Showing 1 - 10 of 172
savings equation derived from a lifecycle model featuring income uncertainty using survey data for Dutch households, with … the estimated displacement effect of pensions on private savings towards zero. …
Persistent link: https://www.econbiz.de/10011547663
This paper shows how uninsurable unemployment risk is crucial to qualitatively and quantitatively match macro responses … behaviors, triggering a fall in aggregate demand and supply. These precautionary behaviors increase the unemployment risk of the … imperfectly insured households, who strengthen precautionary saving. When the feedback loop between unemployment risk and …
Persistent link: https://www.econbiz.de/10012296809
Persistent link: https://www.econbiz.de/10002215229
We use a comprehensive Swedish credit register to document that firms throughout the size distribution have access to fairly large and reasonably priced credit lines, but borrow relatively little from them. We rationalize this using a theoretical framework in which the expected cost of financial...
Persistent link: https://www.econbiz.de/10014232955
When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...
Persistent link: https://www.econbiz.de/10009792830
The contribution of this paper is to show how the balance of risk for various macro variables can be linked to … a subjective assessment of the balance of risk, i.e. whether the distributions are symmetric or not. The baseline case …
Persistent link: https://www.econbiz.de/10010128025
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
We introduce time-varying systemic risk (à la He and Krishnamurthy, 2014) in an otherwise standard New-Keynesian model … to study whether simple leaning-against-the-wind interest rate rules can reduce systemic risk and improve welfare. We … requirement, can eliminate systemic risk raising welfare by about 1.5%. Also, a surprise monetary policy tightening does not …
Persistent link: https://www.econbiz.de/10011713865
Foreign measures of uncertainty, such as the US EPU index, are often used as a proxies for domestic uncertainty in small open economies. We construct an EPU index for Sweden and demonstrate that shocks to the domestic index yield different impulse response functions for GDP growth than shocks to...
Persistent link: https://www.econbiz.de/10011574319
Simple models of monetary policy often imply optimal policy behavior that is considerably more aggressive than what is commonly observed. This paper argues that such counterfactual implications are due to model restrictions and a failure to account for multiplicative parameter uncertainty,...
Persistent link: https://www.econbiz.de/10011584195