On Measuring the Welfare Cost of Business Cycles

By Christopher Otrok. 2001

239 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1714b38a93cd32ecb8b6a7342c7307e92ea01e10

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In Economics and Econometrics

Citations in the corpus

Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility (2003, background): “Otrok (2001) revisits the welfare cost of fluctuations in a complete business cycle model in which consumption is endogenous for various kinds of preferences.”
Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “If we carry out the procedure with several models, we could compare them by building either likelihood ratios (Rivers and Vuong, 2002) or Bayes factors (Fernández-Villaverde and Rubio-Ramírez, 2004), even if the models are misspecified and nonnested.”
Emissions Cap or Emissions Tax? A Multi-sector Business Cycle Analysis (2016, background): “We follow Otrok (2001) in computing the expected utility by averaging the utilities across the replications.”
Comparing Dynamic Equilibrium Models to Data (2001, methodology): “…Ingram and Whiteman (2000) pioneered the Bayesian estimation of Real Business Cycles models using importance sampling; Landon-Lane (1999) and Otrok (2001) first applied the Metropolis-Hastings algorithm to the estimation problem; while in the area of dynamic equilibrium models comparison…”
Convergence Properties of the Likelihood of Computed Dynamic Models (2005, unknown): “||dyj (vj,t, wj,2,t; γ)|− |dy (vj,t, wj,2,t; γ)|| ≤ n!nΨn−1 2 Ψ1δ, (32)”
An estimated dynamic stochastic general equilibrium model of the euro area. NBB Working Paper Nr. 35 (2002, unknown): “Recent examples of such a Bayesian approach are Otrok (2001), Fernandez-Villaverde and Rubio-Ramirez (2001), and Schorfheide (2000). allows for proper speci cation testing and forecasting.”