A Generalized Volatility Bound for Dynamic Economies (2003)
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We develop a generalization of the Hansen-Jagannathan (1991) volatility bound that (i) version of the bound. This generalization enables us to judge whether models match important aspects of the data...
International Business Cycles: World, Region, (2003)
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We use recent statistical tests, based on a 'distance' between the model and the Hansen- Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models with time-separable...
International Business Cycles: World, Region, and Country-Specific Factors (1999)
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
: The paper investigates the common dynamic properties of business cycle fluctuations across countries, regions and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa (1999)
Christopher Otrok, Charles H. Whiteman
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
Understanding the Evolution of World Business Cycles
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
This paper studies the changes in world business cycles during 1960-2003. We employ a Bayesian dynamic latent factor model to estimate common and country-specific components in the main macroeconomic...
Forecasting the effects of reduced defense spending
Peter Ireland, Christopher Otrok
Forecasts from a vector autoregressive model indicate that the substantial cuts in defense spending proposed by the Bush Administration in 1991 are likely to reduce GNP in both the short run and the...
Gauss programs for On Measuring the Welfare Costs of Business Cycles
Gauss programs to replicate results of "On Measuring the Welfare Cost of Business Cycles", Journal of Monetary Economics, February 2001, Vol 47:61-92
Monetary policy and the house price boom across U.S. states
Marco Del Negro, Christopher Otrok
The authors use a dynamic factor model estimated via Bayesian methods to disentangle the relative importance of the common component in the Office of Federal Housing Enterprise Oversight’s house...
Spectral Welfare Cost Functions.
If preferences are not time-separable, economic agents care not only about the magnitude of fluctuations in consumption but also about the persistence and other temporal characteristics of those...
The Cyclicality of Real Wages and Wage Differentials: A Dynamic Factor Analysis
Otrok, Christopher, Pourpourides, Panayiotis M.
Using longitudinal microdata we implement a Bayesian dynamic latent factor model to analyze the cyclical properties of real wages. Contrary to previous econometric models our model does not impose an...
Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation
Otrok, Christopher, Ravikumar, B., Whiteman, Charles H.
We conduct Monte Carlo experiments to examine whether the Hansen and Jagannathan (1991) bound is a useful device for evaluating asset pricing models. Specifically, we use recently developed...
International Business Cycles: World, Region, and Country-Specific Factors
M. Ayhan Kose, Christopher Otrok, Charles H. Whiteman
The paper investigates the common dynamic properties of business-cycle fluctuations across countries, regions, and the world. We employ a Bayesian dynamic latent factor model to estimate common...
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa.
Otrok, Christopher, Whiteman, Charles H
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
Global Business Cycles: Convergence or Decoupling?
Kose, M. Ayhan, Otrok, Christopher, Prasad, Eswar
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups – industrial countries,...
On Measuring the Welfare Cost of Business Cycles
Lucas (1987) argues that the gain from eliminating aggregate fluctuations is trivial. Following Lucas, a number of researchers have altered assumptions on preferences and found that the gain from...
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte Carlo investigation
Christopher Otrok, B. Ravikumar, Charles H. Whiteman
We use recent statistical tests, based on a 'distance' between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models with time-separable...
Baynesian Leading Indicators: Measuring and Predicting Economic Conditions
Christopher Otrok, Charles H. Whiteman
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by...
M2 and monetary policy: a critical review of the recent debate
Michael Dotsey, Christopher Otrok
Recently an intense debate has focused on M2’s usefulness as an intermediate target for monetary policy. A review of two leading contributions to the debate indicates that their empirical results...
Michael Dotsey, Christopher Otrok
Most empirical studies of the rational expectations hypothesis of the term structure find that the data offer little support for the theory. This observation has led some investigators to search for...