Peter Haan, Daniel Kemptner, Victoria Prowse
Berlin,
22.06.2016
- 23.06.2016| SOEP 2016: 12th International German Socio-Economic Panel User Conference
Juliane F. Stahl, Pia S. Schober, C. Katharina Spieß
Berlin,
22.06.2016
- 23.06.2016| SOEP 2016: 12th International German Socio-Economic Panel User Conference
Tobias Wolf, Maria Metzing, Richard E. Lucas
Berlin,
22.06.2016
- 23.06.2016| SOEP 2016: 12th International German Socio-Economic Panel User Conference
We assess the relationship between macroeconomic uncertainty and risk aversion and their role for the pricing of sovereign debt. A theoretical model of sovereign default is used to tell apart the effects of risk aversion and uncertainty for bond prices. We find that investors' risk aversion is positively affected by an increase in uncertainty, indicating toward uncertainty constituting a root...
Christoph Grosse Steffen, Maximilian Podstawski
Mailand, Italien,
22.06.2016
- 25.06.2016| IAAE 2016 Annual Conference
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated...
Helmut Lütkepohl, George Milunovich
Mailand, Italien,
22.06.2016
- 25.06.2016| IAAE 2016 Annual Conference
This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive...
Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Mailand, Italien,
22.06.2016
- 25.06.2016| IAAE 2016 Annual Conference
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions in Vector Autoregressive models. I study the case of sign restrictions. The researcher expresses her uncertainty regarding the validity of the restrictions using a prior distribution that covers the parameter space both where the restrictions are satisfied and where they are not satisfied....
We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty unrelated to other macroeconomic shocks. The variations in the price of gold around such events provide a...