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Cúrdia, Vasco; Reis, Ricardo - 2010

The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...

Persistent link: https://www.econbiz.de/10010287037

The hitchhiker's guide to missing import price changes and pass-through

Gagnon, Etienne; Mandel, Benjamin R.; Vigfusson, Robert J. - 2012

A large body of empirical work has found that exchange rate movements have only modest effects on inflation. However …

Persistent link: https://www.econbiz.de/10010287175

Investment shocks and business cycles

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2008

Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in U.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach these conclusions by estimating a dynamic stochastic...

Persistent link: https://www.econbiz.de/10010283518

Extracting business cycle fluctuations: What do time series filters really do?

Estrella, Arturo - 2007

Various methods are available to extract the “business cycle component” of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal...

Persistent link: https://www.econbiz.de/10010283367

US wage and price dynamics: A limited information approach

Sbordone, Argia M. - 2006

; and, when prices and wages are not reoptimized, they can be partially adjusted to previous-period aggregate inflation. The … joint dynamics of inflation and labor share. This function summarizes the cross-equation restrictions between the model and …

Persistent link: https://www.econbiz.de/10010283306

The cost of business cycles for unskilled workers

Mukoyama, Toshihiko; Sahin, Aysegül - 2005

This paper reconsiders the cost of business cycles under incomplete markets. Primarily, we focus on the heterogeneity in the cost of business cycles among agents with different skill levels. Unskilled workers are subject to a much larger risk of unemployment during recessions than are skilled...

Persistent link: https://www.econbiz.de/10010283400

Do expected future marginal costs drive inflation dynamics?

Sbordone, Argia M. - 2005

earlier work by Sbordone. The estimator is again applied to a version of the New Keynesian Phillips curve, in which inflation …. While confirming the importance of forward-looking terms in accounting for inflation dynamics, it suggests how the … methodology can be applied to extend the analysis of inflation to a multivariate setting …

Persistent link: https://www.econbiz.de/10010283329

Household leveraging and deleveraging

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2013

U.S. households' debt skyrocketed between 2000 and 2007, but has since been falling. This leveraging and deleveraging cycle cannot be accounted for by the liberalization and subsequent tightening of mortgage credit standards that occurred during the period. We base this conclusion on a...

Persistent link: https://www.econbiz.de/10010333598

Inventory dynamics and business cycles: What has changed?

McCarthy, Jonathan; Zakrajések, Egon - 2002

By historical standards, the U.S. economy has experienced a period of remarkable stability since the mid-1980s. One explanation attributes the diminished variability of economic activity to information-technology-led improvements in inventory management. Our results, however, indicate that the...

Persistent link: https://www.econbiz.de/10010283396

Investment shocks and the relative price of investment

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2009

We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects...

Persistent link: https://www.econbiz.de/10010283523