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Investment shocks and the relative price of investment

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

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 the production of installed capital from investment goods or, more … broadly, the transformation of savings into future capital input. We find that this shock is the most important driver of U …

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

Is increased price flexibility stabilizing? Redux

Bhattarai, Saroj; Eggertsson, Gauti; Schoenle, Raphael - 2012

We study the implications of increased price flexibility on aggregate output volatility in a dynamic stochastic general equilibrium (DSGE) model. First, using a simplified version of the model, we show analytically that the results depend on the shocks driving the economy and the systematic...

Persistent link: https://www.econbiz.de/10010287044

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

Dynamic effects of credit shocks in a data-rich environment

Boivin, Jean; Giannoni, Marc P.; Stevanovi´c, Dalibor - 2013

We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates...

Persistent link: https://www.econbiz.de/10010333628

Investment shocks and business cycles

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

.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach …

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

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

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

Liquidity and leverage

Adrian, Tobias; Shin, Hyun Song - 2008

In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is...

Persistent link: https://www.econbiz.de/10010283554

Balance sheets, exchange rates, and international monetary spillovers

Akinci, Ozge; Queralto, Albert - 2018

We use a two-country New Keynesian model with balance sheet constraints to investigate the magnitude of international spillovers of U.S. monetary policy. Home borrowers obtain funds from domestic households in domestic currency, as well as from residents of the foreign economy (the United...

Persistent link: https://www.econbiz.de/10012144692

The mortgage rate conundrum

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2017

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve's expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to...

Persistent link: https://www.econbiz.de/10011942774