2017.04.019
Autor:
Hong Lan, Alexander Meyer-Gohde
Publikováno v:
Journal of Economic Dynamics and Control. 45:366-388
We prove that the undetermined Taylor series coefficients of local approximations to the policy function of arbitrary order in a wide class of discrete time dynamic stochastic general equilibrium (DSGE) models are solvable by standard DSGE perturbati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e4fab3aef1b36e162d61aef6bbc4d660
https://doi.org/10.1016/j.jedc.2014.06.005
https://doi.org/10.1016/j.jedc.2014.06.005
Autor:
Hong Lan, Alexander Meyer-Gohde
Publikováno v:
Journal of Economic Dynamics and Control. 37:2643-2667
We propose a nonlinear infinite moving average as an alternative to the standard state space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::225cffd16ecc79d1e9bad3d91742f0c4
https://doi.org/10.1016/j.jedc.2013.06.014
https://doi.org/10.1016/j.jedc.2013.06.014
Autor:
Alexander Meyer-Gohde, Daniel Neuhoff
Publikováno v:
Economics Letters. 133:89-91
We derive recursive solutions to linearized DSGE models with VARMA exogenous driving forces of arbitrary order without inflating the state vector. Representing the solution in the frequency domain, we calculate the likelihood of a sequence of observa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::af1c8a6a7d94ebff9b1ada36ccf20d00
https://doi.org/10.1016/j.econlet.2015.05.024
https://doi.org/10.1016/j.econlet.2015.05.024
Autor:
Alexander Meyer-Gohde, Daniel Neuhoff
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::d00cb5c2e5b942ad48d7b1f00d21be61
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-014.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-014.pdf
Autor:
Alexander Meyer-Gohde
I construct risk-corrected approximations of the policy functions of DSGEmodels around the stochastic steady state and ergodic mean that are linear in the state variables. The resulting approximations are uniformly more accurate than standard linear
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::eddb6ddf9f3fd86cf048670b44f6a438
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2014-034.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2014-034.pdf
Autor:
Hong Lan, Alexander Meyer-Gohde
We derive recursive representations of nonlinear moving average (NLMA) perturbations of DSGE models. As the stability of higher order NLMA representations follows directly from stability at first order, these recursive representations provide rigorou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::2126b37ae929fd369674a43853077b3c
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-024.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2013-024.pdf
Autor:
Hong Lan, Alexander Meyer-Gohde
We prove that standard regularity and saddle stability assumptions for linear approximations are sufficient to guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of arbitrary order to discrete ti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::4da222b3ac2872f5fe1401faf01c68c1
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-015.pdf
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-015.pdf