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Angeletos, George-Marios - 2017

The notion that business cycles are driven by demand shocks is subtle. I first review some of the conceptual and empirical challenges faced when trying to accommodate this notion in micro-founded, general-equilibrium models. I next review my own research, which sheds new light on the observed...

Persistent link: https://www.econbiz.de/10012453535

Learning from Prices : Public Communication and Welfare

Amador, Manuel - 2008

We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that,...

Persistent link: https://www.econbiz.de/10012464392

Technology (and Policy) Shocks in Models of Endogenous Growth

Jones, Larry E. - 1999

Is there a trade-off between fluctuations and growth? The empirical evidence is mixed, with some studies (Kormendi and Meguire (1985)) finding a positive relationship, while others (Ramey and Ramey (1995)) finding the a negative one. Our objective in this paper is to understand how fundamental...

Persistent link: https://www.econbiz.de/10012471733

Imperfect Risk-Sharing and the Business Cycle

Berger, David W. - 2019

This paper studies the aggregate implications of imperfect risk-sharing implied by a class of New Keynesian models with idiosyncratic income risk and incomplete financial markets. The models in this class can be equivalently represented as an economy with a representative household that has...

Persistent link: https://www.econbiz.de/10012479980

Hedging Macroeconomic and Financial Uncertainty and Volatility

Dew-Becker, Ian - 2019

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned...

Persistent link: https://www.econbiz.de/10012480268

Disasters Risk and Business Cycles

Gourio, François - 2009

To construct a business cycle model consistent with the observed behavior of asset prices, and study the effect of shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business cycle model. The paper establishes two simple theoretical...

Persistent link: https://www.econbiz.de/10012463250

The Impact of Uncertainty Shocks

Bloom, Nicholas - 2007

oil-price shock and the 9/11 terrorist attack. This paper offers a structural framework to analyze the impact of these … data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound … medium term the increased volatility from the shock induces an overshoot in output, employment and productivity. Thus, second …

Persistent link: https://www.econbiz.de/10012465265

Uncertainty and Business Cycles : Exogenous Impulse or Endogenous Response?

Ludvigson, Sydney C. - 2015

response to them, and does the type of uncertainty matter? To address these questions, we propose a novel shock …

Persistent link: https://www.econbiz.de/10012456868

Monetary Policy Uncertainty and Economic Fluctuations

Creal, Drew D. - 2014

react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …

Persistent link: https://www.econbiz.de/10012458071

Asset Pricing with Countercyclical Household Consumption Risk

Constantinides, George M. - 2014

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of...

Persistent link: https://www.econbiz.de/10012458555

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