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A Banking Explanation of the US Velocity of Money: 1919-2004
Benk, Szilárd; Gillman, Max; Kejak, Michal - C.E.P.R. Discussion Papers - 2009
money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such … velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during … important for velocity during less stable times and the goods productivity shock more important during stable times. …
Persistent link: https://www.econbiz.de/10008496458
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The Two Greatest. Great Recession vs. Great Moderation
Rivas, Gadea; Dolores, Maria; Gómez Loscos, Ana; … - C.E.P.R. Discussion Papers - 2014
to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …
Persistent link: https://www.econbiz.de/10011083709
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The Fundamental Surplus in Matching Models
Ljungqvist, Lars; Sargent, Thomas J - C.E.P.R. Discussion Papers - 2015
To generate big responses of unemployment to productivity changes, researchers have reconfigured matching models in various ways: by elevating the utility of leisure, by making wages sticky, by assuming alternating-offer wage bargaining, by introducing costly acquisition of credit, or by...
Persistent link: https://www.econbiz.de/10011201357
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Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005
We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...
Persistent link: https://www.econbiz.de/10005124228
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Selecting Copulas for Risk Management
Koedijk, Kees; Kole, Erik; Verbeek, Marno - C.E.P.R. Discussion Papers - 2006
Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting an accurate copula for risk management. We extend...
Persistent link: https://www.econbiz.de/10005792215
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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009
A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...
Persistent link: https://www.econbiz.de/10005000442
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Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics
Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 1998
international finance is explaining these cross-regime differences in exchange rate volatility. The evidence suggests that a switch …
Persistent link: https://www.econbiz.de/10005788957
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The European Business Cycle
Artis, Michael J; Krolzig, Hans-Martin; Toro, Juan - C.E.P.R. Discussion Papers - 1999
This paper deals with the existence and identification of a common European Growth Cycle. It has recently been argued that the formation of a monetary union creates in itself a tendency for business cycle symmetry to emerge. If this holds for the European monetary Union and the quasi-union of...
Persistent link: https://www.econbiz.de/10005114243
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A Gains from Trade Perspective on Macroeconomic Fluctuations
Beaudry, Paul; Portier, Franck - C.E.P.R. Discussion Papers - 2011
Business cycles reflect changes over time in the amount of trade between individuals. In this paper we show that incorporating explicitly intra-temporal gains from trade between individuals into a macroeconomic model can provide new insight into the potential mechanisms driving economic...
Persistent link: https://www.econbiz.de/10009221567
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Fiscal Multipliers Over the Business Cycle
Michaillat, Pascal - C.E.P.R. Discussion Papers - 2011
This paper develops a theory characterizing the effects of fiscal policy on unemployment over the business cycle. The … theory is based on a model of equilibrium unemployment in which jobs are rationed in recessions. Fiscal policy in the form of …
Persistent link: https://www.econbiz.de/10009324257