Abstract This paper investigates the determinants of the ability of the yield spread to predict output fluctuations conditional on the short rate. In the model of the paper, this predictive power is contingent on the monetary authority's reaction function. In particular, expectations of monetary...

A closed-form solution for quantity and asset-price movements in a dynamic general equilibrium model with non-state-separable preferences shows that the welfare cost of fluctuations and the equity premium can be large in such a model. But a large welfare loss from cycles does not imply a large...

Abstract In this paper we use a modified neoclassical business cycle model to test two competing explanations of the expansion of the 1990s. The model can have indeterminate, multiple equilibria that give rise to expectation-driven business cycles. We fit into the model series of estimated...

Abstract We examine stability under learning of sunspot equilibria in Real Business Cycle type models with indeterminacies. Our analysis emphasizes the importance of examining alternative representations of sunspot solutions. A general bivariate reduced form contains parameter regions in which...

Summary Following standard real business cycle theory, long run economic growth and short run business cycle fluctuations are attributed to a series of productivity shocks propagated by the economic system which is assumed to be in a rational expectations equilibrium. Characterizing the...

Zusammenfassung Mit dem Beitritt zur Europäischen Währungsunion geben die Mitgliedsländer (und ihre Zentralbanken) die Souveränität in geldpolitischen Fragen an die Europäische Zentralbank ab. Die Geldpolitik scheidet somit als Instrument der nationalen Wirtschaftspolitik aus. Wenn ihr...

Summary This paper analyzes whether the short-run behavior of output, the interest rate, and the price level in the U.S., Germany, France, the U.K., and Italy follows the qualitative predictions of the IS-LM model augmented by a long-run aggregate supply schedule. The use of the structural...

Summary The paper presents stylized facts of Euroland’s business cycle using aggregated data. The main results are: The determination of turning points in Euroland’s business cycle is not very sensitive to the detrending method used, although the level of the recent output gap depends on it....

Summary New Keynesian economics stresses the positive link between firms’ net worth, on the one hand, and the equilibrium level of credit granted and aggregate employment, on the other hand. The present paper argues that once money is introduced and adaptive inflation expectations are assumed,...

Zusammenfassung Diese Anmerkung zeigt, dass das reale Bruttoinlandsprodukt der Bundesrepublik Deutschland einem trendstationären Prozess folgt. Dabei werden sowohl ökonometrische Tests, bei denen die Trendstationarität die Alternativhypothese ist, eingesetzt als auch solche, bei denen sie die...