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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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News shocks under financial frictions
Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020
. 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/10012373126
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Growth expectations, undue optimism, and short-run fluctuations
Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013
total factor productivity which determines economic activity in the long run, but is not contemporaneously observed by … assessment of productivity - from actual time series, we rely on an informational advantage over market participants …
Persistent link: https://www.econbiz.de/10010224834
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Slow to hire, quick to fire : employment dynamics with asymmetric responses to news
Ilut, Cosmin; Kehrig, Matthias; Schneider, Martin - 2017
Concave hiring rules imply that firms respond more to bad shocks than to good shocks. They provide a unified explanation for several seemingly unrelated facts about employment growth in macro and micro data. In particular, they generate countercyclical movement in both aggregate conditional...
Persistent link: https://www.econbiz.de/10011637667
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Sector specific news shocks in aggregate and sectoral fluctuations
Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...
Persistent link: https://www.econbiz.de/10009753003
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Corporate taxes and multi-product exporters : theory and evidence from trade dynamics
Flach, Lisandra; Irlacher, Michael; Unger, Florian - 2019
This paper analyzes how exporters are affected by corporate tax reforms in destination markets. We introduce tax policy in a trade model of multi-product firms and show that producers face tougher competition in export markets with lower corporate tax rates. This competitive effect induces firms...
Persistent link: https://www.econbiz.de/10012064599
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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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Ambiguous business cycles, recessions and uncertainty : a quantitative analysis
Piccillo, Giulia; Poonpakdee, Poramapa - 2023
This paper investigates the effects of uncertainty on the macro economy by replicating its micro effects on individual subjective beliefs. In our model, the representative household has smooth ambiguity preferences and is uncertain about which scenario the economy will be in the next period:...
Persistent link: https://www.econbiz.de/10014364652
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Open market operations as a monetary policy shock measure in a quantitative business cycle model
Heer, Burkhard; Schabert, Andreas - 2000
This paper presents a business cycle analysis of monetary policy shocks measured by disturbances to open market operations, i.e. the ratio of open market papers to non-borrowed reserves. We find empirical evidence for the usefulness of this policy measure, as it predicts significant declines in...
Persistent link: https://www.econbiz.de/10009780205
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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