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Asquith, Brian - 2017

International trade exposure affects job creation and destruction along the intensive margin (job flows due to expansions and contractions of firms' employment) as well as along the extensive margin (job flows due to births and deaths of firms). This paper uses 1992-2011 employment data from the...

Persistent link: https://www.econbiz.de/10012941975

Liquidity and Expected Returns : Lessons from Emerging Markets

Bekaert, Geert - 2012

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

Persistent link: https://www.econbiz.de/10012755671

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011590578

Forecasting with a Bayesian DSGE model : an application to the euro area

Smets, Frank; Wouters, Rafael - 2004

In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. In this paper we illustrate how modern sticky-price dynamic stochastic general equilibrium (DSGE) models, estimated using Bayesian...

Persistent link: https://www.econbiz.de/10003285769

An estimated dynamic stochastic general equilibrium model of the euro area

Smets, Frank; Wouters, Rafael - 2002

This paper develops and estimates a dynamic stochastic general equilibrium (DSGE) model with sticky prices and wages for the euro area. The model incorporates various other features such as habit formation, costs of adjustment in capital accumulation and variable capacity utilisation. It is...

Persistent link: https://www.econbiz.de/10011623232

Openness, imperfect exchange rate pass-through and monetary policy

Smets, Frank; Wouters, Rafael - 2002

This paper analyses the implications of imperfect exchange rate passthrough for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The...

Persistent link: https://www.econbiz.de/10011623407

Shocks and frictions in US business cycles : a Bayesian DSGE approach

Smets, Frank; Wouters, Rafael - 2007

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macro-economic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to...

Persistent link: https://www.econbiz.de/10011618212

Inflation persistence and price-setting behaviour in the euro area : a summary of the Inflation Persistence Network evidence

Altissimo, Filippo; Ehrmann, Michael; Smets, Frank - 2006

This paper provides a summary of current knowledge on inflation persistence and price stickiness in the euro area, based on research findings that have been produced in the context of the Inflation Persistence Network. The main findings are: i) Under the current monetary policy regime, the...

Persistent link: https://www.econbiz.de/10011622329

Future Skill Shortages in the U.S. Economy?

Neumark, David - 2011

The impending retirement of the baby boom cohort represents the first time in the history of the United States that such a large and well-educated group of workers will exit the labor force. This could imply skill shortages in the U.S. economy. We develop near-term labor force projections of the...

Persistent link: https://www.econbiz.de/10013122470

Do Labor Market Networks Have an Important Spatial Dimension?

Hellerstein, Judith K. - 2013

We test for evidence of spatial, residence-based labor market networks. Turnover is lower for workers more connected to their neighbors generally and more connected to neighbors of the same race or ethnic group. Both results are consistent with networks producing better job matches, while the...

Persistent link: https://www.econbiz.de/10013087439