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Sector Specific News Shocks in Aggregate and Sectoral Fluctuations

Görtz, Christoph; Tsoukalas, John D. - CESifo - 2013

Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for … expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news … shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co …

Persistent link: https://www.econbiz.de/10010667413

Behavioral Economics and Macroeconomic Models

Driscoll, John C.; Holden, Steinar - CESifo - 2014

Over the past 20 years, macroeconomists have incorporated more and more results from behavioral economics into their models. We argue that doing so has helped fixed deficiencies with standard approaches to modeling the economy—for example, the counterfactual absence of inertia in the standard...

Persistent link: https://www.econbiz.de/10010877677

What Drives Aggregate Investment?

Bachmann, Ruediger; Zorn, Peter - CESifo - 2013

Using firm-level survey data for the West German manufacturing sector, this paper revisits the technology-driven business cycle hypothesis for the case of aggregate investment. We construct a survey-based measure of technology shocks to gauge their contribution to short-run investment...

Persistent link: https://www.econbiz.de/10010755772

The Cross-section of Firms over the Business Cycle: New Facts and a DSGE Exploration

Bachmann, Ruediger; Bayer, Christian - CESifo - 2009

Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...

Persistent link: https://www.econbiz.de/10008572577

Firm-Specific Productivity Risk over the Business Cycle: Facts and Aggregate Implications

Bachmann, Ruediger; Bayer, Christian - CESifo - 2009

RBC model with only first moment shocks. The mild changes we do find are mainly caused by a bad news effect: higher …

Persistent link: https://www.econbiz.de/10008583646

Exchange Rates and Asset Prices: Heterogeneous Agents at Work

Piccillo, Giulia - CESifo - 2013

exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model … information from the financial markets. The second rule follows a backward looking approach. We find that when DSGE agents … volatility of these markets. The simulated series replicate the stylized facts of real data. We also estimate the DSGE and …

Persistent link: https://www.econbiz.de/10010665041

What are the Effects of Tax Changes in the United Kingdom? New Evidence from a Narrative Evaluation

Cloyne, James - CESifo - 2011

This paper estimates the effects of tax changes on the U.K. economy. Identification is achieved by isolating the ‘exogenous’ tax policy shocks in the post-war U.K. economy using a narrative strategy as in Romer and Romer (2010). The resulting tax changes are shown to be unforecastable on the...

Persistent link: https://www.econbiz.de/10009020785

Monetary Policy and the Relative Price of Durable Goods

Cantelmo, Alessandro; Melina, Giovanni - CESifo - 2015

In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...

Persistent link: https://www.econbiz.de/10011272622

Immigration, Growth and Unemployment: Panel VAR Evidence from OECD Countries

Boubtane, Ekrame; Coulibaly, Dramane; Rault, Christophe - CESifo - 2013

This paper examines empirically the interaction between immigration and host country economic conditions. We employ panel VAR techniques to use a large annual dataset on 22 OECD countries over the period 1987-2009. The VAR approach allows to addresses the endogeneity problem by allowing the...

Persistent link: https://www.econbiz.de/10010877796

Optimal Taxation and Constrained Inefficiency in an Infinite-Horizon Economy with Incomplete Markets

Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - CESifo - 2011

We study the dynamic Ramsey problem of finding optimal public debt and linear taxes on capital and labor income within a tractable infinite horizon model with incomplete markets. With zero public expenditure and debt, it is optimal to tax the risky labor income and subsidize capital, while a...

Persistent link: https://www.econbiz.de/10009293486

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