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Yashiv, Eran - C.E.P.R. Discussion Papers - 2006

This paper surveys the use of search and matching models in macroeconomics. It outlines the standard model, discusses its extensions, presents alternative formulations, considers the empirical evidence, and studies applications to macroeconomic questions such as business cycles, growth, and...

Persistent link: https://www.econbiz.de/10005792066

Dispersion and Volatility in Stock Returns: An Empirical Investigation

Campbell, John Y; Kim, Sangjoon; Lettau, Martin - C.E.P.R. Discussion Papers - 1998

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …

Persistent link: https://www.econbiz.de/10005662245

Vertical Industry Linkages: Sources Of Productivity Gains And Cumulative Causation

Steen, Frode; Ulltveit-Moe, Karen-Helene - C.E.P.R. Discussion Papers - 2000

In this paper we analyse vertical industry linkages, and the extent to which these work as channels for externalities. First, we test for activity-based externalities stemming from output growth and output level in vertically linked industries. Second, we aim at revealing the importance of a...

Persistent link: https://www.econbiz.de/10005792019

The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns

Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2006

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …

Persistent link: https://www.econbiz.de/10005114422

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

Persistent link: https://www.econbiz.de/10005662071

Distribution & Growth in an Economy with Limited Needs

Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2001

This Paper studies a model of the distribution of income under bounded needs. Utility derived from any given good reaches a bliss point at a finite consumption level of that good. On the other hand, introducing new varieties always increases utility. It is assumed that each variety is owned by a...

Persistent link: https://www.econbiz.de/10005124380

When Credit Bites Back: Leverage, Business Cycles, and Crises

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2011

This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...

Persistent link: https://www.econbiz.de/10009365001

Financial Integration and Business Cycle Synchronization

Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - C.E.P.R. Discussion Papers - 2009

Standard theory predicts that financial integration leads to a lower degree of business cycle synchronization. Surprisingly, cross-country studies find the opposite. Our contribution is to document the theoretically predicted negative effect of financial integration on business cycle...

Persistent link: https://www.econbiz.de/10005041098

Business Cycle Dynamics under Rational Inattention

Mackowiak, Bartosz Adam; Wiederholt, Mirko - C.E.P.R. Discussion Papers - 2010

This paper develops a dynamic stochastic general equilibrium model with rational inattention. Households and decision-makers in firms have limited attention and decide how to allocate their attention. The paper studies the implications of rational inattention for business cycle dynamics. Impulse...

Persistent link: https://www.econbiz.de/10008468587

Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real-Time Data are Available

Lee, Kevin; Olekalns, Nils; Shields, Kalvinder K - C.E.P.R. Discussion Papers - 2009

A canonical model is described which reflects the real-time informational context of decision-making. Comparisons are drawn with ‘conventional’ models that incorrectly omit market-informed insights on future macroeconomic conditions and inappropriately incorporate information that was not...

Persistent link: https://www.econbiz.de/10008528535

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