Now showing items 1-10 of 47
Conditional moment restrictions and the role of density information in estimated structural models
While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the ...
(Un)expected Monetary Policy Shocks and Term Premia
We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...
Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals ...
Beta-boosted ensemble for big credit scoring data
In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that ...
Implications of Shadow Bank Regulation for Monetary Policy at the Zero Lower Bounds
Counter to the credit channel of monetary transmission, monetary policy tightening induces a rise in lending by two different types of non-bank financial institutions (NBFI): shadow banks and investment funds. A monetary ...