Showing 1 - 10 of 94
This paper presents a DSGE model in which agents׳ learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted...
Persistent link: https://www.econbiz.de/10011051878
This paper characterizes long-run and short-run optimal fiscal policy in the labor selection framework. In a calibrated non-Ramsey decentralized equilibrium, labor market volatility is inefficient. Keeping fixed the structural parameters, the Ramsey government achieves efficient labor market...
Persistent link: https://www.econbiz.de/10012490454
This paper addresses the positive implications of indexing risky debt to observable aggregate conditions. These issues are pursued within the context of the celebrated financial accelerator model of Bernanke et al. (1999). The principal conclusions include: (1) the estimated level of indexation...
Persistent link: https://www.econbiz.de/10010906769
I describe a tractable way to study macroeconomic quantities and asset prices in a large class of dynamic stochastic general equilibrium models. The proposed approximate solution is analytical, log-linear, and adjusted for risk. Therefore, it is well suited to investigate economic mechanisms,...
Persistent link: https://www.econbiz.de/10010906770
Self-employment comprises an important share of employment in many countries, and tends to expand during downturns through higher inflows from unemployment. Furthermore, countries with higher self-employment shares exhibit lower cyclical output persistence. I build a business cycle model with...
Persistent link: https://www.econbiz.de/10010906771
This paper computes the welfare effect of the Great Moderation, using a representative-agent consumption-based asset pricing model. The Great Moderation is modeled according to the data properties of consumption and dividend growth rates, which display a reduction of their innovation-volatility...
Persistent link: https://www.econbiz.de/10010906772
This paper investigates optimal discretionary monetary policy under the zero lower bound on the nominal interest rate (ZLB) in the case of a distorted steady state due to monopoly and taxation. Solving a fully nonlinear micro-founded (FNL) model using a global method, I find that the central...
Persistent link: https://www.econbiz.de/10010906774
This paper examines the robustness of the Kiyotaki–Moore collateral amplification mechanism to the existence of complete markets for aggregate risk. We show that, when borrowers can hedge against aggregate shocks at fair prices, the volatility of endogenous variables becomes identical to the...
Persistent link: https://www.econbiz.de/10010906778
We conduct a positive analysis on the effects of ‘externalities’ produced by government spending. To this effect, we estimate, using U.S. data, an RBC model with two salient features. First, we allow government consumption to directly affect the marginal utility of consumption. Second, we...
Persistent link: https://www.econbiz.de/10010906782
Results from cointegration tests clearly suggest that TFP and the relative price of investment (RPI) are not cointegrated. Evidence on the alternative possibility that they may nonetheless contain a common I(1) component generating long-horizon co-variation between them crucially depends on the...
Persistent link: https://www.econbiz.de/10010906784