Carolin Pflueger
Dados Biográficos
| ID | 5849429 |
|---|---|
| NOME | Carolin Pflueger |
| PRENOMES | Carolin |
| SOBRENOME | Pflueger |
| ASSINATURA | PFLUEGER C |
| AFILIAÇÕES | University of British Columbia |
| ORCID | 0000-0002-3666-3178 |
| VERIFICADO | Sim |
| TOTAL DE OBRAS | 2 |
| TOTAL DE CITAÇÕES | 0 |
| TOTAL COMO AUTOR | 2 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 2013 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2019 |
| ÍNDICE H | 0 |
Macroeconomic Drivers of Bond and Equity Risks
Our new model of consumption-based habit formation preferences generates loglinear, homoscedastic macroeconomic dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest rate takes the form of an exactly loglinear consumption Euler equation, commonly assumed in New Keynesian models. Estimating the model separately for 1979-2001 and 2001-2011 explains why the exposure of US Treasury…
A Robust Test for Weak Instruments
We develop a test for weak instruments in linear instrumental variables regression that is robust to heteroscedasticity, autocorrelation, and clustering. Our test statistic is a scaled nonrobust first-stage F statistic. Instruments are considered weak when the two-stage least squares or the limited information maximum likelihood Nagar bias is large relative to a benchmark. We apply our procedures to the estimation of the elasticity of intertempor…
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A Robust Test for Weak Instruments
We develop a test for weak instruments in linear instrumental variables regression that is robust to heteroscedasticity, autocorrelation, and clustering. Our test statistic is a scaled nonrobust first-stage F statistic. Instruments are considered weak when the two-stage least squares or the limited information maximum likelihood Nagar bias is large relative to a benchmark. We apply our procedures to the estimation of the elasticity of intertempor…
Macroeconomic Drivers of Bond and Equity Risks
Our new model of consumption-based habit formation preferences generates loglinear, homoscedastic macroeconomic dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest rate takes the form of an exactly loglinear consumption Euler equation, commonly assumed in New Keynesian models. Estimating the model separately for 1979-2001 and 2001-2011 explains why the exposure of US Treasury…
Econometrics (2 obras) · Economics (2 obras) · Financial Markets and Investment Strategies (2 obras) · Monetary Policy and Economic Impact (2 obras) · Artificial Intelligence (1 obras) · Autocorrelation (1 obras) · Bond (1 obras) · Bond market (1 obras) · Complex Systems and Time Series Analysis (1 obras) · Computer Science (1 obras)