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Modeling News-Driven International Business Cycles
Beaudry, Paul; Dupaigne, Martial; Portier, Franck - In: Review of Economic Dynamics 14 (2011) 1, pp. 72-91
This paper reexamines the question of how to explain business cycle co-movements within and between countries. First, we present a simple flexible price models to illustrate how and why news shocks can generate robust positive co-movements in economic activity across countries. We also discuss...
Persistent link: https://www.econbiz.de/10008691151
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Productivity, Energy Prices and the Great Moderation: A New Link
Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - In: Review of Economic Dynamics 13 (2010) 3, pp. 715-724
We build upon recent research that attributes the moderation of output volatility since the 1980s to the reduced volatility of the Total Factor Productivity (TFP) by investigating the linkage between energy price fluctuations and the stochastic process for TFP. First, we estimate a joint...
Persistent link: https://www.econbiz.de/10005009769
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Learning, Capital Embodied Technology and Aggregate Fluctuations
Gortz, Christoph; Tsoukalas, John D. - In: Review of Economic Dynamics 16 (2013) 4, pp. 708-723
a significant role. These episodes have revived interest in expectations driven business cycles models. However … towards addressing this limitation of expectations driven business cycle models. We propose a generalization of the Greenwood …
Persistent link: https://www.econbiz.de/10010698887
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Learning, Large Deviations and Rare Events
Benhabib, Jess; Dave, Chetan - In: Review of Economic Dynamics 17 (2014) 3, pp. 367-382
an endogenous variable from its rational expectations value. We show analytically that these large deviations can occur …
Persistent link: https://www.econbiz.de/10010783696
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Optimal Stopping in a Model of Speculative Attacks
Kurlat, Pablo - In: Review of Economic Dynamics 18 (2015) 2, pp. 212-226
When faced with a speculative attack, banks and governments often hesitate, attempting to withstand the attack but giving up after some time, suggesting they have some ex-ante uncertainty about the attack they will face. I model that uncertainty as arising from incomplete information about...
Persistent link: https://www.econbiz.de/10011268097
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Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models
Cho, Seonghoon - In: Review of Economic Dynamics
Markov-switching rational expectations (MSRE) models can bring out fresh insights beyond what linear rational … expectations models have done for macroeconomics, as noted and predicted by Davig and Leeper (2007) and Farmer, Waggoner and Zha … expectations models to MSRE. We apply our methodology to a New-Keynesian model subject to regime-switching in monetary policy and …
Persistent link: https://www.econbiz.de/10011262704
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Model Uncertainty and Endogenous Volatility
Branch, William; Evans, George W. - In: Review of Economic Dynamics 10 (2007) 2, pp. 207-237
inflation depends on agents' expectations and a vector of exogenous random variables. Following Branch and Evans (2006) agents …
Persistent link: https://www.econbiz.de/10005069600
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Asset Pricing with Adaptive Learning
Carceles-Poveda, Eva; Giannitsarou, Chryssi - In: Review of Economic Dynamics 11 (2008) 3, pp. 629-651
asset price behavior, since the algorithm converges relatively fast to rational expectations, (b) constant gain learning may …
Persistent link: https://www.econbiz.de/10005069685
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Government Expenditures and the Permanent-Income Model
Amano, Robert A.; Wirjanto, Tony S. - In: Review of Economic Dynamics 1 (1998) 3, pp. 719-730
There is a substantial empirical literature which examines the relationship between private and public consumption. The conclusions from this literature, however, are generally mixed. In this paper, we attempt to provide some additional evidence on this relationship. We consider a two-good...
Persistent link: https://www.econbiz.de/10005069642
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Trade Agreements and International Comovements: the Case of NAFTA (North American Free Trade Agreement)
Bejan, Maria - In: Review of Economic Dynamics 14 (2011) 4, pp. 667-685
Business cycles correlation between Mexico and the US changed from being on a downward sloping path before 1992 to an upward sloping path after that. This paper suggests that the North American Free Trade Agreement could be the explanation. NAFTA generated not only an increase in the volume of...
Persistent link: https://www.econbiz.de/10009143438