Incorporating volatility updating into the historical simulation

Incorporating volatility updating into the historical simulation

When applicable, we document our construction methods in comparison to other existing approaches. First, we provide a core of macroeconomic time series usable for systematic research on China.Second, we document, through various empirical methods, the robust findings about striking patterns of trend and cycle.We show that, in contrast to Williams(2003), the differences are driven mainly by the lack of the wealth effect and the strengthening of the intertemporal substitution effect, not by escapes.

We build a theoretical framework to derive the above testable hypotheses and explore implications of the interaction between monetary and regulatory policies.

We argue that the labor channel, combined with the standard credit channel, provides a strong transmission mechanism that can deliver a potential solution to the Shimer (2005) puzzle. Second, a shock that moves land prices also generates the observed large volatility of unemployment..

Abstract We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy.

Our estimates also allow us to infer the deficit adjustments that seem to have permanently stabilized inflation processes.

here Abstract We use a Bayesian Markov Chain Monte Carlo algorithm jointly to estimate the parameters of a `true' data generating mechanism and those of a sequence of approximating models that a monetary authority uses to guide its decisions.

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Second, we utilize the unique micro banking data to identify and support the model's key mechanism.

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