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Sectoral price facts in a sticky-price model
Carvalho, Carlos Viana de; Lee, Jae Won - 2011
We develop a multi-sector sticky-price DSGE (dynamic stochastic general equilibrium) model that can endogenously deliver differential responses of prices to aggregate and sectoral shocks. Input-output production linkages induce across-sector pricing complementarities that contribute to a slow...
Persistent link: https://www.econbiz.de/10009130528
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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015
This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a...
Persistent link: https://www.econbiz.de/10011399325
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Inflation in the great recession and new keynesian models
Del Negro, Marco; Giannoni, Marc Paolo; Schorfheide, Frank - 2013
during and following the recent Great Recession, and that models in which inflation depends on economic slack cannot explain … the recent muted behavior of inflation, given the sharp drop in output that occurred in 2008-09. In this paper, we use a … protracted decline in inflation. The model does so even though inflation remains very dependent on the evolution of both economic …
Persistent link: https://www.econbiz.de/10009744674
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Correlated disturbances and US business cycles
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/10003948805
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Firm-to-firm relationships and the pass-through of shocks : theory and evidence
Heise, Sebastian - 2019
Economists have long suspected that firm-to-firm relationships might lower the responsiveness of prices to shocks due to the use of fixed-price contracts. Using transaction-level U.S. import data, I show that the pass-through of exchange rate shocks in fact rises as a relationship grows older....
Persistent link: https://www.econbiz.de/10012061371
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Is increased price flexibility stabilizing? : redux
Bhattarai, Saroj; Eggertsson, Gauti B.; Schoenle, Raphael - 2012
shocks driving the economy and the systematic response of monetary policy to inflation: More flexible prices amplify the … the effect of supply shocks on output if interest rates are very responsive to inflation. Next, we estimate a medium …
Persistent link: https://www.econbiz.de/10009521652
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Intermediary leverage cycles and financial stability
Adrian, Tobias; Boyarchenko, Nina - 2012
We develop a theory of financial intermediary leverage cycles in the context of a dynamic model of the macroeconomy. The interaction between a production sector, a financial intermediation sector, and a household sector gives rise to amplification of fundamental shocks that affect real economic...
Persistent link: https://www.econbiz.de/10009580891
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Money, credit, monetary policy, and the business cycle in the euro area : what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2019
This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...
Persistent link: https://www.econbiz.de/10012000041
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Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Del Negro, Marco (contributor);  … - 2008
This paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...
Persistent link: https://www.econbiz.de/10003781473
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Investment shocks and business cycles
Justiniano, Alejandro (contributor);  … - 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/10003781477