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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...
Persistent link: https://www.econbiz.de/10003888063
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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
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Monetary policy and the relative price of durable goods
Cantelmo, Alessandro; Melina, Giovanni - 2015
In a VAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new house and nondurables prices. These findings survive three identification strategies and...
Persistent link: https://www.econbiz.de/10010515460
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Uncertainty and monetary policy during the great recession
Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …
Persistent link: https://www.econbiz.de/10012495676
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Uncertainty-dependent effects of monetary policy shocks : a new Keynesian interpretation
Castelnuovo, Efrem; Pellegrino, Giovanni - 2017
milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …
Persistent link: https://www.econbiz.de/10011781355
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Shocks, frictions, and inequality in US business cycles
Bayer, Christian; Born, Benjamin; Luetticke, Ralph - 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/10012162730
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Productivity shocks and aggregate cycles in an estimated endogenous growth model
Malley, James R.; Woitek, Ulrich - 2009
two technology shocks in the human capital model is greater than the Hicks-neutral shock in the RBC model in the medium …
Persistent link: https://www.econbiz.de/10003850283
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Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital
Malley, James R.; Woitek, Ulrich - 2011
Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...
Persistent link: https://www.econbiz.de/10009295333
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665
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Firm-specific productivity risk over the business cycle : facts and aggregate implications
Bachmann, Ruediger; Bayer, Christian - 2009
Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this question in the context of a heterogeneous-firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in uncertainty...
Persistent link: https://www.econbiz.de/10003898815