Advances in Non-linear Economic Modeling: Theory and by Stefan Mittnik, Willi Semmler (auth.), Frauke Schleer-van

By Stefan Mittnik, Willi Semmler (auth.), Frauke Schleer-van Gellecom (eds.)

In contemporary years nonlinearities have won expanding significance in financial and econometric examine, fairly after the monetary obstacle and the commercial downturn after 2007. This booklet comprises theoretical, computational and empirical papers that include nonlinearities in econometric types and follow them to actual monetary difficulties. It intends to function an thought for researchers to take capability nonlinearities in account. Researchers can be conscious of using linear model-types spuriously to difficulties which come with non-linear positive aspects. it's imperative to take advantage of the proper version variety with a purpose to stay away from biased thoughts for fiscal policy.

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This is preferable in our setting, where we are interested in evaluating the potential effectiveness of policy measures for a particular state of the economy. The MRVAR specification adopted here is given by pi yt = ci + Aij yt−j + εit j =1 if τi−1 < rt−d ≤ τi , εit ∼ NID(0, Σi ), i = 1, . . , M (19) 54 Since we work with historical data since the 1990s it is probably realistic to assume a historical period of large bonus payments, for data and computation on this, see Semmler and Lucas (2009) and Figure 17.

The wholesale firms employ homogenous labor supplied by both households and entrepreneurs as well as capital in order to produce wholesale output. Entrepreneurs’ labor is differentiated from that of the households. All factor markets are perfectly competitive, and each wholesale producer relies on the same Cobb-Douglas technology in capital and in labor from households and entrepreneurs. Aggregate wholesale output can be expressed as follows, yt ≈ at + ψ kt + (1 − ψ − )ht , (8) where yt denotes wholesale output, and at is an aggregate productivity (TFP) shock.

Fluctuations on the value of capital contribute directly to volatility in the leverage of the borrowers. This feature is missing in the Carlstrom and Fuerst (1997) framework which also builds on the idea of ‘costly state verification’, as noted by Gomes et al. (2003). Another difference between the Carlstrom and Fuerst (1997) and Bernanke et al. 3 The model of Bernanke et al. (1999) is populated by households and entrepreneurs, a variety of firm types (capital producers, wholesale producers, and retailers) as well as financial intermediaries (banks) and a central bank entrusted with the conduct of monetary policy.

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