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MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS
16 references·0 citing·34 second hop
MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS (2014)MACROPRUDENTIAL POLICY AND FORECASTING US…A model of unconventional monetary policy (2010)A model of unconventional mon…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)House Prices, Borrowing Const…An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Estimated Dynamic Stochast…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Chapter 21 The financial accelerator in a quantitative business cycle framework (1999)Chapter 21 The financial acce…The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The Financial Accelerator in …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Credit Cycles (1997)Credit CyclesComparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyForecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Macroeconomics and Reality (1980)Macroeconomics and RealityThe Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)The Role of Monetary Policy (1995)Estimation and Inference of Impulse Responses by Local Projections (2005)The Impact of Uncertainty Shocks (2009)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Credit Spreads and Business Cycle Fluctuations (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Constraints Risk (2006)Market Liquidity and Funding Liquidity (2008)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy5,868 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1997Credit Cycles5,254 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1998The Financial Accelerator in a Quantitative Business Cycle Framework4,624 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1999Chapter 21 The financial accelerator in a quantitative business cycle framework3,549 cited
  • 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area3,519 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2005House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle2,485 cited
  • 2010A model of unconventional monetary policy2,439 cited

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1997
Testing the equality of prediction mean squared errors
2,103 cited

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