How large are welfare costs related to economic aggregate fluctuations is a topic of great concern among economists at least since Robert Lucas’ well-known and thoughtprovoking exercise in the late 1980s. Our analysis assesses the magnitude of such costs for 11 countries in South America...

Macroeconomic time series are often obtained as an aggregate across regions or economic sectors. Even when the ultimate goal is to forecast the aggregate series it may be beneficial to consider the underlying disaggregate series. This especially holds when the disaggregate series are generated...

In this paper, we study implications of quasi-geometric discounting for stochastic properties of asset returns that can be observed in the financial market data. In particular, we emphasize that the dividend income from an asset measured in a unit of account may not reflect the whole dividend...

We study a model with a durable good subject to abrupt, periodic obsolescence, and characterize the optimal purchasing policy. Consumers optimally synchronize new purchases with the arrival of new durable models. Hence, some agents use a "flexible" optimal replacement rule that switches between...

The inability of a wide array of dynamic stochastic general equilibrium (DSGE) models to generate fluctuations that resemble actual business cycles has lead to the use of habit formation in consumption. For example, habit formation has been shown to help explain the negative response of labour...

This paper uses the open economy structural VAR model developed in Buckle, Kim, Kirkham, McLellan and Sharma (2002) to evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/inflation variability trade-off. The model includes a...

In recent years, there has been much debate on whether or not countries in a region should adopt a common currency. One of the criteria for assessing the suitability of forming a currency union is whether there is a sufficient risk-sharing mechanism in operation. Although adopting a common...

The paper refers to capacity utilisation, applying a short-cut that is sometimes used in business cycle research to yearly GDP and investment data from 1960 to the present for 22 countries. The basic idea is that the empirical short-run fluctuations of the capital output ratio v are mainly due...

The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effective framework that leads to exactly the same...

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...