Relevant bibliographies by topics / Recursive Macroeconomics

Academic literature on the topic 'Recursive Macroeconomics'

Author: Grafiati
Published: 10 December 2022
Last updated: 28 January 2023

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Journal articles on the topic "Recursive Macroeconomics"

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Baum, Christopher F., Stan Hurn, and Jesús Otero. "Testing for time-varying Granger causality." Stata Journal: Promoting communications on statistics and Stata 22, no. 2 (June 2022): 355–78. http://dx.doi.org/10.1177/1536867x221106403.

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The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.
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Berardi, Michele, and Jaqueson K. Galimberti. "SMOOTHING-BASED INITIALIZATION FOR LEARNING-TO-FORECAST ALGORITHMS." Macroeconomic Dynamics 23, no. 3 (June 23, 2017): 1008–23. http://dx.doi.org/10.1017/s1365100517000128.

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Under adaptive learning, recursive algorithms are proposed to represent how agents update their beliefs over time. For applied purposes, these algorithms require initial estimates of agents perceived law of motion. Obtaining appropriate initial estimates can become prohibitive within the usual data availability restrictions of macroeconomics. To circumvent this issue, we propose a new smoothing-based initialization routine that optimizes the use of a training sample of data to obtain initials consistent with the statistical properties of the learning algorithm. Our method is generically formulated to cover different specifications of the learning mechanism, such as the least-squares and the stochastic gradient algorithms. Using simulations, we show that our method is able to speed up the convergence of initial estimates in exchange for a higher computational cost.
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Nymoen, Ragnar. "On the Low Degree of Entropy Implied by the Solutions of Modern Macroeconomic Models." Entropy 24, no. 12 (November 25, 2022): 1728. http://dx.doi.org/10.3390/e24121728.

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The non-causal (“forward-looking”) solution used routinely in academic macroeconomics may represent a violation of a law of entropy, namely that the direction of time is one way (from the past and towards the present), and that the variance of economic processes increases with time. In order to re-establish a degree of compatibility with the law of entropy, so called hybrid forms are required add-ins to DSGE (Dynamic Stochastic General Equilibrium) models. However, the solution that uses hybrid forms is a particular special case of a causal solutions of autoregressive distributed lags, VARs and recursive and simultaneous equations models well known from empirical macro econometrics. Hence, hybrid forms of small scale DSGE models can be analysed and tested against competing model equations, using an econometric encompassing framework.
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Binder, Michael, and M. Hashem Pesaran. "Multivariate Linear Rational Expectations Models." Econometric Theory 13, no. 6 (December 1997): 877–88. http://dx.doi.org/10.1017/s0266466600006307.

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This paper considers the solution of multivariate linear rational expectations models. It is described how all possible classes of solutions (namely, the unique stable solution, multiple stable solutions, and the case where no stable solution exists) of such models can be characterized using the quadratic determinantal equation (QDE) method of Binder and Pesaran (1995, in M.H. Pesaran & M. Wickens [eds.], Handbook of Applied Econometrics: Macroeconomics, pp. 139–187. Oxford: Basil Blackwell). To this end, some further theoretical results regarding the QDE method expanding on previous work are presented. In addition, numerical techniques are discussed allowing reasonably fast determination of the dimension of the solution set of the model under consideration using the QDE method. The paper also proposes a new, fully recursive solution method for models involving lagged dependent variables and current and future expectations. This new method is entirely straightforward to implement, fast, and applicable also to high-dimensional problems possibly involving coefficient matrices with a high degree of singularity.
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Park, Sunghwa, Janghan Kwon, and Taeil Kim. "An Analysis of the Dynamic Relationship between the Global Macroeconomy and Shipping and Shipbuilding Industries." Sustainability 13, no. 24 (December 17, 2021): 13982. http://dx.doi.org/10.3390/su132413982.

