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Mr. Maxym Kryshko

take a dynamic factor model and a data-rich DSGE model to the data using the MCMC algorithms described above and to present the empirical results. We begin by discussing the choice of the prior distributions of dynamic factor model’s parameters. Second, we analyze the estimated empirical factors and the estimates of the DSGE model state variables and explore how well they are able to capture the co-movements in the data. Third, we compare the spaces spanned by the latent empirical factors and by the data-rich DSGE model state variables. Finally, we use the proximity

Ms. Aude Pommeret and Ms. Anne Epaulard

Front Matter Page IMF Institute Authorized for distribution by Roland Daumont Contents I. Introduction II. The French Equity Premium: Is it a Puzzle? A. Measuring the French Equity Premium B. Asset Returns and the Consumption-Saving Trade-Off C. From the Theoretical Model to the Empirical Equity Premium Puzzle III. Recursive Utility and the Equity Premium A. The Theoretical Model B. From the Theoretical Model to the Data IV. Habit Formation and the Equity Premium A. The Theoretical Model B. From the Theoretical Model