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Understanding post-COVID inflation dynamics
Harding Affeld, Martín Ignacio; Lindé, Jesper; … - 2022 - Last updated: December 13, 2022
-kinked demand schedule for goods produced by firms. Our model can jointly account for the modest decline in inflation during the … Great Recession and the surge in inflation post-COVID-19. Because our model implies a stronger transmission of shocks when … inflation is high, it generates conditional heteroskedasticity in inflation and inflation risk. Hence, our model can generate …
Persistent link: https://www.econbiz.de/10013466150
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Persistent debt and business cycles in an economy with production heterogeneity
Khan, Aubhik; Lee, Soyoung - 2023 - Last updated: March 13, 2023
We study an economy with a time-varying distribution of production to examine the role of debt in amplifying and propagating recessions. In our model, entrepreneurs use risky, long-term debt to finance capital. Liquid assets serve as collateral and transaction costs make debt illiquid. Debt...
Persistent link: https://www.econbiz.de/10014232441
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The propagation of industrial business cycles
Camacho, Maximo; Leiva-Leon, Danilo - 2014
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is...
Persistent link: https://www.econbiz.de/10010418240
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Reconciling the differences in aggregate U.S. wage series
Champagne, Julien; Kurmann, André; Stewart, Jay Charles - 2016
Average hourly real wage series from the Labor Productivity and Costs (LPC) program and the Current Employment Statistics (CES) program have evolved very differently over the past decades. While the LPC wage has grown consistently over time and become markedly more volatile since the mid-1980s,...
Persistent link: https://www.econbiz.de/10011415150
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Capital requirement and financial frictions in banking : macroeconomic implications
Dib, Ali - 2010
The author develops a dynamic stochastic general-equilibrium model with an active banking sector, a financial accelerator, and financial frictions in the interbank and bank capital markets. He investigates the importance of banking sector frictions on business cycle fluctuations and assesses the...
Persistent link: https://www.econbiz.de/10008695475
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Business cycle effects of credit shocks in a DSGE model with firm defaults
Pesaran, M. Hashem; Xu, TengTeng - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10009751689
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Imperfect banking competition and macroeconomic volatility : a DSGE framework
Li, Jiaqi - 2021 - Last updated: March 12, 2021
This paper studies the impact of imperfect banking competition on aggregate fluctuations using a DSGE framework that features a Cournot banking sector. The paper highlights a new propagation mechanism of imperfect banking competition that operates via the dynamics of the expected marginal...
Persistent link: https://www.econbiz.de/10012488049
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Housing market cycles and duration dependence in the United States and Canada
Cunningham, Rose M. (contributor); Kolet, Ilan (contributor) - 2007
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada. Using a panel of 137 cities, we examine the duration,...
Persistent link: https://www.econbiz.de/10003463678
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Banks, credit market frictions, and business cycles
Dib, Ali - 2010
The author proposes a micro-founded framework that incorporates an active banking sector into a dynamic stochastic general-equilibrium model with a financial accelerator. He evaluates the role of the banking sector in the transmission and propagation of the real effects of aggregate shocks, and...
Persistent link: https://www.econbiz.de/10008695487
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Real-time nowcasting of nominal GDP under structural breaks
Barnett, William A.; Chauvet, Marcelle; Leiva-Leon, Danilo - 2014
containing information on real economic activity, inflation, interest rates and Divisia monetary aggregates produces the most …
Persistent link: https://www.econbiz.de/10010401309