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Theoretical Notes on Bubbles and the Current Crisis

Martin, Alberto; Ventura, Jaume - Barcelona Graduate School of Economics (Barcelona GSE) - 2010

We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. We embed this view in a standard model of the financial accelerator and explore its empirical and policy implications. In particular, we show how the...

Persistent link: https://www.econbiz.de/10010851442

Balance Sheet Recessions with Informational and Trading Frictions

Asriyan, Vladimir - Barcelona Graduate School of Economics (Barcelona GSE) - 2015

Balance sheet recessions result from concentration of macroeconomic risks on the balance sheets of leveraged agents. In this paper, I argue that information dispersion about the future states of the economy combined with trading frictions in financial markets can explain why such concentration...

Persistent link: https://www.econbiz.de/10011123587

The Network Origins of Aggregate Fluctuations

Acemoglu, Daron; Carvalho, Vasco; Ozdaglar, Asuman; … - Barcelona Graduate School of Economics (Barcelona GSE) - 2011

This paper argues that in the presence of intersectoral input-output linkages, microeconomic idiosyncratic shocks may lead to aggregate fluctuations. In particular, it shows that, as the economy becomes more disaggregated, the rate at which aggregate volatility decays is determined by the...

Persistent link: https://www.econbiz.de/10010851431

Skill-Biased Technological Change and the Business Cycle

Balleer, Almut; Rens, Thijs van - Barcelona Graduate School of Economics (Barcelona GSE) - 2011

Over the past two decades, technological progress in the United States has been biased towards skilled labor. What does this imply for business cycles? We construct a quarterly skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long-run restrictions....

Persistent link: https://www.econbiz.de/10010547348

Wage Rigidity and Job Creation

Haefke, Christian; Sonntag, Marcus; Rens, Thijs van - Barcelona Graduate School of Economics (Barcelona GSE) - 2012

Recent research in macroeconomics emphasizes the role of wage rigidity in ac- counting for the volatility of unemployment fluctuations. We use worker-level data from the CPS to measure the sensitivity of wages of newly hired workers to changes in aggregate labor market conditions. The wage of...

Persistent link: https://www.econbiz.de/10010550421

Gross Capital Flows: Dynamics and Crises

Broner, Fernando; Didier, Tatiana; Erce, Aitor; … - Barcelona Graduate School of Economics (Barcelona GSE) - 2010

financial crises. We show that gross capital flows by foreigners and domestic agents are very large and volatile, especially … domestic agents tend to invest more abroad. During crises, there is retrenchment, i.e. a reduction in capital inflows by … foreigners and an increase in capital inflows by domestic agents. This is especially true during severe crises and during …

Persistent link: https://www.econbiz.de/10010547169

A Geometric Description of a Macroeconomic Model with a Center Manifold

Gomis-Porqueras, Pere; Haro, Àlex - Barcelona Graduate School of Economics (Barcelona GSE) - 2008

This paper presents a unified framework of different algorithms to numerically compute high order expansions of invariant manifolds associated to a steady state of a dynamical system. The framework is inspired in the parameterization method of Cabr, Fontich and de la Llave [7], and the...

Persistent link: https://www.econbiz.de/10010547374

Bridging DSGE models and the raw data

Canova, Fabio - Barcelona Graduate School of Economics (Barcelona GSE) - 2012

A method to estimate DSGE models using the raw data is proposed. The approach links the observables to the model counterparts via a flexible specification which does not require the model-based component to be solely located at business cycle frequencies, allows the non model-based component to...

Persistent link: https://www.econbiz.de/10010550914

Recreating the South Sea Bubble: Lessons from an Experiment in Financial History

Giusti, Giovanni; Noussair, Charles; Voth, Hans-Joachim - Barcelona Graduate School of Economics (Barcelona GSE) - 2013

Major bubble episodes are rare events. In this paper, we examine what factors might cause some asset price bubbles to become very large. We recreate, in a laboratory setting, some of the specific institutional features investors in the South Sea Company faced in 1720. Several factors have been...

Persistent link: https://www.econbiz.de/10010851451

The Real Estate and Credit Bubble: Evidence from Spain

Akin, Ozlem; Montalvo, José G.; Villar, Jaume García; … - Barcelona Graduate School of Economics (Barcelona GSE) - 2014

We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, and the appraisal and market price) at the mortgage level, matched with...

Persistent link: https://www.econbiz.de/10010796239