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Rational inattention and the business cycle effects of productivity and news shocks

Maćkowiak, Bartosz; Wiederholt, Mirko - 2023

news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …

Persistent link: https://www.econbiz.de/10014343098

Endogenous TFP, business cycle persistence and the productivity slowdown in the euro area

Schmöller, Michaela; Spitzer, Martin - 2020

This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification … by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework …, total factor productivity evolves endogenously as a consequence of costly investment in R&D and adoption of new technologies …

Persistent link: https://www.econbiz.de/10012212852

Spillover effects in international business cycles

Camacho, Maximo; Pacce, Matías; Pérez-Quirós, Gabriel - 2020

To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...

Persistent link: https://www.econbiz.de/10012305394

Business cycle duration dependence and foreign recessions

Bondt, Gabe J. de; Vermeulen, Philip - 2018

We estimate business cycle regime switching logit models for G7 countries to determine the effect of duration of the current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With respect to expansions in a G7 country, we find that...

Persistent link: https://www.econbiz.de/10011937263

Output growth and fluctuation : the role of financial openness

Popov, Alexander - 2011

I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel of 53 countries over 45 years, I find that financial openness increases simultaneously mean growth and the negative skewness of the growth process. The increase in output...

Persistent link: https://www.econbiz.de/10009354652

Detecting turning points in global economic activity

Baumann, Ursel; Gómez Salvador, Ramón; Seitz, Franz - 2019

We present non-linear models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2017. We first estimate Markov Switching models within a univariate framework. These models support the relevance of three business cycle regimes...

Persistent link: https://www.econbiz.de/10012059037

Mind the output gap : the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area

Groß, Marco; Semmler, Willi - Task Force on Low Inflation (LIFT) - 2017

We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory (Macklem...

Persistent link: https://www.econbiz.de/10011636803

The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps

Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...

Persistent link: https://www.econbiz.de/10011637326

An inflation-predicting measure of the output gap in the euro area

Jarociński, Marek; Lenza, Michele - 2016

Persistent link: https://www.econbiz.de/10011619704

Unobserved components model(s) : output gaps and financial cycles

Guillochon, Justine; Le Roux, Julien - 2023

The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...

Persistent link: https://www.econbiz.de/10014343145

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