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Using time-series data from January 2006 to February 2021, this study analyzed the effect of macroeconomic shocks on the shipping and shipbuilding industries. The Granger causality test, recursive structural vector autoregressive models, impulse response analysis, historical decomposition, and local projections model were used to identify the dynamic relationships between the variables and their dynamic effects, based on the results of the theoretical model and previous research. First, the Granger causality test demonstrated that the macroeconomic variables have causal relations with the shipping and shipbuilding industries. Second, the recursive structural vector autoregressive estimation demonstrated that the direction of the shocks from macroeconomic variables is statistically significantly, consistent with the theoretical model. The same results were found in the recursive structural vector autoregressive model and local projection impulse response analysis. Finally, the historical decomposition identified the main causal variables affecting the shipping and shipbuilding industries by period. These findings can help policymakers, operators of shipping and shipbuilding companies, and investors evaluate and make policy-supporting decisions on industry conditions.
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Bacchiocchi, Emanuele, Efrem Castelnuovo, and Luca Fanelli. "GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES." Macroeconomic Dynamics 22, no. 6 (June 23, 2017): 1613–51. http://dx.doi.org/10.1017/s1365100516000833.

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We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVAR) model for the US post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative break-point, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed.
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Dräger, Lena. "RECURSIVE INATTENTIVENESS WITH HETEROGENEOUS EXPECTATIONS." Macroeconomic Dynamics 20, no. 4 (October 9, 2015): 1073–100. http://dx.doi.org/10.1017/s1365100514000741.

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We model agents' endogenous updating of information sets over time under changing macroeconomic conditions. Building on sticky information models, the degree of inattentiveness is endogenized by allowing agents to choose between a costly full-information predictor and a costless sticky-information predictor. This is modeled as a choice between discrete alternatives under rational inattention. Recursive simulation shows that the dynamic equilibrium paths of aggregate variables are highly persistent and match the moments of U.S. data better than a model with fixed sticky information or with sticky prices, especially with regard to higher moments and the degree of persistence. Predictors are chosen in line with the predictions from rational inattention models, as the aggregate degree of attentiveness increases with rising variance of the forecast variable. Moreover, the model can generate hump-shaped impulse responses of inflation to a monetary policy shock if the degree of inattentiveness is sufficiently high.
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Parmanand, Sanjeev. "The impact of Philippine monetary policy on domestic prices and output: evaluating the country’s transmission channels." Philippine Review of Economics 59, no. 1 (June 30, 2022): 46–76. http://dx.doi.org/10.37907/3erp2202j.

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This paper examines the price and output effects of Philippine monetary policy through its transmission channels from 1996 to 2019 using Structural Vector Autoregression (SVAR) models. Recursive and non-recursive identi!cation strategies are implemented to build a model that represents the small open economy of the Philippines, which is affected by exogenous shocks in oil prices and US interest rates. Impulse response functions are then compared between recursive and non-recursive models to select results that demonstrate consistency with macroeconomic theory and overall statistical signi!cance. The Local Projections method is then applied as a means of verifying the accuracy of the preferred model’s results. Findings show that a contractionary shock to Philippine monetary policy has weak short-term effects on domestic output and prices. These results contribute to the literature by characterizing the strength of transmission channels 17 years after in"ation targeting was adopted as a primary component of Philippine monetary policy.
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Poghosyan, Karen. "A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia." Journal of Central Banking Theory and Practice 5, no. 2 (May 1, 2016): 81–99. http://dx.doi.org/10.1515/jcbtp-2016-0012.

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Abstract We evaluate the forecasting performance of four competing models for short-term macroeconomic forecasting: the traditional VAR, small scale Bayesian VAR, Factor Augmented VAR and Bayesian Factor Augmented VAR models. Using Armenian quarterly actual macroeconomic time series from 1996Q1 – 2014Q4, we estimate parameters of four competing models. Based on the out-of-sample recursive forecast evaluations and using root mean squared error (RMSE) criterion we conclude that small scale Bayesian VAR and Bayesian Factor Augmented VAR models are more suitable for short-term forecasting than traditional unrestricted VAR model.
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SKARE, Marinko. "MACROECONOMIC NOISE REMOVAL ALGORITHM (MARINER)." Technological and Economic Development of Economy 23, no. 3 (May 8, 2017): 549–65. http://dx.doi.org/10.3846/20294913.2017.1312629.

