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  1. A counterfactual analysis of the effects of climate change on the natural interest rate
    Author: Ojeda Joya, Jair Neftali
    Published: May 2022
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 272
    Inter-library loan:
    No inter-library loan

     

    Climate change will potentially bring about important macroeconomic effects for all countries in the world and especially for emerging economies. I perform a counterfactual analysis to estimate the potential effect of global warming on the natural interest rate using a state-space semi-structural model of inflation and output determination. The model is estimated with quarterly data for Colombia for the period 1994-2019. I simulate gradual warming of 1°C during this period and include its potential effect on GDP growth and inflation according to recent cross-country estimations in the literature. The estimation with counterfactual data shows that the counterfactual natural interest rate decreases more rapidly to reach near 0% at the end of the period. This result is induced by the persistently negative effects of higher temperatures on trend output growth.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/266125
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 10
    Subjects: Natural Interest Rate; Climate Change; Monetary Policy; Kalman filter
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  2. An augmented steady-state Kalman filter to evaluate the likelihood of linear and time
    invariant state-space models
    Author: Huber, Johannes
    Published: [2022]
    Publisher:  Universität Augsburg, Institut für Volkswirtschaftslehre, [Augsburg]

    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 9
    Inter-library loan:
    No inter-library loan

     

    We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on a steady-state Kalman filter (SKF). We show that to apply the ASKF, it is sufficient that the SSM at hand is stationary. We find that the ASKF can significantly reduce the computational burden to evaluate the likelihood of medium- to large-scale SSMs, making it particularly useful to estimate dynamic stochastic general equilibrium (DSGE) models and dynamic factor models. Tests using a medium-scale DSGE model, namely the 2007 version of the Smets and Wouters model, show that the ASKF is up to five times faster than the regular Kalman filter (KF). Other competing algorithms, such as the Chandrasekhar recursion (CR) or a univariate treatment of multivariate observation vectors (UKF), are also outperformed by the ASKF in terms of computational efficiency.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/262020
    Series: Volkswirtschaftliche Diskussionsreihe / Universität Augsburg, Institut für Volkswirtschaftslehre ; Nr. 343 (April 2022)
    Subjects: Kalman filter; DSGE; Bayesian estimation; Maximum-likelihood estimation; Computational techniques
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  3. Estimating the natural rate of unemployment for Ukraine
    Author: Vdovychenko, Artem
    Published: [2022]
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 272
    Inter-library loan:
    No inter-library loan

     

    In this study, we apply the Kalman filter to estimate the set of reduced-form Phillips curves for different types of inflation in Ukraine. Based on the estimated models, we derive a number of series of non-accelerating inflation rate of unemployment (NAIRU) that provide information about the general trajectory and last tendencies of trend unemployment. To better identify the unemployment trend, we include indicators of long-term unemployment and the Beveridge curve shifts as exogenous variables in the NAIRU equation. Both variables demonstrate a significant impact on NAIRU dynamics. Our estimates show that the Phillips curve slope in Ukraine lies in a standard range of -0.3 to -0.5, with high statistical significance. The median value of estimated NAIRUs was at its lowest at 7.2% at the end of 2008, after which it gradually increased to 9.4% by the end of 2021.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/278192
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2022, 21
    Subjects: Phillips curve; unemployment; NAIRU; Kalman filter; Beveridge curve
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen