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...

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...

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...

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...

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...

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)

The paper examines whether the US evidence in favour of a nonlinearity in the Phillips curve is robust or fragile. To this end, we use both cross city and aggregate time series data. We are particularly concerned with the possibility that the evidence in favour a nonlinear Phillips curve may is...

Macroeconomic dynamics are shaped by how individual incentives to spend and accumulate interact with the decisions of others. The goal of this paper is to identify--within a simple large-game-theoretic structure--which types of agent interactions favor which types of dynamic equilibrium...

We show that standard menu cost models cannot simultaneously reproduce the dispersion in the size of micro-price changes and the extent to which the fraction of price changes increases with inflation in the U.S. time-series. Though the Golosov and Lucas (2007) model generates fluctuations in the...

We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...