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and the central bank information shock) have different impacts on firms' beliefs. Fourth, we find that conventional and …, with a contractionary shock leading to a downward revision of expectations. Second, we show that firms' response depends on … the size and the sign of the shock, with only large and contractionary shocks having a significant negative effect on …
Persistent link: https://www.econbiz.de/10014362639
This paper introduces ECB-(RE)BASE as the model-consistent, or rational expectation version of the ECB-BASE model. It brings new analytical capabilities to consider varying degrees of heterogeneity in expectation formation across the agents of the model. While the original version of ECB-BASE...
Persistent link: https://www.econbiz.de/10015159580
In this paper we discuss the role of the cross-sectional heterogeneity of beliefs in the context of understanding and … volatility in the US. - Heterogeneous beliefs ; business cycles ; regime-switching ; forecasting ; endogenous transition …
Persistent link: https://www.econbiz.de/10009405595
beliefs, generating positive price-quantity comovement. The feedback of beliefs into prices can be so strong that even …
Persistent link: https://www.econbiz.de/10011648329
where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a … frequency of the shock, and (iv) the full set of relevant endogenous variables entering the DGP is unknown or unobserved …
Persistent link: https://www.econbiz.de/10012058985
This paper provides novel information on the propagation of the pandemic-induced real shock to firms' financial … higher indebtedness and, hence, less capacity to deal with a liquidity shock. Conditional on these factors, firm size does …
Persistent link: https://www.econbiz.de/10012249663
Using a large set of firm-level survey data from the euro area since 2009, we analyse how firms use their information to form expectations on the availability of bank finance. Our results suggest that firms update what otherwise look like adaptive expectations on the basis of the latest...
Persistent link: https://www.econbiz.de/10012135893
analysis. It also reports on the solution of a number of aggregation and consolidation issues that arise when constructing a …
Persistent link: https://www.econbiz.de/10009639410
consistent with different distributions of time preferences. By contrast, I do not find clear evidence for risk sharing during …
Persistent link: https://www.econbiz.de/10011656184
In this paper we derive a Phillips curve with a role for higher order expectations of marginal cost and future inflation. We introduce a small idiosyncratic component in firms’ marginal costs and let the economywide average marginal cost be unobservable to the individual firm. The model can...
Persistent link: https://www.econbiz.de/10003001679