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Investment Under Rational Inattention : Evidence from US Sectoral Data
Zorn, Peter - 2020
Macroeconomic and sector-specific shocks exert differential effects on investment in disaggregate sectoral data. The response to macroeconomic shocks is hump-shaped, just as in aggregate data. The effects of sectoral innovations decrease monotonically. A calibrated model of investment with...
Persistent link: https://www.econbiz.de/10012827670
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Shocks, Frictions, and Inequality in US Business Cycles
Bayer, Christian - 2020
How much does inequality matter for the business cycle and vice versa? Using a Bayesian likelihood approach, we estimate a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice between liquid and illiquid assets. The model enlarges the set of shocks and...
Persistent link: https://www.econbiz.de/10012841741
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Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)
Caggiano, Giovanni - 2020
an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …
Persistent link: https://www.econbiz.de/10012824829
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Financial Frictions and the Wealth Distribution
Fernández-Villaverde, Jesús - 2020
We postulate a nonlinear DSGE model with a financial sector and heterogeneous households. In our model, the interaction between the supply of bonds by the financial sector and the precautionary demand for bonds by households produces significant endogenous aggregate risk. This risk induces an...
Persistent link: https://www.econbiz.de/10012825400
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The UK's Great Demand and Supply Recession
Jacob, Nicholas; Mion, Giordano - 2021
We revisit UK’s poor productivity performance since the Great Recession by means of both a suitable theoretical framework and firm-level prices and quantities data for detailed products allowing us to both measure demand, and its changes over time, and distinguish between quantity total factor...
Persistent link: https://www.econbiz.de/10013314807
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News Shocks Under Financial Frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2021
. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …
Persistent link: https://www.econbiz.de/10013314862
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Macroeconomic Responses to Uncertainty Shocks : The Perils of Recursive Orderings
Kilian, Lutz; Plante, Michael; Richter, Alexander W. - 2022
A common practice in empirical macroeconomics is to examine alternative recursive orderings of the variables in structural vector autogressive (VAR) models. When the implied impulse responses look similar, the estimates are considered trustworthy. When they do not, the estimates are used to...
Persistent link: https://www.econbiz.de/10014240870
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Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates
Badinger, Harald - 2020
residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …
Persistent link: https://www.econbiz.de/10012822501
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Financial Constraints and Propagation of Shocks in Production Networks
Pakel, Banu Demir; Javorcik, Beata Smarzynska; … - 2021
strategy exploits the heterogeneous impact of the shock on importers. The results indicate that this relatively minor, non …-localized shock had a non-trivial economic impact on exposed firms and propagated downstream through affected suppliers. Additional … empirical tests, motivated by a simple theory, demonstrate that low-liquidity firms amplified its transmission …
Persistent link: https://www.econbiz.de/10013315210
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Heterogeneous Expectations, Indeterminacy, and Postwar US Business Cycles
Ilabaca, Francisco - 2020
This paper estimates a New Keynesian model extended to include heterogeneous expectations, to revisit the evidence that postwar US macroeconomic data can be explained as the outcome of passive monetary policy, indeterminacy, and sunspot-driven fluctuations in the pre-1979 sample, with a switch...
Persistent link: https://www.econbiz.de/10012836715