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Standard econometric filters fail to extract explicit trend component from macroeconomic data series. Isolated cycles provide no economic interpretation of the extracted component. Adding new data to the sample (filtering) period results in instability of extracted components. This study proposes a new econometric filtering technique (MARINER) able to overcome known shortcomings in standard econometrics filters such as Hodrick and Prescott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003). MARINER provides a practical tool for policy makers dealing with business cycles. It also provides economic interpretation (new theory) on causes and sources of business cycles elaborating on theories developed by Phillips (1962) and Škare (2010). MARINER decomposes GDP macroeconomic data series in trend (long term) and cycles (medium term) components using three year moving average recursive filtering method. Extracted cycles are defined as deviations from equilibrium GDP path (minimized output gap) caused by poor synchronization between monetary and fiscal policy. MARINER bridge the gap in the literature on measuring and causes of business cycles. MARINER can purpose as foundation for building a new, primer econometric filtering methods.
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Dissertations / Theses on the topic "Recursive Macroeconomics"

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Caldara, Dario. "Essays on Empirical Macroeconomics." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55463.

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This thesis consists of four essays in empirical macroeconomics. What Are the Effects of Fiscal Policy Shocks? A VAR-Based Comparative Analysis The literature using structural vector autoregressions (SVARs) to assess the effects of fiscal policy shocks strongly disagrees on the qualitative and quantitative response of key macroeconomic variables. We find that controlling for differences in specification of the reduced-form model, all identification approaches used in the literature yield similar results regarding the effects of government spending shocks, but diverging results regarding the effects of tax shocks. The Analytics of SVARs. A Unified Framework to Measure Fiscal Multipliers Does fiscal policy stimulate output? SVARs have been used to address this question, but no stylized facts have emerged. I show that different priors about the output elasticities of tax revenue and government expenditures implied by the identification schemes generate a large dispersion in the estimates of tax and spending multipliers. I estimate fiscal multipliers consistent with prior distributions of the elasticities computed by a variety of empirical strategies. I document that in the U.S. spending multipliers are larger than the tax multipliers. Computing DSGE Models with Recursive Preferences and Stochastic Volatility This paper compares solution methods for computing the equilibrium of dynamic stochastic general equilibrium models with recursive preferences and stochastic volatility. The main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Business Cycle Accounting and Misspecified DSGE Models This paper investigates how insights from the literature on business cycle accounting can be used to trace out the implications of missing channels in a baseline estimated dynamic stochastic general equilibrium model used for forecast and policy analysis.
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Kuehn, Lars Alexander. "Essays on macroeconomic risk in financial markets." Thesis, University of British Columbia, 2008. http://hdl.handle.net/2429/2849.

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This thesis contains three essays. In the first essay, I provide new evidence on the failure of the Q theory of investment. The Q theory implies the state-by-state equivalence of stock returns and investment returns. However in the data, I find that investment and stock returns are negatively correlated. I also show that a production economy with time-to-build can explain these empirical facts. When I compute Q theory based investment returns on simulated data of the time-to-build model, they are uncorrelated with simulated stock returns, as in the data. Moreover, the model replicates the empirical negative correlation between stock returns and investment growth which some researchers have interpreted as evidence for irrational markets. In the second essay, I analyze the equilibrium effects of investment commitment on asset prices when the representative consumer has Epstein-Zin utility. Investment commitment captures the idea that long-term investment projects require not only current expenditures but also commitment to future expenditures. The general equilibrium effects of investment commitment and Epstein-Zin preferences generate endogenously time-varying first and second moments of consumption growth and stock returns. As a result, the first and second moments of excess returns are endogenously counter-cyclical, excess returns are predictable, and the equity premium increases by an order of magnitude. This paper also offers novel empirical findings regarding the predictability of returns. In the real and simulated data, the lagged investment rate helps to forecast the mean and volatility of returns. In the third essay, we embed a structural model of credit risk inside a consumption based model, which allows us to price equity and corporate debt in a single framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth depend on the state of the economy which switches randomly, creating intertemporal risk, which agents prefer to resolve quickly because they have Epstein- Zin-Weil preferences. Our model generates co-movement between aggregate stock return volatility and credit spreads, consistent with the data, and potentially resolves the equity risk premium and credit spread puzzles.
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Fausch, Jürg. "Essays on Financial Markets and the Macroeconomy." Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-140151.

