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The cross-section of firms over the business cycle : new facts and a DSGE exploration

Bachmann, Ruediger; Bayer, Christian - 2009

-level investment is procyclical. We show that a heterogeneous-firm RBC model with quantitatively realistic countercyclically disperse … state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a …-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms …

Persistent link: https://www.econbiz.de/10003888063

Firm-specific productivity risk over the business cycle : facts and aggregate implications

Bachmann, Ruediger; Bayer, Christian - 2009

question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital …-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment ; countercyclical risk ; aggregate shocks …

Persistent link: https://www.econbiz.de/10003898815

Capital accumulation and employment cycles in a model of creative destruction

Palokangas, Tapio K. - 2003

A Schumpeterian growth model is constructed for an economy with wage bargaining. It is shown that the economy is subject to cycles in which capital, output and employment vary in fixed proportion. These increase through saving and capital accumulation until a new technology is introduced, at...

Persistent link: https://www.econbiz.de/10011514161

Investment in productivity and the long-run effect of financial crises in output

Ridder, Maarten de - 2016

models suggest that a shortfall in productivity-enhancing investments temporarily slows technological progress, creating a …-level exposure to the 2008-9 financial crisis, I show that tight credit reduced investments in productivity-enhancement, and has … 12% higher today if productivity-enhancing investments had grown at pre-crisis rates. …

Persistent link: https://www.econbiz.de/10011573282

The changing nature of technology shocks

Görtz, Christoph; Gunn, Christopher M.; Lubik, Thomas A. - 2024

identification procedure, we show that the dominant shock driving total factor productivity (TFP) is akin to a diffusion or news …

Persistent link: https://www.econbiz.de/10015075006

Persistence and cycles in US hours worked

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2012

This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...

Persistent link: https://www.econbiz.de/10009514773

Endogenous business cycles and growth

Wälde, Klaus - 2003

&D investment. As this is very controversial from an empirical perspective, a stochastic Poisson model of endogenous business cycles … and growth is presented where the determinants of the cyclical behaviour of R&D investment are analytically studied …

Persistent link: https://www.econbiz.de/10011507773

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley, James R.; Woitek, Ulrich - 2009

This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

Persistent link: https://www.econbiz.de/10003833344

Micro jumps, macro humps : monetary policy and business cycles in an estimated HANK model

Auclert, Adrien; Rognlie, Matthew; Straub, Ludwig - 2020

shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles. …

Persistent link: https://www.econbiz.de/10012154622

Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …

Persistent link: https://www.econbiz.de/10003751230

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