Narrow search
Showing 1 - 10 of 2,402
Cover Image
Risk Matters : Breaking Certainty Equivalence
Parra-Alvarez, Juan Carlos - 2020
In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...
Persistent link: https://www.econbiz.de/10012834991
Cover Image
Risk Pooling, Leverage, and the Business Cycle
Dindo, Pietro - 2020
mitigation to households by pooling the idiosyncratic risks of their investment activities. In contrast to previous studies, we …
Persistent link: https://www.econbiz.de/10012848320
Cover Image
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 … monotonically. A calibrated model of investment with convex capital adjustment costs and rational inattention explains these … features of the data. The model matches the empirical responses of sectoral investment because learning about shocks generates …
Persistent link: https://www.econbiz.de/10012827670
Cover Image
Tax Smoothing in a Business Cycle Model with Capital-Skill Complementarity
Angelopoulos, Konstantinos; Asimakopoulos, Stylianos; … - 2014
This paper undertakes a normative investigation of the quantitative properties of optimal tax smoothing in a business cycle model with state contingent debt, capital-skill complementarity, endogenous skill formation and stochastic shocks to public consumption as well as total factor and capital...
Persistent link: https://www.econbiz.de/10010352346
Cover Image
Risk Pooling, Leverage, and the Business Cycle
Dindo, Pietro; Modena, Andrea; Pelizzon, Loriana - 2019
This paper investigates the interdependence between the risk-pooling activity of the financial sector and: output, consumption, risk-free rate, and Sharpe ratio in a dynamic general equilibrium model of a productive economy. Due to their exposure to idiosyncratic shocks and market segmentation,...
Persistent link: https://www.econbiz.de/10012052878
Cover Image
Appropriate fiscal policy over the business cycle: Proper stimulus policies can work
Graves, Philip E. - 2010
being a contentious recent example. Some pundits go so far as to take the position that macroeconomic theory has failed to …
Persistent link: https://www.econbiz.de/10010270872
Cover Image
Risk Matters: Breaking Certainty Equivalence
Parra-Alvarez, Juan Carlos; Polattimur, Hamza; Posch, Olaf - 2020
In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...
Persistent link: https://www.econbiz.de/10012214161
Cover Image
Appropriate Fiscal Policy Over the Business Cycle : Proper Stimulus Policies Can Work
Graves, Philip E. - 2010
being a contentious recent example. Some pundits go so far as to take the position that macroeconomic theory has failed to …
Persistent link: https://www.econbiz.de/10013139182
Cover Image
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
Cover Image
The Propagation of Monetary Policy Shocks in a Heterogeneous Production Economy
Pasten, Ernesto - 2019
We study the transmission of monetary policy shocks in a model in which realistic heterogeneity in price rigidity interacts with heterogeneity in sectoral size and input-output linkages, and derive conditions under which these heterogeneities generate large real effects. Empirically,...
Persistent link: https://www.econbiz.de/10012892210