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Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. Using a reasonable calibration, the macroeconomic DSGE model is consistent with a number of stylized facts observed in financial markets like the equity premium, a negative real term spread, a positive nominal term spread and the predictability of stock returns, without compromising the model's ability to fit key macroeconomic variables. The interest rate smoothing in the monetary policy rule helps generate a low risk-free rate volatility which has been difficult to achieve for standard real business cycle models where monetary policy is neutral. In an application, I show that the model provides a framework for analyzing monetary policy interventions and the associated effects on asset prices and the real economy. Macroeconomic news and the stock market: Evidence from the eurozone. This paper is an empirical study of excess return behavior in the stock market in the euro area around days when important macroeconomic news about inflation, unemployment or interest rates are scheduled for announcement. I identify state dependence such that equity risk premia on announcement days are significantly higher when the interests rates are in the vicinity of the zero lower bound. Moreover, I provide evidence that for the whole sample period, the average excess returns in the eurozone are only higher on days when FOMC announcements are scheduled for release. However, this result vanishes in a low interest rate regime. Finally, I document that the European stock market does not command a premium for scheduled announcements by the European Central Bank (ECB). The impact of ECB monetary policy surprises on the German stock market. We examine the impact of ECB monetary policy surprises on German excess stock returns and the possible reasons for such a response. First, we conduct an event study to asses the impact of conventional and unconventional monetary policy on stock returns. Second, within the VAR framework of Campbell and Ammer (1993), we decompose excess stock returns into news regarding expected excess returns, future dividends and future real interest rates. We measure conventional monetary policy shocks using futures markets data. Our main findings are that the overall variation in German excess stock returns mainly reflects revisions in expectations about dividends and that the stock market response to monetary policy shocks is dependent on the prevailing interest rate regime. In periods of negative real interest rates, a surprise monetary tightening leads to a decrease in excess stock returns. The channels behind this response are news about higher expected excess returns and lower future dividends.
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Books on the topic "Recursive Macroeconomics"

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J, Sargent Thomas, ed. Recursive macroeconomic theory. 3rd ed. Cambridge, MA: MIT Press, 2012.

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Ljungqvist, Lars. Recursive macroeconomic theory. Cambridge, Mass: MIT Press, 2000.

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J, Sargent Thomas, ed. Recursive macroeconomic theory. 2nd ed. Cambridge, Mass: MIT Press, 2004.

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Chandra, Siddharth. Undecidability in macroeconomics: Preliminary draft. Ithaca, NY: Dept. of Computer Science, Cornell University, 1993.

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Recursive Macroeconomic Theory. The MIT Press, 2018.

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Sargent, Thomas J., and Lars Ljungqvist. Recursive Macroeconomic Theory. MIT Press, 2012.

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Sargent, Thomas J., and Lars Ljungqvist. Recursive Macroeconomic Theory. MIT Press, 2004.

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Sargent, Thomas J., and Lars Ljungqvist. Recursive Macroeconomic Theory. MIT Press, 2012.

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Sargent, Thomas J., and Lars Ljungqvist. Recursive Macroeconomic Theory. MIT Press, 2018.

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Sargent, Thomas J., and Lars Ljungqvist. Recursive Macroeconomic Theory. MIT Press, 2018.

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Book chapters on the topic "Recursive Macroeconomics"

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Golosov, M., A. Tsyvinski, and N. Werquin. "Recursive Contracts and Endogenously Incomplete Markets." In Handbook of Macroeconomics, 725–841. Elsevier, 2016. http://dx.doi.org/10.1016/bs.hesmac.2016.03.007.

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