Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) are of special interest, since they enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when additional exogenous and/or predetermined variables (“X”) are inc...

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental parameter problem when t...

We build a model in which the Fed and market disagree about future aggregate demand. The anticipates monetary policy “mistakes,” affect current demand induce to partially accommodate market’s view. expects implement its view gradually. Announcements that reveal an unexpected change Fed’s belief provide microfoundation for shocks. Tantrum shocks arise when misinterprets overreacts announcement. ...

This paper presents a Markov chain Monte Carlo based estimation procedure for the COGARCH(1,1) model driven by a compound Poisson process. The COGARCH model is a continuous-time analogue to the discrete-time GARCH model and captures many of the stylized facts of financial time series, as has been shown in various papers. Principles for the estimation of point processes by MCMC are adapted to th...

We introduce Large Scale Asset Purchases (LSAPs) in a New-Keynesian DSGE model that features distinct mortgage and corporate loan markets. We show that following a significant disruption of financial intermediation, central-bank purchases of mortgage-backed securities (MBS) are uniformly less effective at easing credit market conditions and stabilizing economic activity than outright purchases ...

We show that decomposing macroeconomic risks across horizon is key to uncover a tight link between risk premia and the real economy. Exposure in four-year returns to innovations in macroeconomic growth and volatility with a matching half-life of over four years is priced in a wide variety of test assets. Shorter-term risks are not priced. Importantly, we show that long-term growth and volatilit...

This paper provides new evidence about the link between firm level total factor productivity (TFP) and stock returns. We estimate firm level TFP and show that it is strongly related to several firm characteristics such as size, the book to market ratio, investment, and hiring rate. Low productivity firms earn a significant premium over high productivity firms in the following year, and this pre...

abstract production is a process by which a productive activity will require some conditions (before and after the start of the production). one of the most important pre-required factors for start up a production unit is suitable business environment. one of the most important factors that must be provided after the start of production -during the production process and the time to market and ...

We propose a model of banks’ exposure to movements in interest rates and their role the transmission monetary shocks. Since bank deposits provide liquidity, higher allow banks earn larger spreads on deposits. Therefore, if risk aversion is than one, optimal dynamic hedging strategy take losses when rise. This can be achieved by traditional maturity-mismatched balance sheet amplifies effects sho...

Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country cross-sectional analyses have employed Bayesian Model Averaging to tackle the issue of model uncertainty. This paper extends that approach to panel data models with countryspecific fixed effects in order to simultaneously address model uncertainty and endogeneity issues. The empirical findi...