Browsing Departament d'Economia i Empresa by Author "Nimark, Kristoffer"

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Browsing Departament d'Economia i Empresa by Author "Nimark, Kristoffer"

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  • Nimark, Kristoffer (2009)
    This note describes how the Kalman filter can be modified to allow for the vector of observables to be a function of lagged variables without increasing the dimension of the state vector in the filter. This is useful in ...
  • Nimark, Kristoffer; Jääskelä, Jarkko (2008)
    We estimate an open economy dynamic stochastic general equilibrium (DSGE) model of Australia with a number of shocks, frictions and rigidities, matching a large number of observable time series. We find that both foreign ...
  • Nimark, Kristoffer (2009)
    This paper sets up and estimates a structural model of Australia as a small open economy using Bayesian techniques. Unlike other recent studies, the paper shows that a small microfounded model can capture the open ...
  • Gerard, Hugo; Nimark, Kristoffer (2008)
    This paper combines multivariate density forecasts of output growth, inflation and interest rates from a suite of models. An out-of-sample weighting scheme based on the predictive likelihood as proposed by Eklund and ...
  • Nimark, Kristoffer (2007)
    In models where privately informed agents interact, agents may need to form higher order expectations, i.e. expectations of other agents' expectations. This paper develops a tractable framework for solving and analyzing ...
  • Nimark, Kristoffer (2011)
    The newsworthiness of an event is partly determined by how unusual it is and this paper investigates the business cycle implications of this fact. In particular, we analyze the consequences of information structures in ...
  • Nimark, Kristoffer (2008)
    Monetary policy is conducted in an environment of uncertainty. This paper sets up a model where the central bank uses real-time data from the bond market together with standard macroeconomic indicators to estimate the ...
  • Barillas, Francisco; Nimark, Kristoffer (2012)
    An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the ...
  • Nimark, Kristoffer (2009)
    When long maturity bonds are traded frequently and rational traders have non-nested information sets, speculative behavior arises. Using a term structure model displaying such speculative behavior, this paper demonstrates ...

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