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Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model
Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021
. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10013316169
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Learning from Prices : Amplification and Business Fluctuations
Chahrour, Ryan - 2017
alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate … arbitrarily small productivity shocks lead to substantial fluctuations. Augmented with a public signal, the model can generate a … rich mix of supply- and demand-driven fluctuations even though productivity is the only source of aggregate randomness. Our …
Persistent link: https://www.econbiz.de/10012956266
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Rational Inattention and the Business Cycle Effects of Productivity and News Shocks
Maćkowiak, Bartosz; Wiederholt, Mirko - 2023
news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …
Persistent link: https://www.econbiz.de/10014353582
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Loan Supply Shocks and the Business Cycle
Gambetti, Luca - 2012
This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the Euro Area, the United Kingdom and the United States from 1980 to 2010 by applying a time-varying parameters VAR model with stochastic volatility and identifying these shocks with sign...
Persistent link: https://www.econbiz.de/10013101121
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International Medium-Term Business Cycles
Hirschbühl, Dominik; Spitzer, Martin - 2021
Foreign driven medium-term oscillations that originate from fluctuations in technological frontier countries gained widespread attention among policymakers. To study this phenomenon in the context of domestic and other foreign drivers of the euro area business cycle, we develop a medium-scale,...
Persistent link: https://www.econbiz.de/10013233525
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Animal Spirits, Fundamental Factors and Business Cycle Fluctuations
Dées, Stéphane - 2016
This paper explores empirically the role of noisy information in cyclical developments and aims at separating fluctuations that are due to genuine changes in fundamentals from those due to temporary animal spirits or expectational errors (noise shocks). Exploiting the fact that the...
Persistent link: https://www.econbiz.de/10012983085
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Monetary Policy and the Financing of Firms
De Fiore, Fiorella - 2012
How should monetary policy respond to changes in financial conditions? In this paper we consider a simple model where firms are subject to idiosyncratic shocks which may force them to default on their debt. Firms' assets and liabilities are denominated in nominal terms and predetermined when...
Persistent link: https://www.econbiz.de/10013116576
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Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics
Rannenberg, Ansgar - 2012
the response of the external finance premium and the overall economy to monetary policy and productivity shocks. It allows …
Persistent link: https://www.econbiz.de/10013099227
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Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010
Abildgren, Kim - 2012
a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …
Persistent link: https://www.econbiz.de/10013102102
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Large Shocks in Menu Cost Models
Karadi, Peter - 2012
How do prices react to large aggregate shocks? Our new micro-data evidence on value-added tax changes shows that prices react (i) flexibly and (ii) asymmetrically to large positive and negative shocks. We use it to quantitatively evaluate the performance of prominent pricing models. We show that...
Persistent link: https://www.econbiz.de/10013104018