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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...
Persistent link: https://www.econbiz.de/10011978764
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Environmental Concern and the Business Cycle : The Chilling Effect of Recession
Kahn, Matthew E. - 2010
This paper uses three different sources of data to investigate the association between the business cycle--measured with unemployment rates--and environmental concern. Building on recent research that finds internet search terms to be useful predictors of health epidemics and economic activity,...
Persistent link: https://www.econbiz.de/10013139745
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Environmental Macroeconomics : Environmental Policy, Business Cycles, and Directed Technical Change
Heutel, Garth - 2014
Environmental economics has traditionally fallen in the domain of microeconomics, but recently approaches from macroeconomics have been applied to studying environmental policy. We focus on two macroeconomic tools and their application to environmental economics. First, real business cycle...
Persistent link: https://www.econbiz.de/10013064589
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Pollution and Labor Market Search Externalities Over the Business Cycle
Gibson, John; Heutel, Garth - 2021
We study the relationship between unemployment, environmental policy, and business cycles. We develop a dynamic stochastic general equilibrium real business cycle model that includes both a pollution externality and congestion externalities from labor market search frictions, which generate...
Persistent link: https://www.econbiz.de/10013310016
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Uncertainty Shocks and Business Cycle Research
Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - 2022
We review the literature on uncertainty shocks and business cycle research. First, we motivate the study of uncertainty shocks by documenting the presence of time-variation in the volatility of macroeconomic time series. Second, we enumerate the mechanisms that researchers have postulated to...
Persistent link: https://www.econbiz.de/10014101580
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Worker Betas : Five Facts About Systematic Earnings Risk
Guvenen, Fatih - 2017
The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro …, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual … earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure …
Persistent link: https://www.econbiz.de/10012963164
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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to...
Persistent link: https://www.econbiz.de/10012948093
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Asymmetric Business-Cycle Risk and Social Insurance
Busch, Christopher - 2018
This paper studies the business-cycle variation in higher-order (labor) income risk—that is, risks that are captured by … consumption-equivalent terms for Sweden (for which we are able to perform this calculation). However, the remaining risk (in …
Persistent link: https://www.econbiz.de/10012919872
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10013224964
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Incomplete Information in Macroeconomics : Accommodating Frictions in Coordination
Angeletos, Marios; Lian, Chen - 2021
This chapter studies how incomplete information helps accommodate frictions in coordination, leading to novel insights on the joint determination of expectations and macroeconomic outcomes. We review and synthesize recent work on global games, beauty contests, and their applications. We...
Persistent link: https://www.econbiz.de/10013224988