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Liquidity traps and large-scale financial crises
Caggiano, Giovanni; Castelnuovo, Efrem; Damette, Olivier; … - 2018
This paper estimates a nonlinear Threshold-VAR to investigate if a Keynesian liquidity trap due to a speculative motive was in place in the U.S. Great Depression and the recent Great Recession. We find clear evidence in favor of a breakdown of the liquidity effect after an unexpected increase in...
Persistent link: https://www.econbiz.de/10011863616
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Policy risk and the business cycle
Born, Benjamin; Pfeifer, Johannes - 2013 - This version: July 11, 2013, First Version: December 2010
The argument that policy risk, i.e., uncertainty about monetary and fiscal policy, has been holding back the economic … recovery in the U.S. during the Great Recession has a large popular appeal. We analyze the role of policy risk in explaining … business cycle fluctuations by using an estimated New Keynesian model featuring policy risk as well as uncertainty about …
Persistent link: https://www.econbiz.de/10009772961
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Credit booms, debt overhang and secular stagnation
Illing, Gerhard; Ono, Yoshiyasu; Schlegl, Matthias - 2017
Why do advanced economies fall into prolonged periods of economic stagnation, particularly in the aftermath of credit booms? We present a model of persistent aggregate demand shortage based on strong liquidity preferences of households, in which we incorporate financial imperfections to study...
Persistent link: https://www.econbiz.de/10011774952
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"Interest Rate Trap", or : why does the central bank keep the policy rate too low for too long time?
Cao, Jin; Illing, Gerhard - 2012
This paper provides a framework for modeling the risk-taking channel of monetary policy, the mechanism how financial …
Persistent link: https://www.econbiz.de/10009533969
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Uncertainty and monetary policy during the great recession
Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...
Persistent link: https://www.econbiz.de/10012495676
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Macroeconomic responses to uncertainty shocks : the perils of recursive orderings
Kilian, Lutz; Plante, Michael D.; 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/10013463407
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Animal spirits and the international transmission of business cycles : presented at CESifo Area Conference on Macro, Money & International Finance, February 2016
De Grauwe, Paul; Ji, Yuemei - 2016
It is well-known that the high synchronization of the business cycles among industrial countries cannot easily be replicated in standard open economy macroeconomic models without assuming that the exogenous shocks hitting these countries are highly correlated. We develop a two-country behavioral...
Persistent link: https://www.econbiz.de/10011444133
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What do we know about the macroeconomic effects of fiscal policy? : a brief survey of the literature on fiscal multipliers
Castelnuovo, Efrem; Lim, Guay C. - 2018
This article reviews recent research findings on the effects of fiscal multipliers in normal times, during booms/busts, and in the presence of the zero lower bound. Studies on the effects of fiscal policy in open economy settings as well as contributions on the fiscal-monetary policy mix are...
Persistent link: https://www.econbiz.de/10011933907
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The cross-section of firms over the business cycle : new facts and a DSGE exploration
Bachmann, Ruediger; Bayer, Christian - 2009
-sectional firm dynamics ; lumpy investment ; countercyclical risk ; aggregate shocks ; idiosyncratic shocks ; heterogeneous firms …
Persistent link: https://www.econbiz.de/10003888063
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Firm-specific productivity risk over the business cycle : facts and aggregate implications
Bachmann, Ruediger; Bayer, Christian - 2009
-varying uncertainty, highlighted in the literature. -- Ss model ; RBC model ; lumpy investment ; countercyclical risk ; aggregate shocks …
Persistent link: https://www.econbiz.de/10003898815