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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

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

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

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

Monetary regime change and business cycles

Cúrdia, Vasco; Finocchiaro, Daria - 2007

targeting to inflation targeting. The results suggest that monetary policy reacted strongly to exchange rate movements in the … former, and mostly to inflation in the latter. The external sector plays an important role in the economy, and the … that applies the inflation targeting policy rule on the disturbances from the exchange rate targeting period suggests that …

Persistent link: https://www.econbiz.de/10010287015

Recent changes in the US business cycle

Chauvet, Marcelle; Potter, Simon - 2001

The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...

Persistent link: https://www.econbiz.de/10010283318

Unemployment benefits and unemployment in the great recession: The role of macro effects

Hagedorn, Marcus; Karahan, Fatih; Manovskii, Iourii; … - 2013

We exploit a policy discontinuity at U.S. state borders to identify the effects of unemployment insurance policies on unemployment. Our estimates imply that most of the persistent increase in unemployment during the Great Recession can be accounted for by the unprecedented extensions of...

Persistent link: https://www.econbiz.de/10010333564