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Gustavo Schwenkler, Questrom School of Business Boston University, dictará charla

Gustavo Schwenkler es Profesor de Finanzas,  Questrom School of Business . Nos visita invitado por el Centro de Economía Aplicada y el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Publicas.  La charla se llevará a cabo el día miércoles 9 de mayo, a las  las 13:00 horas, en Beauchef 851, Piso 4 ( Sala Consejo de Ingeniería Industrial)

Título: “Estimating the Dynamics of Consumption Growth”

Abstract: We study the dynamics of consumption growth in a series of countries over a time span of 200 years. We seek to answer whether long-run risk or disasters are features of models that yield good fit to consumption data. To accomplish this goal, we develop a new methodology for the filtering and estimation of multivariate jump-diffusion processes in the presence of incomplete data and measurement errors. Our methodology is both statistically and computationally efficient, and enables the empirical analysis of previously intractable multidimensional models. Our estimates suggest that small and frequent disasters that arrive at a time-varying rate are a predominant feature of consumption data. Persistent stochastic volatility is also found to be a significant driver of consumption growth, especially in the United States.

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