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All Blog Posts Tagged 'ASYMPTOTIX' (2)

DSGE Model-Based Forecasting of Non-modelled Variables

DSGE Model-Based Forecasting of Non-modelled Variables



Frank Schorfheide

Keith Sill

Maxym Kryshko



University of Pennsylvania and Federal Reserve Board of Pennsylvania



ABSTRACT



This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to…

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Added by John A Morrison on April 28, 2009 at 4:00am — No Comments

European Central Bank WORKING PAPER SERIES LIQUIDITY RISK PREMIA IN UNSECURED INTERBANK MONEY MARKETS

LIQUIDITY RISK PREMIA IN UNSECURED INTERBANK MONEY MARKETS



by Jens Eisenschmidt & and Jens Tapking



http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1025.pdf





The model (presented in this paper) provides a simple explanation for the rise of interest rates in unsecured interbank term money markets in the wake of the financial market turmoil that started in August 2007. It can explain two… Continue

Added by John A Morrison on April 9, 2009 at 4:44am — No Comments

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