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Identifying shocks via time-varying volatility

Lewis, Daniel J. - 2018

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …

Persistent link: https://www.econbiz.de/10011926201

The role of consumption substitutability in the international transmission of shocks

Tille, Cédric - 1999

Persistent link: https://www.econbiz.de/10001398156

Labor market policies during an epidemic

Birinci, Serdar; Karahan, Fatih; Mercan, Yusuf; See, Kurt - 2020

We study the positive and normative implications of labor market policies that counteract the economic fallout from containment measures during an epidemic. We incorporate a standard epidemiological model into an equilibrium search model of the labor market to compare unemployment insurance (UI)...

Persistent link: https://www.econbiz.de/10012309193

Quantifying the inflationary impact of fiscal stimulus under supply constraints

Di Giovanni, Julian; Kalemli-Ozcan, Sebnem; Silva, Álvaro - 2023

This paper builds on Baqaee and Farhi (2022) and di Giovanni et al. (2022) to quantify the contribution of fiscal policy to U.S. inflation over the December 2019-June 2022 period. Model calibrations show that aggregate demand shocks explain roughly two-thirds of total model-based inflation, and...

Persistent link: https://www.econbiz.de/10013548957

Short-run fiscal policy : welfare, redistribution, and aggregate effects in the short and long run

Kitao, Sagiri - 2010

This paper quantifies the effects of two short-run fiscal policies, a temporary tax cut and a temporary rebate transfer, that are intended to stimulate economic activity. A reduction in income taxation provides immediate incentives to work and save more, raising aggregate output and consumption....

Persistent link: https://www.econbiz.de/10008657316

Global price of risk and stabilization policies

Adrian, Tobias; Stackman, Daniel; Vogt, Erik - 2016

We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation...

Persistent link: https://www.econbiz.de/10011523754

The advantage of flexible targeting rules

Ferrero, Andrea (contributor) - 2008

This paper investigates the consequences of debt stabilization for inflation targeting. If the monetary authority perfectly stabilizes inflation while the fiscal authority holds constant the real value of debt at maturity, the equilibrium dynamics might be indeterminate. However, determinacy can...

Persistent link: https://www.econbiz.de/10003781675

Stabilizing expectations under monetary and fiscal policy coordination

Eusepi, Stefano (contributor); Preston, Bruce (contributor) - 2008

This paper analyzes how the formation of expectations constrains monetary and fiscal policy design. Economic agents have imperfect knowledge about the economic environment and the policy regime in place. Households and firms learn about the policy regime using historical data. Regime uncertainty...

Persistent link: https://www.econbiz.de/10003781690

Fiscal multipliers and policy coordination

Eggertsson, Gauti B. (contributor) - 2006

Persistent link: https://www.econbiz.de/10003314958

What fiscal policy is effective at zero interest rates?

Eggertsson, Gauti B. - 2009

Tax cuts can deepen a recession if the short-term nominal interest rate is zero, according to a standard New Keynesian business cycle model. An example of a contractionary tax cut is a reduction in taxes on wages. This tax cut deepens a recession because it increases deflationary pressures....

Persistent link: https://www.econbiz.de/10003947841