Identifying long-run risks: a Bayesian mixed-frequency approach

DOI10.3982/ECTA14308zbMATH Open1419.91308OpenAlexW4229721654MaRDI QIDQ4628443FDOQ4628443

Authors: Frank Schorfheide, Dongho Song, Amir Yaron 

Publication date: 13 March 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta14308

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zbMATH Keywords

Bayesian inferencemeasurement errorsstochastic volatilityparticle MCMCasset pricingconsumption dynamicsnonlinear state-space modellong-run risksmixed frequency observations

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cited In (22)

• Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
• The income fluctuation problem and the evolution of wealth
• Monetary policy and long‐term interest rates
• Dynamic programming with value convexity
• Bayesian estimation of long-run risk models using sequential Monte Carlo
• Existence and uniqueness of recursive utilities without boundedness
• Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
• A MIDAS approach to modeling first and second moment dynamics
• Short-run risk, business cycle, and the value premium
• Valuation risk revalued
• Stability of equilibrium asset pricing models: a necessary and sufficient condition
• Detecting identification failure in moment condition models
• A New Approach to Identifying the Real Effects of Uncertainty Shocks
• Term Structures of Inflation Expectations and Real Interest Rates
• Semiparametric estimation of latent variable asset pricing models
• A long-run risks model of asset pricing with fat tails
• Macroeconomic disasters and the equity premium puzzle: are emerging countries riskier?
• Learning, confidence, and option prices
• Interest rate dynamics and commodity prices
• Dynamic programming with state-dependent discounting
• Asset pricing with time preference shocks: existence and uniqueness
• Implications of Return Predictability for Consumption Dynamics and Asset Pricing

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