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The increased importance of asset price misalignments for business cycle dynamics

Bask, Mikael; Madeira, João - 2011

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapo-lation in asset pricing that we fit … to quarterly U.S. macroeconomic time series with Baye-sian techniques. To be more precise, we modify the DSGE model in … an important in-gredient in DSGE models that aim to understand business cycles dynamics in general and the interaction …

Persistent link: https://www.econbiz.de/10010321374

On-the-job search and the cyclical dynamics of the labor market

Krause, Michael U.; Lubik, Thomas A. - 2004

We develop a dynamic general equilibrium model where workers can engage in search while on the job. We show that on-the-job search is a key component in explaining labor market dynamics in models of equilibrium unemployment. The model predicts fluctuations of unemployment, vacancies, and labor...

Persistent link: https://www.econbiz.de/10010293492

Non-uniform staggered prices and output persistence

Söderberg, Johan - 2009

Staggered prices are a fundamental building block of New Keynesian dynamic stochastic general equilibrium models. In the standard model, prices are uniformly staggered but recent empirical evidence suggest that deviations from uniform staggering are common, This paper analyzes how...

Persistent link: https://www.econbiz.de/10010321439

Growth Forecasts, Belief Manipulation and Capital Markets

Lundtofte, Frederik; Leoni, Patrick - 2012

We analyze how a benevolent, privately-informed government agency would optimally release information about the economy's growth rate when the agents hold heterogeneous beliefs. We model two types of agents: "trusting" and "distrustful." The former has a prior that is identical to that of the...

Persistent link: https://www.econbiz.de/10013208555

Heterogeneous households in a sticky-price model

Lee, Jae Won - 2009

This paper introduces heterogeneous households into an otherwise standard sticky-price model with industry-specific labor markets. Households differ in labor incomes and asset markets are incomplete. I show that household heterogeneity affects equilibrium dynamics nontrivially by amplifying...

Persistent link: https://www.econbiz.de/10010282838

Managing global financial flows at the cost of national autonomy: China and India

Sen, Sunanda - 2012

Persistent link: https://www.econbiz.de/10010318671

Equilibrium Impact of Value-At-Risk

Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...

Persistent link: https://www.econbiz.de/10005858903