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This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...
Persistent link: https://www.econbiz.de/10013028546
activities in the state to a complete halt and causing a nation-wide shock to the liquidity of lenders, especially those with …
Persistent link: https://www.econbiz.de/10012927025
effects of the 1906 San Francisco earthquake, a shock that immediately reduced United States. GNP by 1.5-1.8 percentage points … the Federal Reserve. In this study, we identify the San Francisco earthquake as the shock that triggered the chain of …
Persistent link: https://www.econbiz.de/10013249676
The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...
Persistent link: https://www.econbiz.de/10012997363
What accounts for inflation after 2008? We use the prominent pre-crisis Smets-Wouters (2007) model to address this question. We find that due to price markup shocks alone inflation would have been 1% higher than observed and 0.5% higher that the long-run average. Their standard deviation is...
Persistent link: https://www.econbiz.de/10013040539
Global risk-off shocks can be highly destabilizing for financial markets and, absent an adequate policy response, may trigger severe recessions. Policy responses were more complex for developed economies with very low interest rates after the Global Financial Crisis (GFC). We document, however,...
Persistent link: https://www.econbiz.de/10012867100
during the sharp risk-off shock in early 2020 when Covid-19 spread globally. We measure financial stress using a new dataset …
Persistent link: https://www.econbiz.de/10014348263
This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...
Persistent link: https://www.econbiz.de/10013322868
What are the relative effects of anticipated vs. unanticipated monetary policy? I examine the effect of this identifying assumption on VAR estimates of the output response to money, assuming that anticipated monetary policy can have some effect on output results in much shorter and smaller...
Persistent link: https://www.econbiz.de/10013217605
In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...
Persistent link: https://www.econbiz.de/10012769878