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Nonlinearities and the Macroeconomic Effects of Oil Prices

Hamilton, James D. - 2010

This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson (2009)

Persistent link: https://www.econbiz.de/10013141004

Dynamic Models of R&D, Innovation and Productivity : Panel Data Evidence for Dutch and French Manufacturing

Raymond, Wladimir - 2014

This paper introduces dynamics in the R&D-to-innovation and innovation-to-productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

Persistent link: https://www.econbiz.de/10013063857

Is the Macroeconomy Locally Unstable and Why Should We Care?

Beaudry, Paul - 2016

In most modern macroeconomic models, the steady state (or balanced growth path) of the system is a local attractor, in the sense that, in the absence of shocks, the economy would converge to the steady state. In this paper, we examine whether the time series behavior of macroeconomic aggregates...

Persistent link: https://www.econbiz.de/10012991676

Agro-Ecosystem Productivity and the Dynamic Response to Shocks

Chavas, Jean-Paul - 2016

This paper investigates the nonlinear dynamic response to shocks, relying on a threshold quantile autoregression (TQAR) model as a flexible representation of stochastic dynamics. The TQAR model can identify zones of stability/instability and characterize resilience and traps. Resilience means...

Persistent link: https://www.econbiz.de/10012983434

Putting the Cycle Back into Business Cycle Analysis

Beaudry, Paul - 2016

This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...

Persistent link: https://www.econbiz.de/10012979357

Solution Methods for Models with Rare Disasters

Fernández-Villaverde, Jesús - 2016

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the line of those proposed by Rietz (1988), Barro (2006}, Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

Persistent link: https://www.econbiz.de/10012998933

Rationally Inattentive Behavior : Characterizing and Generalizing Shannon Entropy

Caplin, Andrew - 2017

We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal form of attention-constrained choice. We introduce tractable generalizations that allow for many...

Persistent link: https://www.econbiz.de/10012950055

Sources of Entropy in Representative Agent Models

Backus, David - 2011

preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …

Persistent link: https://www.econbiz.de/10013122464

Term Structures of Asset Prices and Returns

Backus, David - 2016

We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...

Persistent link: https://www.econbiz.de/10012994905

Behavioral Implications of Rational Inattention with Shannon Entropy

Caplin, Andrew - 2013

entropy cost functions that better match this feature of the data and that retain key simplifying features of the Shannon …

Persistent link: https://www.econbiz.de/10013077941